A dynamical systems framework for intermittent data assimilation

DOI10.1007/S10543-010-0302-4zbMATH Open1216.93098OpenAlexW2004247736MaRDI QIDQ533708FDOQ533708

Authors: Sebastian Reich 

Publication date: 4 May 2011

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10543-010-0302-4

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zbMATH Keywords

data assimilationdynamical systemsoptimal transportationnonlinear filtersensemble Kalman filter

Mathematics Subject Classification ID

Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Time series analysis of dynamical systems (37M10) Numerical solution of inverse problems involving ordinary differential equations (65L09)

Cites Work

• Title not available (Why is that?)
• Statistical and computational inverse problems.
• Title not available (Why is that?)
• Data Assimilation
• Stochastic partial differential equations driven by multiparameter fractional white noise
• Gradient descent and fast artificial time integration
• Dynamic Data Assimilation
• Handbook of stochastic methods for physics, chemistry and the natural sciences.
• Fundamentals of stochastic filtering
• The Identity of Weak and Strong Extensions of Differential Operators
• Approximate McKean-Vlasov representations for a class of SPDEs
• Artificial time integration

Cited In (47)

• Title not available (Why is that?)
• Well posedness and convergence analysis of the ensemble Kalman inversion
• Autodifferentiable ensemble Kalman filters
• Efficient derivative-free Bayesian inference for large-scale inverse problems
• EnKSGD: a class of preconditioned black box optimization and inversion algorithms
• Ensemble Kalman inversion for nonlinear problems: weights, consistency, and variance bounds
• Controlled interacting particle algorithms for simulation-based reinforcement learning
• Bayesian inference with optimal maps
• Data-driven inference of high-accuracy isostable-based dynamical models in response to external inputs
• Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
• Data assimilation: the Schrödinger perspective
• Long-time stability and accuracy of the ensemble Kalman-Bucy filter for fully observed processes and small measurement noise
• Birth–death dynamics for sampling: global convergence, approximations and their asymptotics
• Consensus‐based sampling
• Constrained ensemble Langevin Monte Carlo
• Interacting Langevin diffusions: gradient structure and ensemble Kalman sampler
• McKean--Vlasov SDEs in Nonlinear Filtering
• Ensemble Kalman sampler: mean-field limit and convergence analysis
• Ensemble Kalman inversion: mean-field limit and convergence analysis
• Rough McKean-Vlasov dynamics for robust ensemble Kalman filtering
• A data-driven method for the steady state of randomly perturbed dynamics
• Iterated Kalman methodology for inverse problems
• A mean field approximation in data assimilation for nonlinear dynamics
• Multivariable feedback particle filter
• Continuous formulations of the ensemble Kalman filter
• Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
• Continuous Time Limit of the Stochastic Ensemble Kalman Inversion: Strong Convergence Analysis
• Convergence analysis of ensemble Kalman inversion: the linear, noisy case
• Image data assimilation with filtering methods
• Hybrid iterative ensemble smoother for history matching of hierarchical models
• Continuous data assimilation using general interpolant observables
• Affine invariant interacting Langevin dynamics for Bayesian inference
• Data-driven interpolation of dynamical systems with delay
• On the consistency of ensemble transform filter formulations
• Ensemble Kalman inversion for sparse learning of dynamical systems from time-averaged data
• Minimization for conditional simulation: relationship to optimal transport
• Ensemble filter techniques for intermittent data assimilation - a survey
• Diffusion map-based algorithm for gain function approximation in the feedback particle filter
• Fokker-Planck particle systems for Bayesian inference: computational approaches
• Analysis of the feedback particle filter with diffusion map based approximation of the gain
• Feedback particle filter for collective inference
• Derivative-Free Bayesian Inversion Using Multiscale Dynamics
• Complete Deterministic Dynamics and Spectral Decomposition of the Linear Ensemble Kalman Inversion
• Affine-invariant ensemble transform methods for logistic regression
• A guided sequential Monte Carlo method for the assimilation of data into stochastic dynamical systems
• Data assimilation for a multiscale stochastic dynamical system with Gaussian noise
• Discrete gradients for computational Bayesian inference

Uses Software

• EnKF

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