Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

DOI10.1137/23M1547391MaRDI QIDQ6131424zbMATH OpenOpenAlexFDO

Authors Ningxin Liu, L. Jiang

Publication date 5 April 2024

Published in SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2301.03080

zbMATH Keywords

particle filterBayesian filteringPerron-Frobenius operatorstochastic dynamical systems

Mathematics Subject Classification ID

Numerical solutions to stochastic differential and integral equations (65C30) Approximation methods and numerical treatment of dynamical systems (37M99)

Abstract: The filtering problems are derived from a sequential minimization of a quadratic function representing a compromise between model and data. In this paper, we use the Perron-Frobenius operator in stochastic process to develop a Perron-Frobenius operator filter. The proposed method belongs to Bayesian filtering and works for non-Gaussian distributions for nonlinear stochastic dynamical systems. The recursion of the filtering can be characterized by the composition of Perron-Frobenius operator and likelihood operator. This gives a significant connection between the Perron-Frobenius operator and Bayesian filtering. We numerically fulfil the recursion through approximating the Perron-Frobenius operator by Ulam's method. In this way, the posterior measure is represented by a convex combination of the indicator functions in Ulam's method. To get a low rank approximation for the Perron-Frobenius operator filter, we take a spectral decomposition for the posterior measure by using the eigenfunctions of the discretized Perron-Frobenius operator. A convergence analysis is carried out and shows that the Perron-Frobenius operator filter achieves a higher convergence rate than the particle filter, which uses Dirac measures for the posterior. The proposed method is explored for the data assimilation of the stochastic dynamical systems. A few numerical examples are presented to illustrate the advantage of the Perron-Frobenius operator filter over particle filter and extend Kalman filter.

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Cited in

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• Model free data assimilation with Takens embedding

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