Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

DOI10.1137/23M1547391arXiv2301.03080OpenAlexW4392863517MaRDI QIDQ6131424FDOQ6131424

Authors: Ningxin Liu, L. Jiang 

Publication date: 5 April 2024

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

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.

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

Recommendations

• Numerical approximation of the Frobenius-Perron operator using the finite volume method
• A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements
• A survey of numerical methods for nonlinear filtering problems
• Iterated gain-based stochastic filters for dynamic system identification
• The diffusion kernel filter

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)

Cites Work

• Title not available (Why is that?)
• Can local particle filters beat the curse of dimensionality?
• Title not available (Why is that?)
• A survey of convergence results on particle filtering methods for practitioners
• A powerful numerical technique solving Zakai equation for nonlinear filtering
• On Galerkin approximations for the Zakai equation with diffusive and point process observations
• Fundamentals of stochastic filtering
• Stochastic models, estimation, and control. Vol. 1
• Metastability and Markov state models in molecular dynamics. Modeling, analysis, algorithmic approaches
• The exact rate of approximation in Ulam's method
• Finite approximations of Frobenius-Perron operators. A solution of Ulam's conjecture to multi-dimensional transformations
• Discretization of the Frobenius-Perron operator using a sparse Haar tensor basis: the sparse Ulam method
• Title not available (Why is that?)
• On the numerical approximation of the Perron-Frobenius and Koopman operator
• How well-connected is the surface of the global Ocean?
• On invariant measures for expanding differentiable mappings
• Time-discretization of the zakai equation for diffusion processes observed in correlated noise
• Resampling algorithms and architectures for distributed particle filters
• Data Assimilation
• Measures, integrals and martingales
• Ergodic properties of a method of numerical simulation of chaotic dynamical systems
• A two-stage ensemble Kalman filter based on multiscale model reduction for inverse problems in time fractional diffusion-wave equations
• Applied stochastic differential equations
• A two-stage variable-separation Kalman filter for data assimilation
• Applied stochastic analysis
• Correcting noisy dynamic mode decomposition with Kalman filters

Cited In (1)

• Model free data assimilation with Takens embedding

This page was built for publication: Perron–Frobenius Operator Filter for Stochastic Dynamical Systems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6131424)