Data Assimilation by Conditioning on Future Observations
Abstract
Conventional recursive filtering approaches, designed for quantifying the state of an evolving uncertain dynamical system with intermittent observations, use a sequence of (i) an uncertainty propagation step followed by (ii) a step where the associated data is assimilated using Bayes' rule. In this paper we switch the order of the steps to: (i) one step ahead data assimilation followed by (ii) uncertainty propagation. This route leads to a class of filtering algorithms named \emph{smoothing filters}. For a system driven by random noise, our proposed methods require the probability distribution of the driving noise after the assimilation to be biased by a nonzero mean. The system noise, conditioned on future observations, in turn pushes forward the filtering solution in time closer to the true state and indeed helps to find a more accurate approximate solution for the state estimation problem.
Cite
@article{arxiv.1311.6760,
title = {Data Assimilation by Conditioning on Future Observations},
author = {Wonjung Lee and Chris Farmer},
journal= {arXiv preprint arXiv:1311.6760},
year = {2015}
}