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This paper develops an efficient implementation of the ensemble Kalman filter based on a modified Cholesky decomposition for inverse covariance matrix estimation. This implementation is named EnKF-MC. Background errors corresponding to…
In this paper, we introduce a new, local formulation of the ensemble Kalman Filter approach for atmospheric data assimilation. Our scheme is based on the hypothesis that, when the Earth's surface is divided up into local regions of moderate…
We introduce a computationally efficient variant of the model-based ensemble Kalman filter (EnKF). We propose two changes to the original formulation. First, we phrase the setup in terms of precision matrices instead of covariance matrices,…
Many data-science problems can be formulated as an inverse problem, where the parameters are estimated by minimizing a proper loss function. When complicated black-box models are involved, derivative-free optimization tools are often…
The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences,…
Collaborative path planning for robot swarms in complex, unknown environments without external positioning is a challenging problem. This requires robots to find safe directions based on real-time environmental observations, and to…
This work develops a new multifidelity ensemble Kalman filter (MFEnKF) algorithm based on linear control variate framework. The approach allows for rigorous multifidelity extensions of the EnKF, where the uncertainty in coarser fidelities…
This paper tackles the intricate task of jointly estimating state and parameters in data assimilation for stochastic dynamical systems that are affected by noise and observed only partially. While the concept of ``optimal filtering'' serves…
Data assimilation plays a pivotal role in understanding and predicting turbulent systems within geoscience and weather forecasting, where data assimilation is used to address three fundamental challenges, i.e., high-dimensionality,…
Estimating latent epidemic states and model parameters from partially observed, noisy data remains a major challenge in infectious disease modeling. State-space formulations provide a coherent probabilistic framework for such inference, yet…
Continuously tracking the movement of a fluid or a plume in the subsurface is a challenge that is often encountered in applications, such as tracking a plume of injected CO$_2$ or of a hazardous substance. Advances in monitoring techniques…
We consider the problem of filtering dynamical systems, possibly stochastic, using observations of statistics. Thus, the computational task is to estimate a time-evolving density $\rho(v, t)$ given noisy observations of the true density…
Heavy tails is a common feature of filtering distributions that results from the nonlinear dynamical and observation processes as well as the uncertainty from physical sensors. In these settings, the Kalman filter and its ensemble version -…
Controlled interacting particle systems such as the ensemble Kalman filter (EnKF) and the feedback particle filter (FPF) are numerical algorithms to approximate the solution of the nonlinear filtering problem in continuous time. The…
The ensemble Kalman filter (EnKF) is widely used for nonlinear and high-dimensional state estimation because it replaces complex covariance propagation with simple ensemble statistics. However, conventional EnKF implementations can become…
In this paper, stochastic optimal control problems in continuous time and space are considered. In recent years, such problems have received renewed attention from the lens of reinforcement learning (RL) which is also one of our motivation.…
The Ensemble Kalman filter assumes the observations to be Gaussian random variables with a pre-specified mean and variance. In practice, observations may also have detection limits, for instance when a gauge has a minimum or maximum value.…
To evaluate electrostatics interactions, Molecular dynamics (MD) simulations rely on Particle Mesh Ewald (PME), an O(Nlog(N)) algorithm that uses Fast Fourier Transforms (FFTs) or, alternatively, on O(N) Fast Multipole Methods (FMM)…
The paper presents experiments of driving a physics-based thermosphere model by assimilating electron density (Ne) and temperature (Tn) data using the ensemble adjustment Kalman filter (EAKF) technique. This study not only helps to gauge…
We consider filtering in high-dimensional non-Gaussian state-space models with intractable transition kernels, nonlinear and possibly chaotic dynamics, and sparse observations in space and time. We propose a novel filtering methodology that…