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Data assimilation is a method that combines observations (that is, real world data) of a state of a system with model output for that system in order to improve the estimate of the state of the system and thereby the model output. The model…
Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman…
Data assimilation addresses the general problem of how to combine model-based predictions with partial and noisy observations of the process in an optimal manner. This survey focuses on sequential data assimilation techniques using…
Data assimilation is an iterative approach to the problem of estimating the state of a dynamical system using both current and past observations of the system together with a model for the system's time evolution. Rather than solving the…
In this paper we combine the non-linear filtering capabilities of particle filters with the transdimensional inference of the reversible-jump Markov chain Monte Carlo method for a data assimilation methodology over dynamic problems with…
A framework for data assimilation combining aspects of operator-theoretic ergodic theory and quantum mechanics is developed. This framework adapts the Dirac--von Neumann formalism of quantum dynamics and measurement to perform sequential…
Data assimilation is a technique for increasing the accuracy of simulations of solutions to partial differential equations by incorporating observable data into the solution as time evolves. Recently, a promising new algorithm for data…
We consider the problem of optimizing a real-valued continuous function $f$ using a Bayesian approach, where the evaluations of $f$ are chosen sequentially by combining prior information about $f$, which is described by a random process…
Chaos is ubiquitous in physical systems. The associated sensitivity to initial conditions is a significant obstacle in forecasting the weather and other geophysical fluid flows. Data assimilation is the process whereby the uncertainty in…
Data assimilation, in its most comprehensive form, addresses the Bayesian inverse problem of identifying plausible state trajectories that explain noisy or incomplete observations of stochastic dynamical systems. Various approaches have…
We introduce a data assimilation method to estimate model parameters with observations of passive tracers by directly assimilating Lagrangian Coherent Structures. Our approach differs from the usual Lagrangian Data Assimilation approach,…
Data assimilation is a core component of numerical weather prediction systems. The large quantity of data processed during assimilation requires the computation to be distributed across increasingly many compute nodes, yet existing…
Particle flow filters solve Bayesian inference problems by smoothly transforming a set of particles into samples from the posterior distribution. Particles move in state space under the flow of an McKean-Vlasov-Ito process. This work…
Motivated by the challenge of incorporating data into misspecified and multiscale dynamical models, we study a McKean-Vlasov equation that contains the data stream as a common driving rough path. This setting allows us to prove…
Data assimilation is a Bayesian inference process that obtains an enhanced understanding of a physical system of interest by fusing information from an inexact physics-based model, and from noisy sparse observations of reality. The…
Data assimilation combines information from physical observations and numerical simulation results to obtain better estimates of the state and parameters of a physical system. A wide class of physical systems of interest have solutions that…
Advances in digital sensors, digital data storage and communications have resulted in systems being capable of accumulating large collections of data. In the light of dealing with the challenges that massive data present, this work proposes…
We develop an algebraic framework for sequential data assimilation of partially observed dynamical systems. In this framework, Bayesian data assimilation is embedded in a non-abelian operator algebra, which provides a representation of…
This survey paper is written with the intention of giving a mathematical introduction to filtering techniques for intermittent data assimilation, and to survey some recent advances in the field. The paper is divided into three parts. The…
Data assimilation refers to the process of obtaining an estimate of a system's state using a model for the system's time evolution and a time series of measurements that are possibly noisy and incomplete. However, for practical reasons, the…