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Gaussian process regression is a machine learning approach which has been shown its power for estimation of unknown functions. However, Gaussian processes suffer from high computational complexity, as in a basic form they scale cubically…
Kalman filtering has been traditionally applied in three application areas of estimation, state estimation, parameter estimation (a.k.a. model updating), and dual estimation. However, Kalman filter is often not sufficient when experimenting…
The ensemble Kalman filter (EnKF) (Evensen, 2009) has proven effective in quantifying uncertainty in a number of challenging dynamic, state estimation, or data assimilation, problems such as weather forecasting and ocean modeling. In these…
Data assimilation plays a crucial role in numerical modeling, enabling the integration of real-world observations into mathematical models to enhance the accuracy and predictive capabilities of simulations. This approach is widely applied…
We review the field of data assimilation (DA) from a Bayesian perspective and show that, in addition to its by now common application to state estimation, DA may be used for model selection. An important special case of the latter is the…
Data assimilation schemes are confronted with the presence of model errors arising from the imperfect description of atmospheric dynamics. These errors are usually modeled on the basis of simple assumptions such as bias, white noise, first…
Ensemble data assimilation methods such as the Ensemble Kalman Filter (EnKF) are a key component of probabilistic weather forecasting. They represent the uncertainty in the initial conditions by an ensemble which incorporates information…
We consider the problem of estimating the means $\mu_i$ of $n$ random variables $Y_i \sim N(\mu_i,1)$, $i=1,\ldots ,n$. Assuming some structure on the $\mu$ process, e.g., a state space model, one may use a summary statistics for the…
Ensemble transform Kalman filtering (ETKF) data assimilation is often used to combine available observations with numerical simulations to obtain statistically accurate and reliable state representations in dynamical systems. However, it is…
In recent years, several ensemble-based filtering methods have been proposed and studied. The main challenge in such procedures is the updating of a prior ensemble to a posterior ensemble at every step of the filtering recursions. In the…
Inferring the state and unknown parameters of a network of coupled oscillators is of utmost importance. This task is made harder when only partial and noisy observations are available, which is a typical scenario in realistic…
We analyze the Ensemble and Polynomial Chaos Kalman filters applied to nonlinear stationary Bayesian inverse problems. In a sequential data assimilation setting such stationary problems arise in each step of either filter. We give a new…
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…
For oceanographic applications, probabilistic forecasts typically have to deal with i) high-dimensional complex models, and ii) very sparse spatial observations. In search-and-rescue operations at sea, for instance, the short-term…
Climate change poses significant challenges for accurate climate modeling due to the complexity and variability of non-Gaussian climate systems. To address the complexities of non-Gaussian systems in climate modeling, this thesis proposes a…
The Kalman filter is an established tool for the analysis of dynamic systems with normally distributed noise, and it has been successfully applied in numerous application areas. It provides sequentially calculated estimates of the system…
Working with a two-stage ice sheet model, we explore how statistical data assimilation methods can be used to improve predictions of glacier melt and relatedly, sea level rise. We find that the EnKF improves model runs initialized using…
This study considers the data assimilation problem in coupled systems, which consists of two components (sub-systems) interacting with each other through certain coupling terms. A straightforward way to tackle the assimilation problem in…
The inverse problem of determining parameters in a model by comparing some output of the model with observations is addressed. This is a description for what hat to be done to use the Gauss-Markov-Kalman filter for the Bayesian estimation…
The real-world applications in signal processing generally involve estimating the system state or parameters in nonlinear, non-Gaussian dynamic systems. The estimation problem may get even more challenging when there are physical…