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This paper studies an output feedback stabilization control framework for discrete-time linear systems with stochastic dynamics determined by an independent and identically distributed (i.i.d.) process. The controller is constructed with an…
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,…
The ensemble Kalman filter (EnKF) is a popular technique for performing inference in state-space models (SSMs), particularly when the dynamic process is high-dimensional. Unlike reweighting methods such as sequential Monte Carlo (SMC, i.e.…
Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's…
This paper develops efficient ensemble Kalman filter (EnKF) implementations based on shrinkage covariance estimation. The forecast ensemble members at each step are used to estimate the background error covariance matrix via the…
Although data assimilation originates from control theory, the relationship between modern data assimilation methods in geoscience and model predictive control has not been extensively explored. In the present paper, I discuss that the…
An online Data Assimilation strategy based on the Ensemble Kalman Filter (EnKF) is used to improve the predictive capabilities of Large Eddy Simulation (LES) for the analysis of the turbulent flow in a plane channel, $Re_\tau \approx 550$.…
The Benchmarck on the Aerodynamics of a Rectangular 5:1 Cylinder is studied using a data-driven technique which bridges numerical simulation and available experimental results. Because of intrinsic features of the tools used for…
The Ensemble Kalman Filter (EnKF), as a fundamental data assimilation approach, has been widely used in many fields of the sciences and engineering. When the state variable is of high dimensional accompanied with high resolution…
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…
We propose the Vortex Particle Flow Map (VPFM) method to simulate incompressible flow with complex vortical evolution in the presence of dynamic solid boundaries. The core insight of our approach is that vorticity is an ideal quantity for…
The Ensemble Kalman Filter (EnKF) is a popular estimation technique in the geosciences. It is used as a numerical tool for state vector prognosis and parameter estimation. The EnKF can, for example, help to evaluate the geothermal potential…
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…
Accurate structural response prediction forms a main driver for structural health monitoring and control applications. This often requires the proposed model to adequately capture the underlying dynamics of complex structural systems. In…
This paper introduces a computational framework to reconstruct and forecast a partially observed state that evolves according to an unknown or expensive-to-simulate dynamical system. Our reduced-order autodifferentiable ensemble Kalman…
The ensemble Kalman filter (EnKF) has become a standard methodology for state estimation in high-dimensional systems, yet its various stochastic and deterministic formulations often appear conceptually disconnected. In this paper, a unified…
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…
The Gaussian process state-space models (GPSSMs) represent a versatile class of data-driven nonlinear dynamical system models. However, the presence of numerous latent variables in GPSSM incurs unresolved issues for existing variational…
In this work, we present the ensemble-marginalized Kalman filter (EnMKF), a sequential algorithm analogous to our previously proposed approach [1,2], for estimating the state and parameters of linear parabolic partial differential equations…
The accuracy of Earth system models is compromised by unknown and/or unresolved dynamics, making the quantification of systematic model errors essential. While a model parameter estimation, which allows parameters to change…