Related papers: Rough McKean-Vlasov dynamics for robust ensemble K…
Stabilization, disturbance rejection, and control of optical beams and optical spots are ubiquitous problems that are crucial for the development of optical systems for ground and space telescopes, free-space optical communication…
We consider the problem of parameter estimation for a stochastic McKean-Vlasov equation, and the associated system of weakly interacting particles. We study two cases: one in which we observe multiple independent trajectories of the…
Accurate data assimilation (DA) for systems with piecewise-smooth or discontinuous state variables remains a significant challenge, as conventional covariance-based ensemble Kalman filter approaches often fail to effectively balance…
A Bayesian data assimilation scheme is formulated for advection-dominated or hyperbolic evolutionary problems, and observations. The method is referred to as the dynamic likelihood filter because it exploits the model physics to dynamically…
In this paper, we introduce a new algorithm for rare event estimation based on adaptive importance sampling. We consider a smoothed version of the optimal importance sampling density, which is approximated by an ensemble of interacting…
Granular dynamics driven by fluid flow is ubiquitous in many industrial and natural processes, such as fluvial and coastal sediment transport. Yet, their complex multiphysics nature challenges the accuracy and efficiency of numerical…
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…
Essential features of the Multigrid Ensemble Kalman Filter (G. Moldovan, G. Lehnasch, L. Cordier, M. Meldi, A multigrid/ensemble Kalman filter strategy for assimilation of unsteady flows, Journal of Computational Physics 443-110481)…
A novel approach for vehicle tracking using a hybrid adaptive Kalman filter is proposed. The filter utilizes recurrent neural networks to learn the vehicle's geometrical and kinematic features, which are then used in a supervised learning…
In the theory of quantum dynamical filtering, one of the biggest issues is that the underlying system dynamics represented by a quantum stochastic differential equation must be known exactly in order that the corresponding filter provides…
This paper proposes a new stochastic model of traffic dynamics in Lagrangian coordinates. The source of uncertainty is heterogeneity in driving behavior, captured using driver-specific speed-spacing relations, i.e., parametric uncertainty.…
This chapter provides an introduction to data-driven techniques for the development and calibration of closure models for the Reynolds-Averaged Navier--Stokes (RANS) equations. RANS models are the workhorse for engineering applications of…
We consider the problem of data-assisted forecasting of chaotic dynamical systems when the available data is in the form of noisy partial measurements of the past and present state of the dynamical system. Recently there have been several…
Complex nonlinear turbulent dynamical systems are ubiquitous in many areas. Recovering unobserved state variables is an important topic for the data assimilation of turbulent systems. In this article, an efficient continuous in time data…
Providing efficient and accurate parametrizations for model reduction is a key goal in many areas of science and technology. Here we present a strong link between data-driven and theoretical approaches to achieving this goal. Formal…
The Dynamic Mode Decomposition (DMD) is a tool of trade in computational data driven analysis of fluid flows. More generally, it is a computational device for Koopman spectral analysis of nonlinear dynamical systems, with a plethora of…
This paper studies a stochastic model that describes the evolution of vehicle densities in a road network. It is consistent with the class of (deterministic) kinematic wave models, which describe traffic flows on the basis of conservation…
Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the…
We bring the theory of rough paths to the study of non-parametric statistics on streamed data. We discuss the problem of regression where the input variable is a stream of information, and the dependent response is also (potentially) a…
We present optimality results for robust Kalman filtering where robustness is understood in a distributional sense, i.e.; we enlarge the distribution assumptions made in the ideal model by suitable neighborhoods. This allows for outliers…