Related papers: Stein-based preconditioners for weak-constraint 4D…

Non-Gaussian statistics are a challenge for data assimilation. Linear methods oversimplify the problem, yet fully nonlinear methods are often too expensive to use in practice. The best solution usually lies between these extremes.…

Data assimilation (DA) methods use priors arising from differential equations to robustly interpolate and extrapolate data. Popular techniques such as ensemble methods that handle high-dimensional, nonlinear PDE priors focus mostly on state…

We present a preconditioner based on spectral projection that is combined with a deflated Krylov subspace method for solving ill conditioned linear systems of equations. Our results show that the proposed algorithm requires many fewer…

Low-rank matrix estimation is a canonical problem that finds numerous applications in signal processing, machine learning and imaging science. A popular approach in practice is to factorize the matrix into two compact low-rank factors, and…

This paper presents a practical computational approach to quantify the effect of individual observations in estimating the state of a system. Such an analysis can be used for pruning redundant measurements, and for designing future sensor…

Data assimilation, consisting in the combination of a dynamical model with a set of noisy and incomplete observations in order to infer the state of a system over time, involves uncertainty in most settings. Building upon an existing…

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…

We propose and analyze a Stein variational reduced basis method (SVRB) to solve large-scale PDE-constrained Bayesian inverse problems. To address the computational challenge of drawing numerous samples requiring expensive PDE solves from…

Stochastic gradient descent (SGD) still is the workhorse for many practical problems. However, it converges slow, and can be difficult to tune. It is possible to precondition SGD to accelerate its convergence remarkably. But many attempts…

This paper provides a general framework for Stein's density method for multivariate continuous distributions. The approach associates to any probability density function a canonical operator and Stein class, as well as an infinite…

Large, sparse linear systems are pervasive in modern science and engineering, and Krylov subspace solvers are an established means of solving them. Yet convergence can be slow for ill-conditioned matrices, so practical deployments usually…

This paper presents a reduced-order approach for four-dimensional variational data assimilation, based on a prior EO F analysis of a model trajectory. This method implies two main advantages: a natural model-based definition of a mul…

This paper details how to parameterize the posterior distribution of state-space systems to generate improved optimization problems for system identification using variational inference. Three different parameterizations of the assumed…

We explore a scaled spectral preconditioner for the efficient solution of sequences of symmetric and positive-definite linear systems. We design the scaled preconditioner not only as an approximation of the inverse of the linear system but…

This work studies reduced order modeling (ROM) approaches to speed up the solution of variational data assimilation problems with large scale nonlinear dynamical models. It is shown that a key requirement for a successful reduced order…

This paper considers an optimization problem for a dynamical system whose evolution depends on a collection of binary decision variables. We develop scalable approximation algorithms with provable suboptimality bounds to provide…

We propose a geometry-aware strategy for training neural preconditioners tailored to parametrized linear systems arising from the discretization of mixed-dimensional partial differential equations (PDEs). These systems are typically…

Data assimilation addresses the problem of identifying plausible state trajectories of dynamical systems given noisy or incomplete observations. In geosciences, it presents challenges due to the high-dimensionality of geophysical dynamical…

Gaussian process hyperparameter optimization requires linear solves with, and log-determinants of, large kernel matrices. Iterative numerical techniques are becoming popular to scale to larger datasets, relying on the conjugate gradient…

Estimation of a dynamical system's latent state subject to sensor noise and model inaccuracies remains a critical yet difficult problem in robotics. While Kalman filters provide the optimal solution in the least squared sense for linear and…