Related papers: Nudging state-space models for Bayesian filtering …
We investigate a new sampling scheme aimed at improving the performance of particle filters whenever (a) there is a significant mismatch between the assumed model dynamics and the actual system, or (b) the posterior probability tends to…
Nudging is an empirical data assimilation technique that incorporates an observation-driven control term into the model dynamics. The trajectory of the nudged system approaches the true system trajectory over time, even when the initial…
We introduce an auxiliary technique, called residual nudging, to the particle filter to enhance its performance in cases that it performs poorly. The main idea of residual nudging is to monitor, and if necessary, adjust the residual norm of…
Nonlinear filtering with standard PF methods requires mitigative techniques to quell weight degeneracy, such as resampling. This is especially true in high-dimensional systems with sparse observations. Unfortunately, such techniques are…
We introduce a new sequential methodology to calibrate the fixed parameters and track the stochastic dynamical variables of a state-space system. The proposed method is based on the nested hybrid filtering (NHF) framework of [1], that…
Multi-scale problems, where variables of interest evolve in different time-scales and live in different state-spaces, can be found in many fields of science. Here, we introduce a new recursive methodology for Bayesian inference that aims at…
Computational models of atmospheric composition are not always physically consistent. For example, not all models respect fundamental conservation laws such as conservation of atoms in an interconnected chemical system. In well performing…
The nudging data assimilation algorithm is a powerful tool used to forecast phenomena of interest given incomplete and noisy observations. Machine learning is becoming increasingly popular in data assimilation given its ease of computation…
State-space models are a popular statistical framework for analysing sequential data. Within this framework, particle filters are often used to perform inference on non-linear state-space models. We introduce a new method, StateMixNN, that…
Filtering is concerned with the sequential estimation of the state, and uncertainties, of a Markovian system, given noisy observations. It is particularly difficult to achieve accurate filtering in complex dynamical systems, such as those…
Bayesian filtering is a key tool in many problems that involve the online processing of data, including data assimilation, optimal control, nonlinear tracking and others. Unfortunately, the implementation of filters for nonlinear, possibly…
State estimation or filtering serves as a fundamental task to enable intelligent decision-making in applications such as autonomous vehicles, robotics, healthcare monitoring, smart grids, intelligent transportation, and predictive…
System identification of complex and nonlinear systems is a central problem for model predictive control and model-based reinforcement learning. Despite their complexity, such systems can often be approximated well by a set of linear…
This paper presents a new filter for state-space models based on Bellman's dynamic-programming principle, allowing for nonlinearity, non-Gaussianity and degeneracy in the observation and/or state-transition equations. The resulting Bellman…
Numerical simulation for climate modeling resolving all important scales is a computationally taxing process. Therefore, to circumvent this issue a low resolution simulation is performed, which is subsequently corrected for bias using…
Filtering is a general name for inferring the states of a dynamical system given observations. The most common filtering approach is Gaussian Filtering (GF) where the distribution of the inferred states is a Gaussian whose mean is an affine…
Nudging is a data assimilation method amenable to both analysis and implementation. It also has the (reported) advantage of being insensitive to model errors compared to other assimilation methods. However, nudging behavior in the presence…
Inferring physical parameters of turbulent flows by assimilation of data measurements is an open challenge with key applications in meteorology, climate modeling and astrophysics. Up to now, spectral nudging was applied for empirical…
A Bayesian filtering algorithm is developed for a class of state-space systems that can be modelled via Gaussian mixtures. In general, the exact solution to this filtering problem involves an exponential growth in the number of mixture…
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…