Related papers: Long-time accuracy of ensemble Kalman filters for …
The filtering distribution captures the statistics of the state of a dynamical system from partial and noisy observations. Classical particle filters provably approximate this distribution in quite general settings; however they behave…
Estimating the state of a dynamical system from partial and noisy observations is a ubiquitous problem in a large number of applications, such as probabilistic weather forecasting and prediction of epidemics. Particle filters are a widely…
Estimating the statistics of the state of a dynamical system, from partial and noisy observations, is both mathematically challenging and finds wide application. Furthermore, the applications are of great societal importance, including…
Data assimilation algorithms are used to estimate the states of a dynamical system using partial and noisy observations. The ensemble Kalman filter has become a popular data assimilation scheme due to its simplicity and robustness for a…
The application of neural networks in modeling dynamic systems has become prominent due to their ability to estimate complex nonlinear functions. Despite their effectiveness, neural networks face challenges in long-term predictions, where…
Data assimilation is an iterative approach to the problem of estimating the state of a dynamical system using both current and past observations of the system together with a model for the system's time evolution. Rather than solving the…
This article develops a comprehensive framework for stability analysis of a broad class of commonly used continuous and discrete time-filters for stochastic dynamic systems with non-linear state dynamics and linear measurements under…
State estimation that combines observational data with mathematical models is central to many applications and is commonly addressed through filtering methods, such as ensemble Kalman filters. In this article, we examine the signal-tracking…
Chaos is ubiquitous in physical systems. The associated sensitivity to initial conditions is a significant obstacle in forecasting the weather and other geophysical fluid flows. Data assimilation is the process whereby the uncertainty in…
We investigate the ability to discover data assimilation (DA) schemes meant for chaotic dynamics with deep learning. The focus is on learning the analysis step of sequential DA, from state trajectories and their observations, using a simple…
We present recent results on the existence of a continuous time limit for Ensemble Kalman Filter algorithms. In the setting of continuous signal and observation processes, we apply the original Ensemble Kalman Filter algorithm proposed by…
Data assimilation provides algorithms for widespread applications in various fields. It is of practical use to deal with a large amount of information in the complex system that is hard to estimate. Weather forecasting is one of the…
Filtering is concerned with online estimation of the state of a dynamical system from partial and noisy observations. In applications where the state of the system is high dimensional, ensemble Kalman filters are often the method of choice.…
This paper studies the distributed state estimation problem for a class of discrete-time stochastic systems with nonlinear uncertain dynamics over time-varying topologies of sensor networks. An extended state vector consisting of the…
The ensemble Kalman filter (EnKF) is a method for combining a dynamical model with data in a sequential fashion. Despite its widespread use, there has been little analysis of its theoretical properties. Many of the algorithmic innovations…
The reconstruction of the dynamics of an observed physical system as a surrogate model has been brought to the fore by recent advances in machine learning. To deal with partial and noisy observations in that endeavor, machine learning…
The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble…
The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partial, noisily observed dynamical systems, and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences,…
The performance of ensemble-based data assimilation techniques that estimate the state of a dynamical system from partial observations depends crucially on the prescribed uncertainty of the model dynamics and of the observations. These are…
Filtering is a widely used methodology for the incorporation of observed data into time-evolving systems. It provides an online approach to state estimation inverse problems when data is acquired sequentially. The Kalman filter plays a…