Related papers: The Ensemble Schr{\"o}dinger Bridge filter for Non…
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…
Understanding the continuous evolution of populations from discrete temporal snapshots is a critical research challenge, particularly in fields like developmental biology and systems medicine where longitudinal tracking of individual…
Schr\"odinger bridges have emerged as an enabling framework for unveiling the stochastic dynamics of systems based on marginal observations at different points in time. The terminology "bridge'' refers to a probability law that suitably…
Numerical modeling and simulation of two-phase flow in porous media is challenging due to the uncertainties in key parameters, such as permeability. To address these challenges, we propose a computational framework by utilizing the novel…
We present simulation-free score and flow matching ([SF]$^2$M), a simulation-free objective for inferring stochastic dynamics given unpaired samples drawn from arbitrary source and target distributions. Our method generalizes both the…
We study the use of novel techniques arising in machine learning for inverse problems. Our approach replaces the complex forward model by a neural network, which is trained simultaneously in a one-shot sense when estimating the unknown…
Weather forecasting is fundamentally challenged by the chaotic nature of the atmosphere, necessitating probabilistic approaches to quantify uncertainty. While traditional ensemble prediction (EPS) addresses this through computationally…
Diffusion models break down the challenging task of generating data from high-dimensional distributions into a series of easier denoising steps. Inspired by this paradigm, we propose a novel approach that extends the diffusion framework…
Nonlinear/non-Gaussian filtering has broad applications in many areas of life sciences where either the dynamic is nonlinear and/or the probability density function of uncertain state is non-Gaussian. In such problems, the accuracy of the…
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 propose to learn a generative model via entropy interpolation with a Schr\"{o}dinger Bridge. The generative learning task can be formulated as interpolating between a reference distribution and a target distribution based on the…
The purpose of this review is to present a comprehensive overview of the theory of ensemble Kalman-Bucy filtering for continuous-time, linear-Gaussian signal and observation models. We present a system of equations that describe the flow of…
The potential for data-driven applications to scale-resolving simulations of turbulent flows is assessed herein. Multigrid sequential data assimilation algorithms have been used to calibrate solvers for Large Eddy Simulation for the…
In this paper, we introduce a new, local formulation of the ensemble Kalman Filter approach for atmospheric data assimilation. Our scheme is based on the hypothesis that, when the Earth's surface is divided up into local regions of moderate…
Adaptive filters are at the core of many signal processing applications, ranging from acoustic noise supression to echo cancelation, array beamforming, channel equalization, to more recent sensor network applications in surveillance, target…
Lagrangian data assimilation exploits the trajectories of moving tracers as observations to recover the underlying flow field. One major challenge in Lagrangian data assimilation is the intrinsic nonlinearity that impedes using exact…
Understanding complex systems by inferring trajectories from sparse sample snapshots is a fundamental challenge in a wide range of domains, e.g., single-cell biology, meteorology, and economics. Despite advancements in Bridge and Flow…
The Ensemble Score Filter (EnSF) has emerged as a promising approach to leverage score-based diffusion models for solving high-dimensional and nonlinear data assimilation problems. While initial applications of EnSF to the Lorenz-96 model…
Data assimilation (DA) aims at forecasting the state of a dynamical system by combining a mathematical representation of the system with noisy observations taking into account their uncertainties. State of the art methods are based on the…
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.…