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Auto-differentiable Ensemble Kalman Filters

Machine Learning 2021-07-21 v2 Machine Learning Computation

Abstract

Data assimilation is concerned with sequentially estimating a temporally-evolving state. This task, which arises in a wide range of scientific and engineering applications, is particularly challenging when the state is high-dimensional and the state-space dynamics are unknown. This paper introduces a machine learning framework for learning dynamical systems in data assimilation. Our auto-differentiable ensemble Kalman filters (AD-EnKFs) blend ensemble Kalman filters for state recovery with machine learning tools for learning the dynamics. In doing so, AD-EnKFs leverage the ability of ensemble Kalman filters to scale to high-dimensional states and the power of automatic differentiation to train high-dimensional surrogate models for the dynamics. Numerical results using the Lorenz-96 model show that AD-EnKFs outperform existing methods that use expectation-maximization or particle filters to merge data assimilation and machine learning. In addition, AD-EnKFs are easy to implement and require minimal tuning.

Keywords

Cite

@article{arxiv.2107.07687,
  title  = {Auto-differentiable Ensemble Kalman Filters},
  author = {Yuming Chen and Daniel Sanz-Alonso and Rebecca Willett},
  journal= {arXiv preprint arXiv:2107.07687},
  year   = {2021}
}
R2 v1 2026-06-24T04:15:02.999Z