相关论文: Ensemble transform Kalman-Bucy filters

Training in machine learning generally consists in finding one model, whose parameters minimize a data-dependent loss. Yet, empirical work shows that ensemble learning, an approach in which multiple models are sampled, can improve…

The Ensemble Kalman Filter (EnKF) is a widely used method for data assimilation in high-dimensional systems, with an ensemble update step equivalent to an empirical version of the Matheron update popular in Gaussian process regression -- a…

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…

Ensemble methods have become ubiquitous for the solution of Bayesian inference problems. State-of-the-art Langevin samplers such as the Ensemble Kalman Sampler (EKS), Affine Invariant Langevin Dynamics (ALDI) or its extension using weighted…

A generalized Kalman-Bucy model under model uncertainty and a corresponding robust problem are studied in this paper. We find that this robust problem is equivalent to an estimate problem under a sublinear operator. By Girsanov…

This work presents new results and understanding of the Ensemble Kalman filter (EnKF) for inverse problems. In particular, using a Lagrangian dual perspective we show that EnKF can be derived from the sample average approximation (SAA) of…

Stability analysis of the Kalman filter under randomly lost measurements has been widely studied. We revisit this problem in a general continuous-time framework, where both the measurement matrix and noise covariance evolve as random…

Several variations of the Kalman filter algorithm, such as the extended Kalman filter (EKF) and the unscented Kalman filter (UKF), are widely used in science and engineering applications. In this paper, we introduce two algorithms of…

We review the field of data assimilation (DA) from a Bayesian perspective and show that, in addition to its by now common application to state estimation, DA may be used for model selection. An important special case of the latter is the…

We present a new strategy for filtering high-dimensional multiscale systems characterized by high-order non-Gaussian statistics using observations from leading-order moments. A closed stochastic-statistical modeling framework suitable for…

Data assimilation algorithms integrate prior information from numerical model simulations with observed data. Ensemble-based filters, regarded as state-of-the-art, are widely employed for large-scale estimation tasks in disciplines such as…

We propose a new algorithm for an adaptive optics system control law which allows to reduce the computational burden in the case of an Extremely Large Telescope (ELT) and to deal with non-stationary behaviors of the turbulence. This…

The Kalman filter is indispensable for state estimation across diverse fields but faces computational challenges with higher dimensions. Approaches such as Riccati equation approximations aim to alleviate this complexity, yet ensuring…

The Kalman-Bucy filter is the optimal state estimator for an Ornstein-Uhlenbeck diffusion given that the system is partially observed via a linear diffusion-type (noisy) sensor. Under Gaussian assumptions, it provides a finite-dimensional…

This paper provides a unified perspective of iterative ensemble Kalman methods, a family of derivative-free algorithms for parameter reconstruction and other related tasks. We identify, compare and develop three subfamilies of ensemble…

Over the years data assimilation methods have been developed to obtain estimations of uncertain model parameters by taking into account a few observations of a model state. The most reliable methods of MCMC are computationally expensive.…

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,…

This paper discusses an innovative adaptive heterogeneous fusion algorithm based on estimation of the mean square error of all variables used in real time processing. The algorithm is designed for a fusion between derivative and absolute…

Many applications, such as intermittent data assimilation, lead to a recursive application of Bayesian inference within a Monte Carlo context. Popular data assimilation algorithms include sequential Monte Carlo methods and ensemble Kalman…

The ensemble Kalman filter (EnKF) is a Monte Carlo approximation of the Kalman filter for high dimensional linear Gaussian state space models. EnKF methods have also been developed for parameter inference of static Bayesian models with a…