Reduced-Order Autodifferentiable Ensemble Kalman Filters

01/27/2023
by   Yuming Chen, et al.
0

This paper introduces a computational framework to reconstruct and forecast a partially observed state that evolves according to an unknown or expensive-to-simulate dynamical system. Our reduced-order autodifferentiable ensemble Kalman filters (ROAD-EnKFs) learn a latent low-dimensional surrogate model for the dynamics and a decoder that maps from the latent space to the state space. The learned dynamics and decoder are then used within an ensemble Kalman filter to reconstruct and forecast the state. Numerical experiments show that if the state dynamics exhibit a hidden low-dimensional structure, ROAD-EnKFs achieve higher accuracy at lower computational cost compared to existing methods. If such structure is not expressed in the latent state dynamics, ROAD-EnKFs achieve similar accuracy at lower cost, making them a promising approach for surrogate state reconstruction and forecasting.

READ FULL TEXT

page 20

page 24

page 32

page 34

research
07/16/2021

Auto-differentiable Ensemble Kalman Filters

Data assimilation is concerned with sequentially estimating a temporally...
research
04/01/2021

Latent Space Data Assimilation by using Deep Learning

Performing Data Assimilation (DA) at a low cost is of prime concern in E...
research
06/06/2020

Online learning of both state and dynamics using ensemble Kalman filters

The reconstruction of the dynamics of an observed physical system as a s...
research
04/04/2023

Adaptive learning of effective dynamics: Adaptive real-time, online modeling for complex systems

Predictive simulations are essential for applications ranging from weath...
research
07/01/2020

A Multifidelity Ensemble Kalman Filter with Reduced Order Control Variates

This work develops a new multifidelity ensemble Kalman filter (MFEnKF) a...
research
08/14/2021

Dimensionality Reduction and State Space Systems: Forecasting the US Treasury Yields Using Frequentist and Bayesian VARs

Using a state-space system, I forecasted the US Treasury yields by emplo...

Please sign up or login with your details

Forgot password? Click here to reset