Abstract
Particle filtering is an essential tool to improve uncertain model predictions by incorporating noisy observational data from complex systems including non-Gaussian features. A class of particle filters, clustered particle filters, is introduced for high-dimensional nonlinear systems, which uses relatively few particles compared with the standard particle filter. The clustered particle filter captures non-Gaussian features of the true signal, which are typical in complex nonlinear dynamical systems such as geophysical systems. The method is also robust in the difficult regime of high-quality sparse and infrequent observations. The key features of the clustered particle filtering are coarse-grained localization through the clustering of the state variables and particle adjustment to stabilize the method; each observation affects only neighbor state variables through clustering and particles are adjusted to prevent particle collapse due to high-quality observations. The clustered particle filter is tested for the 40-dimensional Lorenz 96 model with several dynamical regimes including strongly non-Gaussian statistics. The clustered particle filter shows robust skill in both achieving accurate filter results and capturing non-Gaussian statistics of the true signal. It is further extended to multiscale data assimilation, which provides the large-scale estimation by combining a cheap reduced-order forecast model and mixed observations of the large- and small-scale variables. This approach enables the use of a larger number of particles due to the computational savings in the forecast model. The multiscale clustered particle filter is tested for one-dimensional dispersive wave turbulence using a forecast model with model errors.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 14609-14614 |
| Number of pages | 6 |
| Journal | Proceedings of the National Academy of Sciences of the United States of America |
| Volume | 113 |
| Issue number | 51 |
| DOIs | |
| State | Published - Dec 20 2016 |
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Keywords
- Data assimilation
- Non-Gaussian
- Particle filter
- Uncertainty quantification
ASJC Scopus subject areas
- General
Cite this
State estimation and prediction using clustered particle filters. / Lee, Yoonsang; Majda, Andrew J.
In: Proceedings of the National Academy of Sciences of the United States of America, Vol. 113, No. 51, 20.12.2016, p. 14609-14614.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - State estimation and prediction using clustered particle filters
AU - Lee, Yoonsang
AU - Majda, Andrew J.
PY - 2016/12/20
Y1 - 2016/12/20
N2 - Particle filtering is an essential tool to improve uncertain model predictions by incorporating noisy observational data from complex systems including non-Gaussian features. A class of particle filters, clustered particle filters, is introduced for high-dimensional nonlinear systems, which uses relatively few particles compared with the standard particle filter. The clustered particle filter captures non-Gaussian features of the true signal, which are typical in complex nonlinear dynamical systems such as geophysical systems. The method is also robust in the difficult regime of high-quality sparse and infrequent observations. The key features of the clustered particle filtering are coarse-grained localization through the clustering of the state variables and particle adjustment to stabilize the method; each observation affects only neighbor state variables through clustering and particles are adjusted to prevent particle collapse due to high-quality observations. The clustered particle filter is tested for the 40-dimensional Lorenz 96 model with several dynamical regimes including strongly non-Gaussian statistics. The clustered particle filter shows robust skill in both achieving accurate filter results and capturing non-Gaussian statistics of the true signal. It is further extended to multiscale data assimilation, which provides the large-scale estimation by combining a cheap reduced-order forecast model and mixed observations of the large- and small-scale variables. This approach enables the use of a larger number of particles due to the computational savings in the forecast model. The multiscale clustered particle filter is tested for one-dimensional dispersive wave turbulence using a forecast model with model errors.
AB - Particle filtering is an essential tool to improve uncertain model predictions by incorporating noisy observational data from complex systems including non-Gaussian features. A class of particle filters, clustered particle filters, is introduced for high-dimensional nonlinear systems, which uses relatively few particles compared with the standard particle filter. The clustered particle filter captures non-Gaussian features of the true signal, which are typical in complex nonlinear dynamical systems such as geophysical systems. The method is also robust in the difficult regime of high-quality sparse and infrequent observations. The key features of the clustered particle filtering are coarse-grained localization through the clustering of the state variables and particle adjustment to stabilize the method; each observation affects only neighbor state variables through clustering and particles are adjusted to prevent particle collapse due to high-quality observations. The clustered particle filter is tested for the 40-dimensional Lorenz 96 model with several dynamical regimes including strongly non-Gaussian statistics. The clustered particle filter shows robust skill in both achieving accurate filter results and capturing non-Gaussian statistics of the true signal. It is further extended to multiscale data assimilation, which provides the large-scale estimation by combining a cheap reduced-order forecast model and mixed observations of the large- and small-scale variables. This approach enables the use of a larger number of particles due to the computational savings in the forecast model. The multiscale clustered particle filter is tested for one-dimensional dispersive wave turbulence using a forecast model with model errors.
KW - Data assimilation
KW - Non-Gaussian
KW - Particle filter
KW - Uncertainty quantification
UR - http://www.scopus.com/inward/record.url?scp=85006372771&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=85006372771&partnerID=8YFLogxK
U2 - 10.1073/pnas.1617398113
DO - 10.1073/pnas.1617398113
M3 - Article
VL - 113
SP - 14609
EP - 14614
JO - Proceedings of the National Academy of Sciences of the United States of America
JF - Proceedings of the National Academy of Sciences of the United States of America
SN - 0027-8424
IS - 51
ER -