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Particle filters contain the promise of fully nonlinear data assimilation. They have been applied in numerous science areas, including the geosciences, but their application to high-dimensional geoscience systems has been limited due to their inefficiency in high-dimensional systems in standard settings. However, huge progress has been made, and this limitation is disappearing fast due to recent developments in proposal densities, the use of ideas from (optimal) transportation, the use of localization and intelligent adaptive resampling strategies. Furthermore, powerful hybrids between particle filters and ensemble Kalman filters and variational methods have been developed. We present a state-of-the-art discussion of present efforts of developing particle filters for high-dimensional nonlinear geoscience state-estimation problems, with an emphasis on atmospheric and oceanic applications, including many new ideas, derivations and unifications, highlighting hidden connections, including pseudo-code, and generating a valuable tool and guide for the community. Initial experiments show that particle filters can be competitive with present-day methods for numerical weather prediction, suggesting that they will become mainstream soon.
Nonlinear data assimilation
(2015)
This book contains two review articles on nonlinear data assimilation that deal with closely related topics but were written and can be read independently. Both contributions focus on so-called particle filters.
The first contribution by Jan van Leeuwen focuses on the potential of proposal densities. It discusses the issues with present-day particle filters and explorers new ideas for proposal densities to solve them, converging to particle filters that work well in systems of any dimension, closing the contribution with a high-dimensional example. The second contribution by Cheng and Reich discusses a unified framework for ensemble-transform particle filters. This allows one to bridge successful ensemble Kalman filters with fully nonlinear particle filters, and allows a proper introduction of localization in particle filters, which has been lacking up to now.
This paper is concerned with the filtering problem in continuous time. Three algorithmic solution approaches for this problem are reviewed: (i) the classical Kalman-Bucy filter, which provides an exact solution for the linear Gaussian problem; (ii) the ensemble Kalman-Bucy filter (EnKBF), which is an approximate filter and represents an extension of the Kalman-Bucy filter to nonlinear problems; and (iii) the feedback particle filter (FPF), which represents an extension of the EnKBF and furthermore provides for a consistent solution in the general nonlinear, non-Gaussian case. The common feature of the three algorithms is the gain times error formula to implement the update step (to account for conditioning due to the observations) in the filter. In contrast to the commonly used sequential Monte Carlo methods, the EnKBF and FPF avoid the resampling of the particles in the importance sampling update step. Moreover, the feedback control structure provides for error correction potentially leading to smaller simulation variance and improved stability properties. The paper also discusses the issue of nonuniqueness of the filter update formula and formulates a novel approximation algorithm based on ideas from optimal transport and coupling of measures. Performance of this and other algorithms is illustrated for a numerical example.
A time-staggered semi-Lagrangian discretization of the rotating shallow-water equations is proposed and analysed. Application of regularization to the geopotential field used in the momentum equations leads to an unconditionally stable scheme. The analysis, together with a fully nonlinear example application, suggests that this approach is a promising, efficient, and accurate alternative to traditional schemes.
Classic inversion methods adjust a model with a predefined number of parameters to the observed data. With transdimensional inversion algorithms such as the reversible-jump Markov chain Monte Carlo (rjMCMC), it is possible to vary this number during the inversion and to interpret the observations in a more flexible way. Geoscience imaging applications use this behaviour to automatically adjust model resolution to the inhomogeneities of the investigated system, while keeping the model parameters on an optimal level. The rjMCMC algorithm produces an ensemble as result, a set of model realizations, which together represent the posterior probability distribution of the investigated problem. The realizations are evolved via sequential updates from a randomly chosen initial solution and converge toward the target posterior distribution of the inverse problem. Up to a point in the chain, the realizations may be strongly biased by the initial model, and must be discarded from the final ensemble. With convergence assessment techniques, this point in the chain can be identified. Transdimensional MCMC methods produce ensembles that are not suitable for classic convergence assessment techniques because of the changes in parameter numbers. To overcome this hurdle, three solutions are introduced to convert model realizations to a common dimensionality while maintaining the statistical characteristics of the ensemble. A scalar, a vector and a matrix representation for models is presented, inferred from tomographic subsurface investigations, and three classic convergence assessment techniques are applied on them. It is shown that appropriately chosen scalar conversions of the models could retain similar statistical ensemble properties as geologic projections created by rasterization.
Atomic oscillations present in classical molecular dynamics restrict the step size that can be used. Multiple time stepping schemes offer only modest improvements, and implicit integrators are costly and inaccurate. The best approach may be to actually remove the highest frequency oscillations by constraining bond lengths and bond angles, thus permitting perhaps a 4-fold increase in the step size. However, omitting degrees of freedom produces errors in statistical averages, and rigid angles do not bend for strong excluded volume forces. These difficulties can be addressed by an enhanced treatment of holonomic constrained dynamics using ideas from papers of Fixman (1974) and Reich (1995, 1999). In particular, the 1995 paper proposes the use of "flexible" constraints, and the 1999 paper uses a modified potential energy function with rigid constraints to emulate flexible constraints. Presented here is a more direct and rigorous derivation of the latter approach, together with justification for the use of constraints in molecular modeling. With rigor comes limitations, so practical compromises are proposed: simplifications of the equations and their judicious application when assumptions are violated. Included are suggestions for new approaches.
We develop a multigrid, multiple time stepping scheme to reduce computational efforts for calculating complex stress interactions in a strike-slip 2D planar fault for the simulation of seismicity. The key elements of the multilevel solver are separation of length scale, grid-coarsening, and hierarchy. In this study the complex stress interactions are split into two parts: the first with a small contribution is computed on a coarse level, and the rest for strong interactions is on a fine level. This partition leads to a significant reduction of the number of computations. The reduction of complexity is even enhanced by combining the multigrid with multiple time stepping. Computational efficiency is enhanced by a factor of 10 while retaining a reasonable accuracy, compared to the original full matrix-vortex multiplication. The accuracy of solution and computational efficiency depend on a given cut-off radius that splits multiplications into the two parts. The multigrid scheme is constructed in such a way that it conserves stress in the entire half-space.
We evaluate the Hamiltonian particle methods (HPM) and the Nambu discretization applied to shallow-water equations on the sphere using the test suggested by Galewsky et al. (2004). Both simulations show excellent conservation of energy and are stable in long-term simulation. We repeat the test also using the ICOSWP scheme to compare with the two conservative spatial discretization schemes. The HPM simulation captures the main features of the reference solution, but wave 5 pattern is dominant in the simulations applied on the ICON grid with relatively low spatial resolutions. Nevertheless, agreement in statistics between the three schemes indicates their qualitatively similar behaviors in the long-term integration.
We develop a hydrostatic Hamiltonian particle-mesh (HPM) method for efficient long-term numerical integration of the atmosphere. In the HPM method, the hydrostatic approximation is interpreted as a holonomic constraint for the vertical position of particles. This can be viewed as defining a set of vertically buoyant horizontal meshes, with the altitude of each mesh point determined so as to satisfy the hydrostatic balance condition and with particles modelling horizontal advection between the moving meshes. We implement the method in a vertical-slice model and evaluate its performance for the simulation of idealized linear and nonlinear orographic flow in both dry and moist environments. The HPM method is able to capture the basic features of the gravity wave to a degree of accuracy comparable with that reported in the literature. The numerical solution in the moist experiment indicates that the influence of moisture on wave characteristics is represented reasonably well and the reduction of momentum flux is in good agreement with theoretical analysis.
Process-oriented theories of cognition must be evaluated against time-ordered observations. Here we present a representative example for data assimilation of the SWIFT model, a dynamical model of the control of fixation positions and fixation durations during natural reading of single sentences. First, we develop and test an approximate likelihood function of the model, which is a combination of a spatial, pseudo-marginal likelihood and a temporal likelihood obtained by probability density approximation Second, we implement a Bayesian approach to parameter inference using an adaptive Markov chain Monte Carlo procedure. Our results indicate that model parameters can be estimated reliably for individual subjects. We conclude that approximative Bayesian inference represents a considerable step forward for computational models of eye-movement control, where modeling of individual data on the basis of process-based dynamic models has not been possible so far.
Dynamical models of cognition play an increasingly important role in driving theoretical and experimental research in psychology. Therefore, parameter estimation, model analysis and comparison of dynamical models are of essential importance. In this article, we propose a maximum likelihood approach for model analysis in a fully dynamical framework that includes time-ordered experimental data. Our methods can be applied to dynamical models for the prediction of discrete behavior (e.g., movement onsets); in particular, we use a dynamical model of saccade generation in scene viewing as a case study for our approach. For this model, the likelihood function can be computed directly by numerical simulation, which enables more efficient parameter estimation including Bayesian inference to obtain reliable estimates and corresponding credible intervals. Using hierarchical models inference is even possible for individual observers. Furthermore, our likelihood approach can be used to compare different models. In our example, the dynamical framework is shown to outperform nondynamical statistical models. Additionally, the likelihood based evaluation differentiates model variants, which produced indistinguishable predictions on hitherto used statistics. Our results indicate that the likelihood approach is a promising framework for dynamical cognitive models.
Bayesian inference can be embedded into an appropriately defined dynamics in the space of probability measures. In this paper, we take Brownian motion and its associated Fokker-Planck equation as a starting point for such embeddings and explore several interacting particle approximations. More specifically, we consider both deterministic and stochastic interacting particle systems and combine them with the idea of preconditioning by the empirical covariance matrix. In addition to leading to affine invariant formulations which asymptotically speed up convergence, preconditioning allows for gradient-free implementations in the spirit of the ensemble Kalman filter. While such gradient-free implementations have been demonstrated to work well for posterior measures that are nearly Gaussian, we extend their scope of applicability to multimodal measures by introducing localized gradient-free approximations. Numerical results demonstrate the effectiveness of the considered methodologies.
The efficient time integration of the dynamic core equations for numerical weather prediction (NWP) remains a key challenge. One of the most popular methods is currently provided by implementations of the semi-implicit semi-Lagrangian (SISL) method, originally proposed by Robert (J. Meteorol. Soc. Jpn., 1982). Practical implementations of the SISL method are, however, not without certain shortcomings with regard to accuracy, conservation properties and stability. Based on recent work by Gottwald, Frank and Reich (LNCSE, Springer, 2002), Frank, Reich, Staniforth, White and Wood (Atm. Sci. Lett., 2005) and Wood, Staniforth and Reich (Atm. Sci. Lett., 2006) we propose an alternative semi-Lagrangian implementation based on a set of regularized equations and the popular Stormer-Verlet time stepping method in the context of the shallow-water equations (SWEs). Ultimately, the goal is to develop practical implementations for the 3D Euler equations that overcome some or all shortcomings of current SISL implementations.
We consider the numerical treatment of Hamiltonian systems that contain a potential which grows large when the system deviates from the equilibrium value of the potential. Such systems arise, e.g., in molecular dynamics simulations and the spatial discretization of Hamiltonian partial differential equations. Since the presence of highly oscillatory terms in the solutions forces any explicit integrator to use very small step size, the numerical integration of such systems provides a challenging task. It has been suggested before to replace the strong potential by a holonomic constraint that forces the solutions to stay at the equilibrium value of the potential. This approach has, e.g., been successfully applied to the bond stretching in molecular dynamics simulations. In other cases, such as the bond-angle bending, this methods fails due to the introduced rigidity. Here we give a careful analysis of the analytical problem by means of a smoothing operator. This will lead us to the notion of the smoothed dynamics of a highly oscillatory Hamiltonian system. Based on our analysis, we suggest a new constrained formulation that maintains the flexibility of the system while at the same time suppressing the high-frequency components in the solutions and thus allowing for larger time steps. The new constrained formulation is Hamiltonian and can be discretized by the well-known SHAKE method.
In diesem Beitrag wird der Zusammenhang zwischen Algebrodifferentialgleichungen (ADGL) und Vektorfeldern auf Mannigfaltigkeiten untersucht. Dazu wird zunächst der Begriff der regulären ADGL eingeführt, wobei unter eirter regulären ADGL eine ADGL verstanden wird, deren Lösungsmenge identisch mit der Lösungsmenge eines Vektorfeldes ist. Ausgehend von bekannten Aussagen über die Lösungsmenge eines Vektorfeldes werden analoge Aussagen für die Lösungsmenge einer regulären ADGL abgeleitet. Es wird eine Reduktionsmethode angegeben, die auf ein Kriterium für die Begularität einer ADGL und auf die Definition des Index einer nichtlinearen ADGL führt. Außerdem wird gezeigt, daß beliebige Vektorfelder durch reguläre ADGL so realisiert werden können, daß die Lösungsmenge des Vektorfeldes mit der der realisierenden ADGL identisch ist. Abschließend werden die für autonome ADGL gewonnenen Aussagen auf den Fall der nichtautonomen ADGL übertragen.
Technical and physical systems, especially electronic circuits, are frequently modeled as a system of differential and nonlinear implicit equations. In the literature such systems of equations are called differentialalgebraic equations (DAEs). It turns out that the numerical and analytical properties of a DAE depend on an integer called the index of the problem. For example, the well-known BDF method of Gear can be applied, in general, to a DAE only if the index does not exceed one. In this paper we give a geometric interpretation of higherindex DAEs and indicate problems arising in connection with such DAEs by means of several examples.
Data assimilation
(2019)
Data assimilation addresses the general problem of how to combine model-based predictions with partial and noisy observations of the process in an optimal manner. This survey focuses on sequential data assimilation techniques using probabilistic particle-based algorithms. In addition to surveying recent developments for discrete- and continuous-time data assimilation, both in terms of mathematical foundations and algorithmic implementations, we also provide a unifying framework from the perspective of coupling of measures, and Schrödinger’s boundary value problem for stochastic processes in particular.
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 filters (EnKFs). These methods differ in the way Bayesian inference is implemented. Sequential Monte Carlo methods rely on importance sampling combined with a resampling step, while EnKFs utilize a linear transformation of Monte Carlo samples based on the classic Kalman filter. While EnKFs have proven to be quite robust even for small ensemble sizes, they are not consistent since their derivation relies on a linear regression ansatz. In this paper, we propose another transform method, which does not rely on any a priori assumptions on the underlying prior and posterior distributions. The new method is based on solving an optimal transportation problem for discrete random variables.
We consider the problem of discrete time filtering (intermittent data assimilation) for differential equation models and discuss methods for its numerical approximation. The focus is on methods based on ensemble/particle techniques and on the ensemble Kalman filter technique in particular. We summarize as well as extend recent work on continuous ensemble Kalman filter formulations, which provide a concise dynamical systems formulation of the combined dynamics-assimilation problem. Possible extensions to fully nonlinear ensemble/particle based filters are also outlined using the framework of optimal transportation theory.
We generalize the popular ensemble Kalman filter to an ensemble transform filter, in which the prior distribution can take the form of a Gaussian mixture or a Gaussian kernel density estimator. The design of the filter is based on a continuous formulation of the Bayesian filter analysis step. We call the new filter algorithm the ensemble Gaussian-mixture filter (EGMF). The EGMF is implemented for three simple test problems (Brownian dynamics in one dimension, Langevin dynamics in two dimensions and the three-dimensional Lorenz-63 model). It is demonstrated that the EGMF is capable of tracking systems with non-Gaussian uni- and multimodal ensemble distributions.
The subject of this paper is the relation of differential-algebraic equations (DAEs) to vector fields on manifolds. For that reason, we introduce the notion of a regular DAE as a DAE to which a vector field uniquely corresponds. Furthermore, a technique is described which yields a family of manifolds for a given DAE. This socalled family of constraint manifolds allows in turn the formulation of sufficient conditions for the regularity of a DAE. and the definition of the index of a regular DAE. We also state a method for the reduction of higher-index DAEs to lowsr-index ones that can be solved without introducing additional constants of integration. Finally, the notion of realizability of a given vector field by a regular DAE is introduced, and it is shown that any vector field can be realized by a regular DAE. Throughout this paper the problem of path-tracing is discussed as an illustration of the mathematical phenomena.
In this paper, we show that symplectic partitioned Runge-Kutta methods conserve momentum maps corresponding to linear symmetry groups acting on the phase space of Hamiltonian differential equations by extended point transformation. We also generalize this result to constrained systems and show how this conservation property relates to the symplectic integration of Lie-Poisson systems on certain submanifolds of the general matrix group GL(n).
A theoretical famework for the investigation of the qualitative behavior of differential-algebraic equations (DAEs) near an equilibrium point is established. The key notion of our approach is the notion of regularity. A DAE is called regular locally around an equilibrium point if there is a unique vector field such that the solutions of the DAE and the vector field are in one-to-one correspondence in a neighborhood of this equili Drium point. Sufficient conditions for the regularity of an equilibrium point are stated. This in turn allows us to translate several local results, as formulated for vector fields, to DAEs that are regular locally around a g: ven equilibrium point (e.g. Local Stable and Unstable Manifold Theorem, Hopf theorem). It is important that ihese theorems are stated in terms of the given problem and not in terms of the corresponding vector field.
An existence and uniqueness theory is developed for general nonlinear and nonautonomous differential-algebraic equations (DAEs) by exploiting their underlying differential-geometric structure. A DAE is called regular if there is a unique nonautonomous vector field such that the solutions of the DAE and the solutions of the vector field are in one-to-one correspondence. Sufficient conditions for regularity of a DAE are derived in terms of constrained manifolds. Based on this differential-geometric characterization, existence and uniqueness results are stated for regular DAEs. Furthermore, our not ons are compared with techniques frequently used in the literature such as index and solvability. The results are illustrated in detail by means of a simple circuit example.
Various particle filters have been proposed over the last couple of decades with the common feature that the update step is governed by a type of control law. This feature makes them an attractive alternative to traditional sequential Monte Carlo which scales poorly with the state dimension due to weight degeneracy. This article proposes a unifying framework that allows us to systematically derive the McKean-Vlasov representations of these filters for the discrete time and continuous time observation case, taking inspiration from the smooth approximation of the data considered in [D. Crisan and J. Xiong, Stochastics, 82 (2010), pp. 53-68; J. M. Clark and D. Crisan, Probab. Theory Related Fields, 133 (2005), pp. 43-56]. We consider three filters that have been proposed in the literature and use this framework to derive Ito representations of their limiting forms as the approximation parameter delta -> 0. All filters require the solution of a Poisson equation defined on R-d, for which existence and uniqueness of solutions can be a nontrivial issue. We additionally establish conditions on the signal-observation system that ensures well-posedness of the weighted Poisson equation arising in one of the filters.
The success of the ensemble Kalman filter has triggered a strong interest in expanding its scope beyond classical state estimation problems. In this paper, we focus on continuous-time data assimilation where the model and measurement errors are correlated and both states and parameters need to be identified. Such scenarios arise from noisy and partial observations of Lagrangian particles which move under a stochastic velocity field involving unknown parameters. We take an appropriate class of McKean–Vlasov equations as the starting point to derive ensemble Kalman–Bucy filter algorithms for combined state and parameter estimation. We demonstrate their performance through a series of increasingly complex multi-scale model systems.
The success of the ensemble Kalman filter has triggered a strong interest in expanding its scope beyond classical state estimation problems. In this paper, we focus on continuous-time data assimilation where the model and measurement errors are correlated and both states and parameters need to be identified. Such scenarios arise from noisy and partial observations of Lagrangian particles which move under a stochastic velocity field involving unknown parameters. We take an appropriate class of McKean-Vlasov equations as the starting point to derive ensemble Kalman-Bucy filter algorithms for combined state and parameter estimation. We demonstrate their performance through a series of increasingly complex multi-scale model systems.
Interacting particle solutions of Fokker–Planck equations through gradient–log–density estimation
(2020)
Fokker-Planck equations are extensively employed in various scientific fields as they characterise the behaviour of stochastic systems at the level of probability density functions. Although broadly used, they allow for analytical treatment only in limited settings, and often it is inevitable to resort to numerical solutions. Here, we develop a computational approach for simulating the time evolution of Fokker-Planck solutions in terms of a mean field limit of an interacting particle system. The interactions between particles are determined by the gradient of the logarithm of the particle density, approximated here by a novel statistical estimator. The performance of our method shows promising results, with more accurate and less fluctuating statistics compared to direct stochastic simulations of comparable particle number. Taken together, our framework allows for effortless and reliable particle-based simulations of Fokker-Planck equations in low and moderate dimensions. The proposed gradient-log-density estimator is also of independent interest, for example, in the context of optimal control.
The adsorption of molecules to the surface of carbon nanostructures opens a new field of hybrid systems with distinct and controllable properties. We present a microscopic study of the optical absorption in carbon nanotubes functionalized with molecular spiropyran photoswitches. The switching process induces a change in the dipole moment leading to a significant coupling to the charge carriers in the nanotube. As a result, the absorption spectra of functionalized tubes reveal a considerable redshift of transition energies depending on the switching state of the spiropyran molecule. Our results suggest that carbon nanotubes are excellent substrates for the optical readout of spiropyran-based molecular switches. The gained insights can be applied to other noncovalently functionalized one-dimensional nanostructures in an externally induced dipole field.
Author summary <br /> Switching between local and global attention is a general strategy in human information processing. We investigate whether this strategy is a viable approach to model sequences of fixations generated by a human observer in a free viewing task with natural scenes. Variants of the basic model are used to predict the experimental data based on Bayesian inference. Results indicate a high predictive power for both aggregated data and individual differences across observers. The combination of a novel model with state-of-the-art Bayesian methods lends support to our two-state model using local and global internal attention states for controlling eye movements. <br /> Understanding the decision process underlying gaze control is an important question in cognitive neuroscience with applications in diverse fields ranging from psychology to computer vision. The decision for choosing an upcoming saccade target can be framed as a selection process between two states: Should the observer further inspect the information near the current gaze position (local attention) or continue with exploration of other patches of the given scene (global attention)? Here we propose and investigate a mathematical model motivated by switching between these two attentional states during scene viewing. The model is derived from a minimal set of assumptions that generates realistic eye movement behavior. We implemented a Bayesian approach for model parameter inference based on the model's likelihood function. In order to simplify the inference, we applied data augmentation methods that allowed the use of conjugate priors and the construction of an efficient Gibbs sampler. This approach turned out to be numerically efficient and permitted fitting interindividual differences in saccade statistics. Thus, the main contribution of our modeling approach is two-fold; first, we propose a new model for saccade generation in scene viewing. Second, we demonstrate the use of novel methods from Bayesian inference in the field of scan path modeling.
The accepted idea that there exists an inherent finite-time barrier in deterministically predicting atmospheric flows originates from Edward N. Lorenz’s 1969 work based on two-dimensional (2D) turbulence. Yet, known analytic results on the 2D Navier–Stokes (N-S) equations suggest that one can skillfully predict the 2D N-S system indefinitely far ahead should the initial-condition error become sufficiently small, thereby presenting a potential conflict with Lorenz’s theory. Aided by numerical simulations, the present work reexamines Lorenz’s model and reviews both sides of the argument, paying particular attention to the roles played by the slope of the kinetic energy spectrum. It is found that when this slope is shallower than −3, the Lipschitz continuity of analytic solutions (with respect to initial conditions) breaks down as the model resolution increases, unless the viscous range of the real system is resolved—which remains practically impossible. This breakdown leads to the inherent finite-time limit. If, on the other hand, the spectral slope is steeper than −3, then the breakdown does not occur. In this way, the apparent contradiction between the analytic results and Lorenz’s theory is reconciled.
Global numerical weather prediction (NWP) models have begun to resolve the mesoscale k(-5/3) range of the energy spectrum, which is known to impose an inherently finite range of deterministic predictability per se as errors develop more rapidly on these scales than on the larger scales. However, the dynamics of these errors under the influence of the synoptic-scale k(-3) range is little studied. Within a perfect-model context, the present work examines the error growth behavior under such a hybrid spectrum in Lorenz's original model of 1969, and in a series of identical-twin perturbation experiments using an idealized two-dimensional barotropic turbulence model at a range of resolutions. With the typical resolution of today's global NWP ensembles, error growth remains largely uniform across scales. The theoretically expected fast error growth characteristic of a k(-5/3) spectrum is seen to be largely suppressed in the first decade of the mesoscale range by the synoptic-scale k(-3) range. However, it emerges once models become fully able to resolve features on something like a 20-km scale, which corresponds to a grid resolution on the order of a few kilometers.
Forecast verification
(2021)
The philosophy of forecast verification is rather different between deterministic and probabilistic verification metrics: generally speaking, deterministic metrics measure differences, whereas probabilistic metrics assess reliability and sharpness of predictive distributions. This article considers the root-mean-square error (RMSE), which can be seen as a deterministic metric, and the probabilistic metric Continuous Ranked Probability Score (CRPS), and demonstrates that under certain conditions, the CRPS can be mathematically expressed in terms of the RMSE when these metrics are aggregated. One of the required conditions is the normality of distributions. The other condition is that, while the forecast ensemble need not be calibrated, any bias or over/underdispersion cannot depend on the forecast distribution itself. Under these conditions, the CRPS is a fraction of the RMSE, and this fraction depends only on the heteroscedasticity of the ensemble spread and the measures of calibration. The derived CRPS-RMSE relationship for the case of perfect ensemble reliability is tested on simulations of idealised two-dimensional barotropic turbulence. Results suggest that the relationship holds approximately despite the normality condition not being met.
A Hamiltonian system in potential form (formula in the original abstract) subject to smooth constraints on q can be viewed as a Hamiltonian system on a manifold, but numerical computations must be performed in Rn. In this paper methods which reduce "Hamiltonian differential algebraic equations" to ODEs in Euclidean space are examined. The authors study the construction of canonical parameterizations or local charts as well as methods based on the construction of ODE systems in the space in which the constraint manifold is embedded which preserve the constraint manifold as an invariant manifold. In each case, a Hamiltonian system of ordinary differential equations is produced. The stability of the constraint invariants and the behavior of the original Hamiltonian along solutions are investigated both numerically and analytically.
We present a Monte Carlo technique for sampling from the canonical distribution in molecular dynamics. The method is built upon the Nose-Hoover constant temperature formulation and the generalized hybrid Monte Carlo method. In contrast to standard hybrid Monte Carlo methods only the thermostat degree of freedom is stochastically resampled during a Monte Carlo step.
Data assimilation algorithms are used to estimate the states of a dynamical system using partial and noisy observations. The ensemble Kalman filter has become a popular data assimilation scheme due to its simplicity and robustness for a wide range of application areas. Nevertheless, this filter also has limitations due to its inherent assumptions of Gaussianity and linearity, which can manifest themselves in the form of dynamically inconsistent state estimates. This issue is investigated here for balanced, slowly evolving solutions to highly oscillatory Hamiltonian systems which are prototypical for applications in numerical weather prediction. It is demonstrated that the standard ensemble Kalman filter can lead to state estimates that do not satisfy the pertinent balance relations and ultimately lead to filter divergence. Two remedies are proposed, one in terms of blended asymptotically consistent time-stepping schemes, and one in terms of minimization-based postprocessing methods. The effects of these modifications to the standard ensemble Kalman filter are discussed and demonstrated numerically for balanced motions of two prototypical Hamiltonian reference systems.
This paper extends the multilevel Monte Carlo variance reduction technique to nonlinear filtering. In particular, multilevel Monte Carlo is applied to a certain variant of the particle filter, the ensemble transform particle filter (EPTF). A key aspect is the use of optimal transport methods to re-establish correlation between coarse and fine ensembles after resampling; this controls the variance of the estimator. Numerical examples present a proof of concept of the effectiveness of the proposed method, demonstrating significant computational cost reductions (relative to the single-level ETPF counterpart) in the propagation of ensembles.
We present a supervised learning method to learn the propagator map of a dynamical system from partial and noisy observations. In our computationally cheap and easy-to-implement framework, a neural network consisting of random feature maps is trained sequentially by incoming observations within a data assimilation procedure. By employing Takens's embedding theorem, the network is trained on delay coordinates. We show that the combination of random feature maps and data assimilation, called RAFDA, outperforms standard random feature maps for which the dynamics is learned using batch data.
Data-driven prediction and physics-agnostic machine-learning methods have attracted increased interest in recent years achieving forecast horizons going well beyond those to be expected for chaotic dynamical systems. In a separate strand of research data-assimilation has been successfully used to optimally combine forecast models and their inherent uncertainty with incoming noisy observations. The key idea in our work here is to achieve increased forecast capabilities by judiciously combining machine-learning algorithms and data assimilation. We combine the physics-agnostic data -driven approach of random feature maps as a forecast model within an ensemble Kalman filter data assimilation procedure. The machine-learning model is learned sequentially by incorporating incoming noisy observations. We show that the obtained forecast model has remarkably good forecast skill while being computationally cheap once trained. Going beyond the task of forecasting, we show that our method can be used to generate reliable ensembles for probabilistic forecasting as well as to learn effective model closure in multi-scale systems. (C) 2021 Elsevier B.V. All rights reserved.
The problem of an ensemble Kalman filter when only partial observations are available is considered. In particular, the situation is investigated where the observational space consists of variables that are directly observable with known observational error, and of variables of which only their climatic variance and mean are given. To limit the variance of the latter poorly resolved variables a variance-limiting Kalman filter (VLKF) is derived in a variational setting. The VLKF for a simple linear toy model is analyzed and its range of optimal performance is determined. The VLKF is explored in an ensemble transform setting for the Lorenz-96 system, and it is shown that incorporating the information of the variance of some unobservable variables can improve the skill and also increase the stability of the data assimilation procedure.
We propose a computational method (with acronym ALDI) for sampling from a given target distribution based on first-order (overdamped) Langevin dynamics which satisfies the property of affine invariance. The central idea of ALDI is to run an ensemble of particles with their empirical covariance serving as a preconditioner for their underlying Langevin dynamics. ALDI does not require taking the inverse or square root of the empirical covariance matrix, which enables application to high-dimensional sampling problems. The theoretical properties of ALDI are studied in terms of nondegeneracy and ergodicity. Furthermore, we study its connections to diffusion on Riemannian manifolds and Wasserstein gradient flows. Bayesian inference serves as a main application area for ALDI. In case of a forward problem with additive Gaussian measurement errors, ALDI allows for a gradient-free approximation in the spirit of the ensemble Kalman filter. A computational comparison between gradient-free and gradient-based ALDI is provided for a PDE constrained Bayesian inverse problem.
Multisymplectic methods have recently been proposed as a generalization of symplectic ODE methods to the case of Hamiltonian PDEs. Their excellent long time behavior for a variety of Hamiltonian wave equations has been demonstrated in a number of numerical studies. A theoretical investigation and justification of multisymplectic methods is still largely missing. In this paper, we study linear multisymplectic PDEs and their discretization by means of numerical dispersion relations. It is found that multisymplectic methods in the sense of Bridges and Reich [Phys. Lett. A, 284 ( 2001), pp. 184-193] and Reich [J. Comput. Phys., 157 (2000), pp. 473-499], such as Gauss-Legendre Runge-Kutta methods, possess a number of desirable properties such as nonexistence of spurious roots and conservation of the sign of the group velocity. A certain CFL-type restriction on Delta t/Delta x might be required for methods higher than second order in time. It is also demonstrated by means of the explicit midpoint method that multistep methods may exhibit spurious roots in the numerical dispersion relation for any value of Delta t/Delta x despite being multisymplectic in the sense of discrete variational mechanics [J. E. Marsden, G. P. Patrick, and S. Shkoller, Commun. Math. Phys., 199 (1999), pp. 351-395]
Performance of the generalized shadow hybrid Monte Carlo (GSHMC) method [1], which proved to be superior in sampling efficiency over its predecessors [2-4], molecular dynamics and hybrid Monte Carlo, can be further improved by combining it with multi-time-stepping (MTS) and mollification of slow forces. We demonstrate that the comparatively simple modifications of the method not only lead to better performance of GSHMC itself but also allow for beating the best performed methods, which use the similar force splitting schemes. In addition we show that the same ideas can be successfully applied to the conventional generalized hybrid Monte Carlo method (GHMC). The resulting methods, MTS-GHMC and MTS-GSHMC, provide accurate reproduction of thermodynamic and dynamical properties, exact temperature control during simulation and computational robustness and efficiency. MTS-GHMC uses a generalized momentum update to achieve weak stochastic stabilization to the molecular dynamics (MD) integrator. MTS-GSHMC adds the use of a shadow (modified) Hamiltonian to filter the MD trajectories in the HMC scheme. We introduce a new shadow Hamiltonian formulation adapted to force-splitting methods. The use of such Hamiltonians improves the acceptance rate of trajectories and has a strong impact on the sampling efficiency of the method. Both methods were implemented in the open-source MD package ProtoMol and were tested on a water and a protein systems. Results were compared to those obtained using a Langevin Molly (LM) method [5] on the same systems. The test results demonstrate the superiority of the new methods over LM in terms of stability, accuracy and sampling efficiency. This suggests that putting the MTS approach in the framework of hybrid Monte Carlo and using the natural stochasticity offered by the generalized hybrid Monte Carlo lead to improving stability of MTS and allow for achieving larger step sizes in the simulation of complex systems.
Dynamical models make specific assumptions about cognitive processes that generate human behavior. In data assimilation, these models are tested against timeordered data. Recent progress on Bayesian data assimilation demonstrates that this approach combines the strengths of statistical modeling of individual differences with the those of dynamical cognitive models.
Sequential data assimilation of the stochastic SEIR epidemic model for regional COVID-19 dynamics
(2021)
Newly emerging pandemics like COVID-19 call for predictive models to implement precisely tuned responses to limit their deep impact on society. Standard epidemic models provide a theoretically well-founded dynamical description of disease incidence. For COVID-19 with infectiousness peaking before and at symptom onset, the SEIR model explains the hidden build-up of exposed individuals which creates challenges for containment strategies. However, spatial heterogeneity raises questions about the adequacy of modeling epidemic outbreaks on the level of a whole country. Here, we show that by applying sequential data assimilation to the stochastic SEIR epidemic model, we can capture the dynamic behavior of outbreaks on a regional level. Regional modeling, with relatively low numbers of infected and demographic noise, accounts for both spatial heterogeneity and stochasticity. Based on adapted models, short-term predictions can be achieved. Thus, with the help of these sequential data assimilation methods, more realistic epidemic models are within reach.
The ensemble Kalman filter has become a popular data assimilation technique in the geosciences. However, little is known theoretically about its long term stability and accuracy. In this paper, we investigate the behavior of an ensemble Kalman-Bucy filter applied to continuous-time filtering problems. We derive mean field limiting equations as the ensemble size goes to infinity as well as uniform-in-time accuracy and stability results for finite ensemble sizes. The later results require that the process is fully observed and that the measurement noise is small. We also demonstrate that our ensemble Kalman-Bucy filter is consistent with the classic Kalman-Bucy filter for linear systems and Gaussian processes. We finally verify our theoretical findings for the Lorenz-63 system.
Several numerical tools designed to overcome the challenges of smoothing in a non-linear and non-Gaussian setting are investigated for a class of particle smoothers. The considered family of smoothers is induced by the class of linear ensemble transform filters which contains classical filters such as the stochastic ensemble Kalman filter, the ensemble square root filter, and the recently introduced nonlinear ensemble transform filter. Further the ensemble transform particle smoother is introduced and particularly highlighted as it is consistent in the particle limit and does not require assumptions with respect to the family of the posterior distribution. The linear update pattern of the considered class of linear ensemble transform smoothers allows one to implement important supplementary techniques such as adaptive spread corrections, hybrid formulations, and localization in order to facilitate their application to complex estimation problems. These additional features are derived and numerically investigated for a sequence of increasingly challenging test problems.
We introduce a new mixed finite element for solving the 2- and 3-dimensional wave equations and equations of incompressible flow. The element, which we refer to as P1(D)-P2, uses discontinuous piecewise linear functions for velocity and continuous piecewise quadratic functions for pressure. The aim of introducing the mixed formulation is to produce a new flexible element choice for triangular and tetrahedral meshes which satisfies the LBB stability condition and hence has no spurious zero-energy modes. The advantage of this particular element choice is that the mass matrix for velocity is block diagonal so it can be trivially inverted; it also allows the order of the pressure to be increased to quadratic whilst maintaining LBB stability which has benefits in geophysical applications with Coriolis forces. We give a normal mode analysis of the semi-discrete wave equation in one dimension which shows that the element pair is stable, and demonstrate that the element is stable with numerical integrations of the wave equation in two dimensions, an analysis of the resultant discrete Laplace operator in two and three dimensions on various meshes which shows that the element pair does not have any spurious modes. We provide convergence tests for the element pair which confirm that the element is stable since the convergence rate of the numerical solution is quadratic.
The paper provides an introduction and survey of conservative discretization methods for Hamiltonian partial differential equations. The emphasis is on variational, symplectic and multi-symplectic methods. The derivation of methods as well as some of their fundamental geometric properties are discussed. Basic principles are illustrated by means of examples from wave and fluid dynamics