TY - JOUR
T1 - Adaptive approximation of higher order posterior statistics
AU - Lee, Wonjung
PY - 2014/2/1
Y1 - 2014/2/1
N2 - Filtering is an approach for incorporating observed data into time-evolving systems. Instead of a family of Dirac delta masses that is widely used in Monte Carlo methods, we here use the Wiener chaos expansion for the parametrization of the conditioned probability distribution to solve the nonlinear filtering problem. The Wiener chaos expansion is not the best method for uncertainty propagation without observations. Nevertheless, the projection of the system variables in a fixed polynomial basis spanning the probability space might be a competitive representation in the presence of relatively frequent observations because the Wiener chaos approach not only leads to an accurate and efficient prediction for short time uncertainty quantification, but it also allows to apply several data assimilation methods that can be used to yield a better approximate filtering solution. The aim of the present paper is to investigate this hypothesis. We answer in the affirmative for the (stochastic) Lorenz-63 system based on numerical simulations in which the uncertainty quantification method and the data assimilation method are adaptively selected by whether the dynamics is driven by Brownian motion and the near-Gaussianity of the measure to be updated, respectively. © 2013 Elsevier Inc.
AB - Filtering is an approach for incorporating observed data into time-evolving systems. Instead of a family of Dirac delta masses that is widely used in Monte Carlo methods, we here use the Wiener chaos expansion for the parametrization of the conditioned probability distribution to solve the nonlinear filtering problem. The Wiener chaos expansion is not the best method for uncertainty propagation without observations. Nevertheless, the projection of the system variables in a fixed polynomial basis spanning the probability space might be a competitive representation in the presence of relatively frequent observations because the Wiener chaos approach not only leads to an accurate and efficient prediction for short time uncertainty quantification, but it also allows to apply several data assimilation methods that can be used to yield a better approximate filtering solution. The aim of the present paper is to investigate this hypothesis. We answer in the affirmative for the (stochastic) Lorenz-63 system based on numerical simulations in which the uncertainty quantification method and the data assimilation method are adaptively selected by whether the dynamics is driven by Brownian motion and the near-Gaussianity of the measure to be updated, respectively. © 2013 Elsevier Inc.
KW - Data assimilation
KW - Nonlinear filtering
KW - Uncertainty quantification
KW - Wiener chaos expansion
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U2 - 10.1016/j.jcp.2013.11.015
DO - 10.1016/j.jcp.2013.11.015
M3 - 21_Publication in refereed journal
VL - 258
SP - 833
EP - 855
JO - Journal of Computational Physics
JF - Journal of Computational Physics
SN - 0021-9991
ER -