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Data Assimilation (DA) is a method through which information is extracted from measured quantities and with the help of a mathematical model is transferred through a probability distribution to unknown or unmeasured states and parameters characterizing the system of study. With an estimate of the model paramters, quantitative predictions may be made and compared to subsequent data. Many recent DA efforts rely on an probability distribution optimization that locates the most probable state and parameter values given a set of data. The procedure developed and demonstrated here extends the optimization by appending a biased random walk around the states and parameters of high probability to generate an estimate of the structure in state space of the probability density function (PDF). The estimate of the structure of the PDF will facilitate more accurate estimates of expectation values of means, standard deviations and higher moments of states and parameters that characterize the behavior of the system of study. The ability to calculate these expectation values will allow for an error bar or tolerance interval to be attached to each estimated state or parameter, in turn giving significance to any results generated. The estimation method's merits will be demonstrated on a simulated well known chaotic system, the Lorenz 96 system, and on a toy model of a neuron. In both situations the model system provides unique challenges for estimation: In chaotic systems any small error in estimation generates extremely large prediction errors while in neurons only one of the (at minimum) four dynamical variables can be measured leading to a small amount of data with which to work. This thesis will conclude with an exploration of the equivalence of machine learning and the formulation of statistical DA. The application of previous DA methods are demonstrated on the classic machine learning problem: the characterization of handwritten images from the MNIST data set. The results of this work are used to validate common assumptions in machine learning work such as the dependence of the quality of results on the amount of data presented and the size of the network used. Finally DA is proposed as a method through which to discern an 'ideal' network size for a set of given data which optimizes predictive capabilities while minimizing computational costs.
Data assimilation is a hugely important mathematical technique, relevant in fields as diverse as geophysics, data science, and neuroscience. This modern book provides an authoritative treatment of the field as it relates to several scientific disciplines, with a particular emphasis on recent developments from machine learning and its role in the optimisation of data assimilation. Underlying theory from statistical physics, such as path integrals and Monte Carlo methods, are developed in the text as a basis for data assimilation, and the author then explores examples from current multidisciplinary research such as the modelling of shallow water systems, ocean dynamics, and neuronal dynamics in the avian brain. The theory of data assimilation and machine learning is introduced in an accessible and unified manner, and the book is suitable for undergraduate and graduate students from science and engineering without specialized experience of statistical physics.
The understanding of complex systems is a key element to predict and control the system’s dynamics. To gain deeper insights into the underlying actions of complex systems today, more and more data of diverse types are analyzed that mirror the systems dynamics, whereas system models are still hard to derive. Data assimilation merges both data and model to an optimal description of complex systems’ dynamics. The present eBook brings together both recent theoretical work in data assimilation and control and demonstrates applications in diverse research fields.
Data assimilation is the process of estimating the state of dynamic systems (linear or nonlinear, Gaussian or non-Gaussian) as accurately as possible from noisy observational data. Although the Three Dimensional Variational (3D-VAR) methods, Four Dimensional Variational (4D-VAR) methods and Ensemble Kalman filter (EnKF) methods are widely used and effective for linear and Gaussian dynamics, new methods of data assimilation are required for the general situation, that is, nonlinear non-Gaussian dynamics. General Bayesian recursive estimation theory is reviewed in this thesis. The Bayesian estimation approach provides a rather general and powerful framework for handling nonlinear, non-Gaussian, as well as linear, Gaussian estimation problems. Despite a general solution to the nonlinear estimation problem, there is no closed-form solution in the general case. Therefore, approximate techniques have to be employed. In this thesis, the sequential Monte Carlo (SMC) methods, commonly referred to as the particle filter, is presented to tackle non-linear, non-Gaussian estimation problems. In this thesis, we use the SMC methods only for the nonlinear state estimation problem, however, it can also be used for the nonlinear parameter estimation problem. In order to demonstrate the new methods in the general nonlinear non-Gaussian case, we compare Sequential Monte Carlo (SMC) methods with the Ensemble Kalman Filter (EnKF) by performing data assimilation in nonlinear and non-Gaussian dynamic systems. The models used in this study are referred to as state-space models. The Lorenz 1963 and 1966 models serve as test beds for examining the properties of these assimilation methods when used in highly nonlinear dynamics. The application of Sequential Monte Carlo methods to different fixed parameters in dynamic models is considered. Four different scenarios in the Lorenz 1063 [sic] model and three different scenarios in the Lorenz 1996 model are designed in this study for both the SMC methods and EnKF method with different filter siz.
In the study of data assimilation, people focus on estimating state variables and parameters of dynamical models, and make predictions forward in time, using given observations. It is a method that has been applied to many different fields, such as numerical weather prediction and neurobiology. To make successful estimations and predictions using data assimilation methods, there are a few difficulties that are often encountered. First is the quantity and quality of the data. In some of the typical problems in data assimilation, the number of observations are usually a few order of magnitude smaller than the number of total variables. Considering this and the fact that almost all the data gathered are noisy, how to estimate the observed and unobserved state variables and make good predictions using the noisy and incomplete data is one of the key challenge in data assimilation. Another issue arises from the dynamical model. Most of the interesting models are non-linear, and usually chaotic, which means that a small error in the estimation will grow exponentially over time. This property of the chaotic system addresses the necessity of accurate estimations of variables. In this thesis, I will start with an overview of data assimilation, by formulating the problem that data assimilation tries to solve, and introducing several widely used methods. Then I will explain the Precision Annealing Monte Carlo method that has been developed in the group, as well as its variation using Hamiltonian Monte Carlo. Finally I will demonstrate a few example problems that can be solved using data assimilation methods, varying from a simple but instructional 20-dimension Lorenz 96 model, to a complicated ocean model named Regional Ocean Modeling System.
This book provides a systematic treatment of the mathematical underpinnings of work in data assimilation, covering both theoretical and computational approaches. Specifically the authors develop a unified mathematical framework in which a Bayesian formulation of the problem provides the bedrock for the derivation, development and analysis of algorithms; the many examples used in the text, together with the algorithms which are introduced and discussed, are all illustrated by the MATLAB software detailed in the book and made freely available online. The book is organized into nine chapters: the first contains a brief introduction to the mathematical tools around which the material is organized; the next four are concerned with discrete time dynamical systems and discrete time data; the last four are concerned with continuous time dynamical systems and continuous time data and are organized analogously to the corresponding discrete time chapters. This book is aimed at mathematical researchers interested in a systematic development of this interdisciplinary field, and at researchers from the geosciences, and a variety of other scientific fields, who use tools from data assimilation to combine data with time-dependent models. The numerous examples and illustrations make understanding of the theoretical underpinnings of data assimilation accessible. Furthermore, the examples, exercises and MATLAB software, make the book suitable for students in applied mathematics, either through a lecture course, or through self-study.
This book provides a self-contained and up-to-date treatment of the Monte Carlo method and develops a common framework under which various Monte Carlo techniques can be "standardized" and compared. Given the interdisciplinary nature of the topics and a moderate prerequisite for the reader, this book should be of interest to a broad audience of quantitative researchers such as computational biologists, computer scientists, econometricians, engineers, probabilists, and statisticians. It can also be used as a textbook for a graduate-level course on Monte Carlo methods.
This open-access textbook's significant contribution is the unified derivation of data-assimilation techniques from a common fundamental and optimal starting point, namely Bayes' theorem. Unique for this book is the "top-down" derivation of the assimilation methods. It starts from Bayes theorem and gradually introduces the assumptions and approximations needed to arrive at today's popular data-assimilation methods. This strategy is the opposite of most textbooks and reviews on data assimilation that typically take a bottom-up approach to derive a particular assimilation method. E.g., the derivation of the Kalman Filter from control theory and the derivation of the ensemble Kalman Filter as a low-rank approximation of the standard Kalman Filter. The bottom-up approach derives the assimilation methods from different mathematical principles, making it difficult to compare them. Thus, it is unclear which assumptions are made to derive an assimilation method and sometimes even which problem it aspires to solve. The book's top-down approach allows categorizing data-assimilation methods based on the approximations used. This approach enables the user to choose the most suitable method for a particular problem or application. Have you ever wondered about the difference between the ensemble 4DVar and the "ensemble randomized likelihood" (EnRML) methods? Do you know the differences between the ensemble smoother and the ensemble-Kalman smoother? Would you like to understand how a particle flow is related to a particle filter? In this book, we will provide clear answers to several such questions. The book provides the basis for an advanced course in data assimilation. It focuses on the unified derivation of the methods and illustrates their properties on multiple examples. It is suitable for graduate students, post-docs, scientists, and practitioners working in data assimilation.
This book reviews popular data-assimilation methods, such as weak and strong constraint variational methods, ensemble filters and smoothers. The author shows how different methods can be derived from a common theoretical basis, as well as how they differ or are related to each other, and which properties characterize them, using several examples. Readers will appreciate the included introductory material and detailed derivations in the text, and a supplemental web site.
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.