Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation

• URL: http://arxiv.org/abs/2106.07908v1
• Date: Tue, 15 Jun 2021 06:40:32 GMT
• Title: Machine learning-based conditional mean filter: a generalization of the ensemble Kalman filter for nonlinear data assimilation
• Authors: Truong-Vinh Hoang (1), Sebastian Krumscheid (1), Hermann G. Matthies (2) and Ra\'ul Tempone (1 and 3) ((1) Chair of Mathematics for Uncertainty Quantification, RWTH Aachen University, (2) Technische Universit\"at Braunschweig (3) Computer, Electrical and Mathematical Sciences and Engineering, KAUST, and Alexander von Humboldt professor in Mathematics of Uncertainty Quantification, RWTH Aachen University)
• Abstract summary: We propose a machine learning-based ensemble conditional mean filter (ML-EnCMF) for tracking possibly high-dimensional non-Gaussian state models with nonlinear dynamics based on sparse observations. The proposed filtering method is developed based on the conditional expectation and numerically implemented using machine learning (ML) techniques combined with the ensemble method.
• Score: 42.60602838972598
• License: http://creativecommons.org/licenses/by-nc-sa/4.0/
• Abstract: Filtering is a data assimilation technique that performs the sequential inference of dynamical systems states from noisy observations. Herein, we propose a machine learning-based ensemble conditional mean filter (ML-EnCMF) for tracking possibly high-dimensional non-Gaussian state models with nonlinear dynamics based on sparse observations. The proposed filtering method is developed based on the conditional expectation and numerically implemented using machine learning (ML) techniques combined with the ensemble method. The contribution of this work is twofold. First, we demonstrate that the ensembles assimilated using the ensemble conditional mean filter (EnCMF) provide an unbiased estimator of the Bayesian posterior mean, and their variance matches the expected conditional variance. Second, we implement the EnCMF using artificial neural networks, which have a significant advantage in representing nonlinear functions over high-dimensional domains such as the conditional mean. Finally, we demonstrate the effectiveness of the ML-EnCMF for tracking the states of Lorenz-63 and Lorenz-96 systems under the chaotic regime. Numerical results show that the ML-EnCMF outperforms the ensemble Kalman filter.

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