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Nonlinear Data Assimilation using an extremely efficient
Particle Filter
Peter Jan van LeeuwenData-Assimilation Research Centre
University of Reading
The Agulhas System
In-situ observations
In-situ observations
In situ observationsTransport through Mozambique Channel
Data assimilation
Uncertainty points to use of probability density functions.
P(u)
u (m/s)1.00.50.0
Data assimilation: general formulation
Solution is pdf!
NO INVERSION !!!
Bayes theorem:
How is this used today?
• Present-day data-assimilation systems are based on linearizations and search for one optimal state:
• (Ensemble) Kalman filter: assumes Gaussian pdf’s• 4DVar: smoother assumes Gaussian pdf for initial state
and observations (no model errors)• Representer method: as 4DVar but with Gaussian
model errors• Combinations of these
Prediction: smoothers vs. filters
• The smoother solves for the mode of the conditional joint pdf p( 0:T | d0:T) (modal trajectory).
• The filter solves for the mode of the conditional marginal pdf p( T | d0:T).
For linear dynamics these give the same prediction.
• Filters maximize the marginal pdf
These are not the same for nonlinear problems !!!
• Smoothers maximize the joint pdf
Example
n+1 = 0.5 n + _________ + n2 n
1 + e (n - 7)
0 ~ N(-0.1, 10)
Nonlinear model
Initial pdf
n ~ N(0, 10)
Model noise
Example: marginal pdf’s
0
0.05
0.1
0.15
-40 -30 -20 -10 0 10 20 30
0 n
0
0.05
0.1
0.15
-15 -10 -5 0 5 10 15
Note: mode is at x= - 0.1 Note: mode is at x=8.5
0
n
Example: joint pdfMode joint pdf
Modes marginal pdf’s
And what about the linearizations?
• Kalman-like filters solve for the wrong state: gives rise to bias.
• Variational methods use gradient methods, which can end up in local minima.
• 4DVar assumes perfect model: gives rise to bias.
Where do we want to go?
• Represent pdf by an ensemble of model states
• Fully nonlinear
Time
How do we get there? Particle filter?
Use ensemble
with the weights.
What are these weights?
• The weight w_i is the pdf of the observations given the model state i.
• For M independent Gaussian distributed observation errors:
Standard Particle filter
Particle Filter degeneracy: resampling
• With each new set of observations the old weights are multiplied with the new weights.
• Very soon only one particle has all the weight…
• Solution: Resampling: duplicate high-weight particles are abandon low-weight particles
Problems
• Probability space in large-dimensional systems is ‘empty’: the curse of dimensionality
u(x1)
u(x2) T(x3)
Standard Particle filter
Not very efficient !
Specifics of Bayes Theorem IWe know from Bayes Theorem:
Now use :
in which we introduced the transition density
Specifics of Bayes Theorem II
q is the proposal transition density, which might be conditioned on the new observations!
This can be rewritten as:
This leads finally to:
Specifics of Bayes Theorem IIIHow do we use this? A particle representation of
Giving:
Now we choose from the proposal transition density
for each particle i.
Particle filter with proposal density
Stochastic model
Proposed stochastic model:
Leads to particle filter with weights
Meaning of the transition densities
= the probability of this specific value for the random model error.
For Gaussian model errors we find:
A similar expression is found for the proposal transition
Particle filter with proposal transition
density
Experiment: Lorentz 1963 model(3 variables x,y,z, highly nonlinear)
x-value
y-value
Measure onlyX-variable
Standard Particle filter with resampling 20 particles
X-value
Time
Typically 500 particles needed !
Particle filter with proposal transition density 3 particles
X-value
Time
Particle filter with proposal transition density 3 particles
Y-value(not observed)
Time
However: degeneracy
• For large-scale problems with lots of observations this method is still degenerate:
• Only a few particles get high weights; the other weights are negligibly small.
• However, we can enforce almost equal weight for all particles:
Equal weights1. Write down expression for each weight with q deterministic:
2. When H is linear this is a quadratic function in for each particle.
3. Determine the target weight:
Prior transition density
Likelihood
Almost Equal weights I
1
5
4
2
3
Target weight
4. Determine corresponding model states, e.g. solving alpha in
Almost equal weights II
• But proposal density cannot be deterministic:
• Add small random term to model equations from a pdf with broad wings e.g. Gauchy
• Calculate the new weights, and resample if necessary
Application: Lorenz 1995
N=40 F=8dt = 0.005 T = 1000 dtObserve every other grid point
Typically 10,000 particles needed
Ensemble mean after 500 time steps20 particles
Position
Ensemble evolution at x=2020 particles
Time step
Ensemble evolution at x=35(unobserved) 20 particles
Isn’t nudging enough?
Only nudged Nudged and weighted
Isn’t nudging enough?
Only nudged Nudged and weighted
Unobserved variable
ConclusionsThe nonlinearity of our problem is growing
Particle filters with proposal transition density:
• solve for fully nonlinear solution
• very flexible, much freedom
• application to large-scale problems straightforward
Future • Fully nonlinear filtering (smoothing) forces us
to concentrate on the transition densities, so on the errors in the model equations.
• What is the sensitivity to our choice of the proposal?
• What can we learn from studying the statistics of the ‘nudging’ terms?
• How do we use the pdf???