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arXiv · 2012.04793

A surrogate-based approach to nonlinear, non-Gaussian joint state-parameter data assimilation

John Maclean·Elaine T Spiller
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Abstract

Many recent advances in sequential assimilation of data into nonlinear high-dimensional models are modifications to particle filters which employ efficient searches of a high-dimensional state space. In this work, we present a complementary strategy that combines statistical emulators and particle filters. The emulators are used to learn and offer a computationally cheap approximation to the forward dynamic mapping. This emulator-particle filter (Emu-PF) approach requires a modest number of forward-model runs, but yields well-resolved posterior distributions even in non-Gaussian cases. We explore several modifications to the Emu-PF that utilize mechanisms for dimension reduction to efficiently fit the statistical emulator, and present a series of simulation experiments on an atypical Lorenz-96 system to demonstrate their performance. We conclude with a discussion on how the Emu-PF can be paired with modern particle filtering algorithms.

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John Maclean, Elaine T Spiller. 2020-12-08. A surrogate-based approach to nonlinear, non-Gaussian joint state-parameter data assimilation. https://arxiv.org/abs/2012.04793

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