Particle filtering for stochastic Navier-Stokes signal observed with
linear additive noise
linear additive noise
File(s)smc_stoch_ns13_arxiv_3.pdf (1.24 MB)
Accepted version
Author(s)
Llopis, Francesc Pons
Kantas, Nikolas
Beskos, Alexandros
Jasra, Ajay
Type
Journal Article
Abstract
We consider a non-linear filtering problem, whereby the signal obeys the
stochastic Navier-Stokes equations and is observed through a linear mapping
with additive noise. The setup is relevant to data assimilation for numerical
weather prediction and climate modelling, where similar models are used for
unknown ocean or wind velocities. We present a particle filtering methodology
that uses likelihood informed importance proposals, adaptive tempering, and a
small number of appropriate Markov Chain Monte Carlo steps. We provide a
detailed design for each of these steps and show in our numerical examples that
they are all crucial in terms of achieving good performance and efficiency.
stochastic Navier-Stokes equations and is observed through a linear mapping
with additive noise. The setup is relevant to data assimilation for numerical
weather prediction and climate modelling, where similar models are used for
unknown ocean or wind velocities. We present a particle filtering methodology
that uses likelihood informed importance proposals, adaptive tempering, and a
small number of appropriate Markov Chain Monte Carlo steps. We provide a
detailed design for each of these steps and show in our numerical examples that
they are all crucial in terms of achieving good performance and efficiency.
Date Issued
2018-05-31
Date Acceptance
2018-03-27
Citation
SIAM Journal on Scientific Computing, 2018, 40 (3), pp.A1544-A1565
ISSN
1064-8275
Publisher
Society for Industrial and Applied Mathematics
Start Page
A1544
End Page
A1565
Journal / Book Title
SIAM Journal on Scientific Computing
Volume
40
Issue
3
Copyright Statement
© 2018, Society for Industrial and Applied Mathematics
Identifier
http://arxiv.org/abs/1710.04586v1
Subjects
stat.CO
stat.CO
Publication Status
Published
Date Publish Online
2018-05-31