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Ensemble Kalman Inversion for nonlinear problems: Weights, consistency, and variance bounds
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Online learning of both state and dynamics using ensemble Kalman filters
CEREA, joint laboratory École des Ponts ParisTech and EDF R & D, Université Paris-Est, Champs-sur-Marne, France |
The reconstruction of the dynamics of an observed physical system as a surrogate model has been brought to the fore by recent advances in machine learning. To deal with partial and noisy observations in that endeavor, machine learning representations of the surrogate model can be used within a Bayesian data assimilation framework. However, these approaches require to consider long time series of observational data, meant to be assimilated all together. This paper investigates the possibility to learn both the dynamics and the state online, i.e. to update their estimates at any time, in particular when new observations are acquired. The estimation is based on the ensemble Kalman filter (EnKF) family of algorithms using a rather simple representation for the surrogate model and state augmentation. We consider the implication of learning dynamics online through (ⅰ) a global EnKF, (ⅰ) a local EnKF and (ⅲ) an iterative EnKF and we discuss in each case issues and algorithmic solutions. We then demonstrate numerically the efficiency and assess the accuracy of these methods using one-dimensional, one-scale and two-scale chaotic Lorenz models.
References:
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H. D. I. Abarbanel, P. J. Rozdeba and S. Shirman,
Machine learning: Deepest learning as statistical data assimilation problems, Neural Computation, 30 (2018), 2025-2055.
doi: 10.1162/neco_a_01094. |
[2] |
A. Aksoy, F. Zhang and J. Nielsen-Gammon,
Ensemble-based simultaneous state and parameter estimation in a two-dimensional sea-breeze model, Mon. Wea. Rev., 134 (2006), 2951-2969.
doi: 10.1175/MWR3224.1. |
[3] |
T. Arcomano, I. Szunyogh, J. Pathak, A. Wikner, B. R. Hunt and E. Ott, A machine learning-based global atmospheric forecast model, Geophys. Res. Lett., 47 (2020), e2020GL087776. Google Scholar |
[4] |
C. H. Bishop, B. J. Etherton and S. J. Majumdar,
Adaptive sampling with the ensemble transform Kalman filter. Part I: Theoretical aspects, Mon. Wea. Rev., 129 (2001), 420-436.
doi: 10.1175/1520-0493(2001)129<0420:ASWTET>2.0.CO;2. |
[5] |
C. H. Bishop, J. S. Whitaker and L. Lei,
Gain form of the ensemble transform Kalman filter and its relevance to satellite data assimilation with model space ensemble covariance localization, Mon. Wea. Rev., 145 (2017), 4575-4592.
doi: 10.1175/MWR-D-17-0102.1. |
[6] |
C. M. Bishop,
Training with noise is equivalent to Tikhonov regularization, Neural Computation, 7 (1995), 108-116.
doi: 10.1162/neco.1995.7.1.108. |
[7] |
M. Bocquet,
Ensemble Kalman filtering without the intrinsic need for inflation, Nonlin. Processes Geophys., 18 (2011), 735-750.
doi: 10.5194/npg-18-735-2011. |
[8] |
M. Bocquet,
Localization and the iterative ensemble Kalman smoother, Q. J. R. Meteorol. Soc., 142 (2016), 1075-1089.
doi: 10.1002/qj.2711. |
[9] |
M. Bocquet, J. Brajard, A. Carrassi and L. Bertino,
Data assimilation as a learning tool to infer ordinary differential equation representations of dynamical models, Nonlin. Processes Geophys., 26 (2019), 143-162.
doi: 10.5194/npg-26-143-2019. |
[10] |
M. Bocquet, J. Brajard, A. Carrassi and L. Bertino,
Bayesian inference of chaotic dynamics by merging data assimilation, machine learning and expectation-maximization, Foundations of Data Science, 2 (2020), 55-80.
doi: 10.3934/fods.2020004. |
[11] |
M. Bocquet and A. Carrassi, Four-dimensional ensemble variational data assimilation and the unstable subspace, Tellus A, 69 (2017), 1304504.
doi: 10.1080/16000870.2017.1304504. |
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M. Bocquet and A. Farchi,
On the consistency of the perturbation update of local ensemble square root Kalman filters, Tellus A, 71 (2019), 1-21.
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[13] |
M. Bocquet, K. S. Gurumoorthy, A. Apte, A. Carrassi, C. Grudzien and C. K. R. T. Jones,
Degenerate Kalman filter error covariances and their convergence onto the unstable subspace, SIAM/ASA J. Uncertainty Quantification, 5 (2017), 304-333.
doi: 10.1137/16M1068712. |
[14] |
M. Bocquet and P. Sakov,
Combining inflation-free and iterative ensemble Kalman filters for strongly nonlinear systems, Nonlin. Processes Geophys., 19 (2012), 383-399.
doi: 10.5194/npg-19-383-2012. |
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M. Bocquet and P. Sakov,
Joint state and parameter estimation with an iterative ensemble Kalman smoother, Nonlin. Processes Geophys., 20 (2013), 803-818.
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J. Brajard, A. Carrassi, M. Bocquet and L. Bertino, Combining data assimilation and machine learning to emulate a dynamical model from sparse and noisy observations: A case study with the Lorenz 96 model, J. Comput. Sci., 44 (2020), 101171.
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[18] |
S. L. Brunton, J. L. Proctor and J. N. Kutz,
Discovering governing equations from data by sparse identification of nonlinear dynamical systems, PNAS, 113 (2016), 3932-3937.
doi: 10.1073/pnas.1517384113. |
[19] |
M. Carlu, F. Ginelli, V. Lucarini and A. Politi,
Lyapunov analysis of multiscale dynamics: The slow bundle of the two-scale Lorenz 96 model, Nonlin. Processes Geophys., 26 (2019), 73-89.
doi: 10.5194/npg-26-73-2019. |
[20] |
A. Carrassi, M. Bocquet, L. Bertino and G. Evensen, Data assimilation in the geosciences: An overview on methods, issues, and perspectives, WIREs Climate Change, 9 (2018), e535.
doi: 10.1002/wcc.535. |
[21] |
C. L. Defforge, B. Carissimo, M. Bocquet, R. Bresson and P. Armand,
Improving CFD atmospheric simulations at local scale for wind resource assessment using the iterative ensemble Kalman smoother, J. Wind. Eng. Ind. Aerod., 189 (2019), 243-257.
doi: 10.1016/j.jweia.2019.03.030. |
[22] |
P. D. Dueben and P. Bauer,
Challenges and design choices for global weather and climate models based on machine learning, Geosci. Model Dev., 11 (2018), 3999-4009.
doi: 10.5194/gmd-11-3999-2018. |
[23] |
G. Evensen, Data Assimilation: The Ensemble Kalman Filter, 2$^nd$ edition, Springer-Verlag Berlin Heildelberg, 2009.
doi: 10.1007/978-3-642-03711-5. |
[24] |
R. Fablet, S. Ouala and C. Herzet, Bilinear residual neural network for the identification and forecasting of dynamical systems, in EUSIPCO 2018, European Signal Processing Conference, Rome, Italy, 2018, 1–5. Google Scholar |
[25] |
A. Farchi and M. Bocquet, On the efficiency of covariance localisation of the ensemble Kalman filter using augmented ensembles, Front. Appl. Math. Stat., 5 (2019), 3.
doi: 10.3389/fams.2019.00003. |
[26] |
E. Fertig, Observation bias correction with an ensemble Kalman filter, Tellus A, 61 (2009), 210-226. Google Scholar |
[27] |
A. Fillion, M. Bocquet, S. Gratton, S. Gürol and P. Sakov,
An iterative ensemble Kalman smoother in presence of additive model error, SIAM/ASA J. Uncertainty Quantification, 8 (2020), 198-228.
doi: 10.1137/19M1244147. |
[28] |
G. Gaspari and S. E. Cohn,
Construction of correlation functions in two and three dimensions, Q. J. R. Meteorol. Soc., 125 (1999), 723-757.
doi: 10.1002/qj.49712555417. |
[29] |
C. Grudzien, A. Carrassi and M. Bocquet,
Chaotic dynamics and the role of covariance inflation for reduced rank Kalman filters with model error, Nonlin. Processes Geophys., 25 (2018), 633-648.
doi: 10.5194/npg-25-633-2018. |
[30] |
T. M. Hamill, J. S. Whitaker and C. Snyder,
Distance-dependent filtering of background error covariance estimates in an ensemble Kalman filter, Mon. Wea. Rev., 129 (2001), 2776-2790.
doi: 10.1175/1520-0493(2001)129<2776:DDFOBE>2.0.CO;2. |
[31] |
R. A. Horn and C. R. Johnson, Matrix Analysis, 2$^{nd}$ edition, Cambridge University Press, 2013. |
[32] |
P. L. Houtekamer and H. L. Mitchell,
A sequential ensemble Kalman filter for atmospheric data assimilation, Mon. Wea. Rev., 129 (2001), 123-137.
doi: 10.1175/1520-0493(2001)129<0123:ASEKFF>2.0.CO;2. |
[33] |
W. W. Hsieh and B. Tang,
Applying neural network models to prediction and data analysis in meteorology and oceanography, Bull. Amer. Meteor. Soc., 79 (1998), 1855-1870.
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[34] |
X.-M. Hu, F. Zhang and J. W. Nielsen-Gammon, Ensemble-based simultaneous state and parameter estimation for treatment of mesoscale model error: A real-data study, Geophys. Res. Lett., 37 (2010), L08802.
doi: 10.1029/2010GL043017. |
[35] |
B. R. Hunt, E. J. Kostelich and I. Szunyogh,
Efficient data assimilation for spatiotemporal chaos: A local ensemble transform Kalman filter, Physica D, 230 (2007), 112-126.
doi: 10.1016/j.physd.2006.11.008. |
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N. B. Kovachki and A. M. Stuart, Ensemble Kalman inversion: A derivative-free technique for machine learning tasks, Inverse Problems, 35 (2019), 095005.
doi: 10.1088/1361-6420/ab1c3a. |
[38] |
H. Koyama and M. Watanabe,
Reducing forecast errors due to model imperfections using ensemble Kalman filtering, Mon. Wea. Rev., 138 (2010), 3316-3332.
doi: 10.1175/2010MWR3067.1. |
[39] |
R. Lguensat, P. Tandeo, P. Ailliot, M. Pulido and R. Fablet,
The analog data assimilation, Mon. Wea. Rev., 145 (2017), 4093-4107.
doi: 10.1175/MWR-D-16-0441.1. |
[40] |
Z. Long, Y. Lu, X. Ma and B. Dong, PDE-Net: Learning PDEs from data, in Proceedings of the 35th International Conference on Machine Learning, 2018. Google Scholar |
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E. N. Lorenz,
Designing chaotic models, J. Atmos. Sci., 62 (2005), 1574-1587.
doi: 10.1175/JAS3430.1. |
[42] |
E. N. Lorenz and K. A. Emanuel,
Optimal sites for supplementary weather observations: Simulation with a small model, J. Atmos. Sci., 55 (1998), 399-414.
doi: 10.1175/1520-0469(1998)055<0399:OSFSWO>2.0.CO;2. |
[43] |
T. Miyoshi,
The Gaussian approach to adaptive covariance inflation and its implementation with the local ensemble transform Kalman filter, Mon. Wea. Rev., 139 (2011), 1519-1535.
doi: 10.1175/2010MWR3570.1. |
[44] |
E. Ott,
A local ensemble Kalman filter for atmospheric data assimilation, Tellus A, 56 (2004), 415-428.
doi: 10.1016/j.physd.2006.11.008. |
[45] |
J. Paduart, L. Lauwers, J. Swevers, K. Smolders, J. Schoukens and R. Pintelon,
Identification of nonlinear systems using polynomial nonlinear state space models, Automatica, 46 (2010), 647-656.
doi: 10.1016/j.automatica.2010.01.001. |
[46] |
J. Pathak, B. Hunt, M. Girvan, Z. Lu and E. Ott, Model-free prediction of large spatiotemporally chaotic systems from data: A reservoir computing approach, Phys. Rev. Lett., 120 (2018), 024102.
doi: 10.1103/PhysRevLett.120.024102. |
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P. N. Raanes, M. Bocquet and A. Carrassi,
Adaptive covariance inflation in the ensemble Kalman filter by Gaussian scale mixtures, Q. J. R. Meteorol. Soc., 145 (2019), 53-75.
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Coupled online learning as a way to tackle instabilities and biases in neural network parameterizations: General algorithms and Lorenz96 case study (v1.0), Geosci. Model Dev., 13 (2020), 2185-2196.
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P. Sakov and L. Bertino,
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P. Sakov, J.-M. Haussaire and M. Bocquet,
An iterative ensemble Kalman filter in presence of additive model error, Q. J. R. Meteorol. Soc., 144 (2018), 1297-1309.
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P. Sakov, D. S. Oliver and L. Bertino,
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show all references
References:
[1] |
H. D. I. Abarbanel, P. J. Rozdeba and S. Shirman,
Machine learning: Deepest learning as statistical data assimilation problems, Neural Computation, 30 (2018), 2025-2055.
doi: 10.1162/neco_a_01094. |
[2] |
A. Aksoy, F. Zhang and J. Nielsen-Gammon,
Ensemble-based simultaneous state and parameter estimation in a two-dimensional sea-breeze model, Mon. Wea. Rev., 134 (2006), 2951-2969.
doi: 10.1175/MWR3224.1. |
[3] |
T. Arcomano, I. Szunyogh, J. Pathak, A. Wikner, B. R. Hunt and E. Ott, A machine learning-based global atmospheric forecast model, Geophys. Res. Lett., 47 (2020), e2020GL087776. Google Scholar |
[4] |
C. H. Bishop, B. J. Etherton and S. J. Majumdar,
Adaptive sampling with the ensemble transform Kalman filter. Part I: Theoretical aspects, Mon. Wea. Rev., 129 (2001), 420-436.
doi: 10.1175/1520-0493(2001)129<0420:ASWTET>2.0.CO;2. |
[5] |
C. H. Bishop, J. S. Whitaker and L. Lei,
Gain form of the ensemble transform Kalman filter and its relevance to satellite data assimilation with model space ensemble covariance localization, Mon. Wea. Rev., 145 (2017), 4575-4592.
doi: 10.1175/MWR-D-17-0102.1. |
[6] |
C. M. Bishop,
Training with noise is equivalent to Tikhonov regularization, Neural Computation, 7 (1995), 108-116.
doi: 10.1162/neco.1995.7.1.108. |
[7] |
M. Bocquet,
Ensemble Kalman filtering without the intrinsic need for inflation, Nonlin. Processes Geophys., 18 (2011), 735-750.
doi: 10.5194/npg-18-735-2011. |
[8] |
M. Bocquet,
Localization and the iterative ensemble Kalman smoother, Q. J. R. Meteorol. Soc., 142 (2016), 1075-1089.
doi: 10.1002/qj.2711. |
[9] |
M. Bocquet, J. Brajard, A. Carrassi and L. Bertino,
Data assimilation as a learning tool to infer ordinary differential equation representations of dynamical models, Nonlin. Processes Geophys., 26 (2019), 143-162.
doi: 10.5194/npg-26-143-2019. |
[10] |
M. Bocquet, J. Brajard, A. Carrassi and L. Bertino,
Bayesian inference of chaotic dynamics by merging data assimilation, machine learning and expectation-maximization, Foundations of Data Science, 2 (2020), 55-80.
doi: 10.3934/fods.2020004. |
[11] |
M. Bocquet and A. Carrassi, Four-dimensional ensemble variational data assimilation and the unstable subspace, Tellus A, 69 (2017), 1304504.
doi: 10.1080/16000870.2017.1304504. |
[12] |
M. Bocquet and A. Farchi,
On the consistency of the perturbation update of local ensemble square root Kalman filters, Tellus A, 71 (2019), 1-21.
doi: 10.1080/16000870.2019.1613142. |
[13] |
M. Bocquet, K. S. Gurumoorthy, A. Apte, A. Carrassi, C. Grudzien and C. K. R. T. Jones,
Degenerate Kalman filter error covariances and their convergence onto the unstable subspace, SIAM/ASA J. Uncertainty Quantification, 5 (2017), 304-333.
doi: 10.1137/16M1068712. |
[14] |
M. Bocquet and P. Sakov,
Combining inflation-free and iterative ensemble Kalman filters for strongly nonlinear systems, Nonlin. Processes Geophys., 19 (2012), 383-399.
doi: 10.5194/npg-19-383-2012. |
[15] |
M. Bocquet and P. Sakov,
Joint state and parameter estimation with an iterative ensemble Kalman smoother, Nonlin. Processes Geophys., 20 (2013), 803-818.
doi: 10.5194/npg-20-803-2013. |
[16] |
J. Brajard, A. Carrassi, M. Bocquet and L. Bertino, Combining data assimilation and machine learning to emulate a dynamical model from sparse and noisy observations: A case study with the Lorenz 96 model, J. Comput. Sci., 44 (2020), 101171.
doi: 10.1016/j.jocs.2020.101171. |
[17] |
J. Brajard, A. Carrassi, M. Bocquet and L. Bertino, Combining data assimilation and machine learning to infer unresolved scale parametrisation, Philosophical Transactions A, 0 (2020), 0, Submitted, arXiv preprint: arXiv: 2009.04318. Google Scholar |
[18] |
S. L. Brunton, J. L. Proctor and J. N. Kutz,
Discovering governing equations from data by sparse identification of nonlinear dynamical systems, PNAS, 113 (2016), 3932-3937.
doi: 10.1073/pnas.1517384113. |
[19] |
M. Carlu, F. Ginelli, V. Lucarini and A. Politi,
Lyapunov analysis of multiscale dynamics: The slow bundle of the two-scale Lorenz 96 model, Nonlin. Processes Geophys., 26 (2019), 73-89.
doi: 10.5194/npg-26-73-2019. |
[20] |
A. Carrassi, M. Bocquet, L. Bertino and G. Evensen, Data assimilation in the geosciences: An overview on methods, issues, and perspectives, WIREs Climate Change, 9 (2018), e535.
doi: 10.1002/wcc.535. |
[21] |
C. L. Defforge, B. Carissimo, M. Bocquet, R. Bresson and P. Armand,
Improving CFD atmospheric simulations at local scale for wind resource assessment using the iterative ensemble Kalman smoother, J. Wind. Eng. Ind. Aerod., 189 (2019), 243-257.
doi: 10.1016/j.jweia.2019.03.030. |
[22] |
P. D. Dueben and P. Bauer,
Challenges and design choices for global weather and climate models based on machine learning, Geosci. Model Dev., 11 (2018), 3999-4009.
doi: 10.5194/gmd-11-3999-2018. |
[23] |
G. Evensen, Data Assimilation: The Ensemble Kalman Filter, 2$^nd$ edition, Springer-Verlag Berlin Heildelberg, 2009.
doi: 10.1007/978-3-642-03711-5. |
[24] |
R. Fablet, S. Ouala and C. Herzet, Bilinear residual neural network for the identification and forecasting of dynamical systems, in EUSIPCO 2018, European Signal Processing Conference, Rome, Italy, 2018, 1–5. Google Scholar |
[25] |
A. Farchi and M. Bocquet, On the efficiency of covariance localisation of the ensemble Kalman filter using augmented ensembles, Front. Appl. Math. Stat., 5 (2019), 3.
doi: 10.3389/fams.2019.00003. |
[26] |
E. Fertig, Observation bias correction with an ensemble Kalman filter, Tellus A, 61 (2009), 210-226. Google Scholar |
[27] |
A. Fillion, M. Bocquet, S. Gratton, S. Gürol and P. Sakov,
An iterative ensemble Kalman smoother in presence of additive model error, SIAM/ASA J. Uncertainty Quantification, 8 (2020), 198-228.
doi: 10.1137/19M1244147. |
[28] |
G. Gaspari and S. E. Cohn,
Construction of correlation functions in two and three dimensions, Q. J. R. Meteorol. Soc., 125 (1999), 723-757.
doi: 10.1002/qj.49712555417. |
[29] |
C. Grudzien, A. Carrassi and M. Bocquet,
Chaotic dynamics and the role of covariance inflation for reduced rank Kalman filters with model error, Nonlin. Processes Geophys., 25 (2018), 633-648.
doi: 10.5194/npg-25-633-2018. |
[30] |
T. M. Hamill, J. S. Whitaker and C. Snyder,
Distance-dependent filtering of background error covariance estimates in an ensemble Kalman filter, Mon. Wea. Rev., 129 (2001), 2776-2790.
doi: 10.1175/1520-0493(2001)129<2776:DDFOBE>2.0.CO;2. |
[31] |
R. A. Horn and C. R. Johnson, Matrix Analysis, 2$^{nd}$ edition, Cambridge University Press, 2013. |
[32] |
P. L. Houtekamer and H. L. Mitchell,
A sequential ensemble Kalman filter for atmospheric data assimilation, Mon. Wea. Rev., 129 (2001), 123-137.
doi: 10.1175/1520-0493(2001)129<0123:ASEKFF>2.0.CO;2. |
[33] |
W. W. Hsieh and B. Tang,
Applying neural network models to prediction and data analysis in meteorology and oceanography, Bull. Amer. Meteor. Soc., 79 (1998), 1855-1870.
doi: 10.1175/1520-0477(1998)079<1855:ANNMTP>2.0.CO;2. |
[34] |
X.-M. Hu, F. Zhang and J. W. Nielsen-Gammon, Ensemble-based simultaneous state and parameter estimation for treatment of mesoscale model error: A real-data study, Geophys. Res. Lett., 37 (2010), L08802.
doi: 10.1029/2010GL043017. |
[35] |
B. R. Hunt, E. J. Kostelich and I. Szunyogh,
Efficient data assimilation for spatiotemporal chaos: A local ensemble transform Kalman filter, Physica D, 230 (2007), 112-126.
doi: 10.1016/j.physd.2006.11.008. |
[36] | A. H. Jazwinski, Stochastic Processes and Filtering Theory, Academic Press, New-York, 1970. Google Scholar |
[37] |
N. B. Kovachki and A. M. Stuart, Ensemble Kalman inversion: A derivative-free technique for machine learning tasks, Inverse Problems, 35 (2019), 095005.
doi: 10.1088/1361-6420/ab1c3a. |
[38] |
H. Koyama and M. Watanabe,
Reducing forecast errors due to model imperfections using ensemble Kalman filtering, Mon. Wea. Rev., 138 (2010), 3316-3332.
doi: 10.1175/2010MWR3067.1. |
[39] |
R. Lguensat, P. Tandeo, P. Ailliot, M. Pulido and R. Fablet,
The analog data assimilation, Mon. Wea. Rev., 145 (2017), 4093-4107.
doi: 10.1175/MWR-D-16-0441.1. |
[40] |
Z. Long, Y. Lu, X. Ma and B. Dong, PDE-Net: Learning PDEs from data, in Proceedings of the 35th International Conference on Machine Learning, 2018. Google Scholar |
[41] |
E. N. Lorenz,
Designing chaotic models, J. Atmos. Sci., 62 (2005), 1574-1587.
doi: 10.1175/JAS3430.1. |
[42] |
E. N. Lorenz and K. A. Emanuel,
Optimal sites for supplementary weather observations: Simulation with a small model, J. Atmos. Sci., 55 (1998), 399-414.
doi: 10.1175/1520-0469(1998)055<0399:OSFSWO>2.0.CO;2. |
[43] |
T. Miyoshi,
The Gaussian approach to adaptive covariance inflation and its implementation with the local ensemble transform Kalman filter, Mon. Wea. Rev., 139 (2011), 1519-1535.
doi: 10.1175/2010MWR3570.1. |
[44] |
E. Ott,
A local ensemble Kalman filter for atmospheric data assimilation, Tellus A, 56 (2004), 415-428.
doi: 10.1016/j.physd.2006.11.008. |
[45] |
J. Paduart, L. Lauwers, J. Swevers, K. Smolders, J. Schoukens and R. Pintelon,
Identification of nonlinear systems using polynomial nonlinear state space models, Automatica, 46 (2010), 647-656.
doi: 10.1016/j.automatica.2010.01.001. |
[46] |
J. Pathak, B. Hunt, M. Girvan, Z. Lu and E. Ott, Model-free prediction of large spatiotemporally chaotic systems from data: A reservoir computing approach, Phys. Rev. Lett., 120 (2018), 024102.
doi: 10.1103/PhysRevLett.120.024102. |
[47] |
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