论文标题

一个低级别的集合卡尔曼滤波器,用于椭圆观测

A low-rank ensemble Kalman filter for elliptic observations

论文作者

Provost, Mathieu Le, Baptista, Ricardo, Marzouk, Youssef, Eldredge, Jeff D.

论文摘要

我们提出了一种与椭圆观测操作员的集合卡尔曼过滤(ENKF)的正则化方法。常用的ENKF正则化方法抑制了长距离的状态相关性。对于由椭圆形偏微分方程描述的观察结果,例如不可压缩的流体流中的压力泊松方程(PPE),无法应用距离定位,因为我们不能散发出慢慢衰减的物理相互作用,从而使伪造的长距离相关性衰减。对于PPE而言,尤其如此,其中遥远的涡流元件非线性诱导压力。取而代之的是,这些反问题的有效维度很低:观测值的低维投影强烈地为状态空间的低维子空间提供了信息。我们根据观察算子的雅各布频谱来得出Kalman增益的低级分解。已确定的特征向量将多极扩展的源和目标模式推广,而与问题的基本空间分布无关。给定快速光谱衰减,可以在主要特征向量跨越的低维子空间中进行推断。在具有泊松观测操作员的动态系统上评估了这种低级ENKF,我们试图从潜在或压力观察中估算点奇点的位置和优势。我们还评论了这种方法在过滤背景之外的椭圆逆问题上更广泛的适用性。

We propose a regularization method for ensemble Kalman filtering (EnKF) with elliptic observation operators. Commonly used EnKF regularization methods suppress state correlations at long distances. For observations described by elliptic partial differential equations, such as the pressure Poisson equation (PPE) in incompressible fluid flows, distance localization cannot be applied, as we cannot disentangle slowly decaying physical interactions from spurious long-range correlations. This is particularly true for the PPE, in which distant vortex elements couple nonlinearly to induce pressure. Instead, these inverse problems have a low effective dimension: low-dimensional projections of the observations strongly inform a low-dimensional subspace of the state space. We derive a low-rank factorization of the Kalman gain based on the spectrum of the Jacobian of the observation operator. The identified eigenvectors generalize the source and target modes of the multipole expansion, independently of the underlying spatial distribution of the problem. Given rapid spectral decay, inference can be performed in the low-dimensional subspace spanned by the dominant eigenvectors. This low-rank EnKF is assessed on dynamical systems with Poisson observation operators, where we seek to estimate the positions and strengths of point singularities over time from potential or pressure observations. We also comment on the broader applicability of this approach to elliptic inverse problems outside the context of filtering.

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