Numerical Analysis and Scientific Computing Seminar

Clustered Particle Filtering for High Dimensional Non-Gaussian Systems

Speaker: Yoonsang Lee, CIMS

Location: Warren Weaver Hall 1302

Date: March 10, 2017, 10 a.m.


Particle filtering is an essential tool to improve uncertain model predictions by incorporating noisy observational data from complex systems including non-Gaussian features. A new class of particle filters, clustered particle filters, is introduced for high-dimensional nonlinear systems, which uses relatively few particles compared to the standard particle filter. The clustered particle filter captures non-Gaussian features of the true signal which are typical in complex nonlinear dynamical systems such as geophysical systems. The method is also robust in the difficult regime of high-quality sparse and infrequent observations. The clustered particle filter is tested for the 40-dimensional Lorenz 96 model with several dynamical regimes including strongly non-Gaussian statistics. The clustered particle filter shows robust skill in both achieving accurate filter results and capturing non-Gaussian statistics of the true signal. It is further extended to multiscale data assimilation, which provides the large-scale estimation by combining a cheap reduced-order forecast model and mixed observations of the large- and small-scale variables. This approach enables the use of a larger number of particles due to the computational savings in the forecast model. The multiscale clustered particle filter is tested for one-dimensional dispersive wave turbulence using a forecast model with model errors.