Seminars of the Focus Area Complex Systems

Prof. Dr. C. Beta, Prof. Dr. K. Dethloff, Prof. Dr. R. Engbert, Prof. Dr. M. Holschneider, Prof. Dr. W. Huisinga, Prof. Dr. Ralf Metzler, Prof. Dr. A. Pikovsky, Prof. Dr. S. Reich, Prof. Dr. M. Rosenblum, Prof. Dr. G. Rüdiger, Prof. Dr. T. Scheffer, Prof. Dr. F. Scherbaum, Prof. Dr. J. Selbig, Prof. Dr. F. Spahn


Speaker: Alessio Spantini, Massachusetts Institute of Technology, USA

Title: A class of nonlinear filters induced by local couplings * SFB 1294 seminar

Time: Fri, Dec 1, 2017, 10:15m

Place: bldg 28, room 0.104

We introduce a class of structure-exploiting nonlinear filters for high-dimensional state-space models with intractable transition kernels. The idea is to transform the forecast ensemble into samples from the current filtering distribution by means of a sequence of local (in state-space) nonlinear couplings computed mostly via low-dimensional convex optimization. This sequence of low-dimensional transformations implicitly approximates the projection of the filtering distribution onto a manifold of sparse Markov random fields (not necessarily Gaussian) and can be carried out with limited ensemble sizes. Many square-root ensemble Kalman filters can be interpreted as special instances of the proposed framework when we restrict our attention exclusively to linear transformations, and when we neglect approximately sparse Markov structure in the filtering distribution. We consider applications to chaotic dynamical systems. This is joint work with Prof. Youssef Marzouk.

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Students' seminar: Theoretical Physics, PIK, Modeling & TSA Berlin-Potsdam-Colloquia: PhysGesellschaft Berlin, TU Berlin, Pro Physik, AIP, AEI, MPI-KGF, GFZ, HMI, PIK, AWI, Max Planck Institute for the History of Science, Mathematik, DPG Disputationen, & Vorschau UP

Udo Schwarz, Zentrum für Dynamik komplexer Systeme,
Universität Potsdam, Campus Golm Karl-Liebknecht-Str. 24, 14476 Potsdam, building 28, room 2.107
Phone: (+49-331) 977-1658, Fax : (+49-331) 977-1045

Email: Udo.Schwarz AT

DFG SFB 1294

DFG Sonderforschungsbereich 1294 Data assimilation

DFG SPP 1488

DFG Schwerpunktprogramm 1488 Planetmag

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