particle filters in high dimensions
DESCRIPTION
Particle Filters in high dimensions. Peter Jan van Leeuwen and Mel Ades Data-Assimilation Research Centre DARC University of Reading Lorentz Center 2011. Data assimilation: general formulation. Bayes theorem:. Solution is pdf! NO INVERSION !!!. Parameter estimation:. with. - PowerPoint PPT PresentationTRANSCRIPT
Particle Filters in high dimensions
Peter Jan van Leeuwen and Mel AdesData-Assimilation Research Centre DARC
University of Reading
Lorentz Center 2011
Data assimilation: general formulation
Solution is pdf!
NO INVERSION !!!
Bayes theorem:
Parameter estimation:
with
Again, no inversion but a direct point-wise multiplication.
Nonlinear filtering: Particle filter
Use ensemble
with the weights.
What are these weights?• The weight is the normalised value of the
pdf of the observations given model state .• For Gaussian distributed variables is is given
by:
• One can just calculate this value• That is all !!!
Standard Particle filter
Not very efficient !
A closer look at the weights I
Probability space in large-dimensional systems is ‘empty’: the curse of dimensionality
u(x1)
u(x2) T(x3)
A closer look at the weights IIAssume particle 1 is at 0.1 standard deviations s of M independent observations.Assume particle 2 is at 0.2 s of the M observations.
The weight of particle 1 will be
and particle 2 gives
A closer look at the weights III
The ratio of the weights is
Take M=1000 to find
Conclusion: the number of independent observations isresponsible for the degeneracy in particle filters.
Increased efficiency: proposal density
Instead of drawing samples from p(x) we draw samples froma proposal pdf q(x).
Use ensemble
with weights
Particle filter with proposal transition
density
Barotropic vorticity equation
256 X 256 grid points600 time stepsTypically q=1-3Decorrelation time scale= = 25 time steps
Observations Every 4th gridpointEvery 50th time step
24 particlessigma_model=0.03 sigma_obs=0.01
Vorticity field standard particle filter
Ensemble mean PFTruth
Vorticity field new particle filter
Ensemble meanTruth
Posterior weights
Rank histogram:How the truth ranks in the
ensemble
Equivalent Weights Particle Filter
Recall:
Assume
Find the minimum for each particle by perturbing each observation, gives
Equivalent Weights Particle filter
Calculate the full weight for each of these
Determine a target weight C that 80% of the particles can reach and determine in
such that
This is a line search, so doable.
Equivalent Weights Particle Filter
• This leads to 80% of the particle having an almost equal weight, so no degeneracy by construction!• Example …
Gaussian pdf in high dimensions
Assume variables are identically independently distributed:
Along each if the axes it looks like a standard Gaussian:
However, the probability mass as function of the distance to thecentre is given by:
d=100 d=400 d=900
r in standard deviation
The so-calledImportant Ring
Why?
In distribution
Fisher has shown
So we find
Importance Ring
r
d
Experimental evidence, sums of d squared random numbers:
Given this what do theseefficient particles represent???
Conclusions
Particle filters with proposal transition density:
• solve for fully nonlinear posterior pdf• very flexible, much freedom• scalable => high-dimensional problems• extremely efficient
• But what do they represent?
We need more people !
• In Reading only we expect to have 7 new PDRA positions available in the this year
• We also have PhD vacancies• And we still have room in the
Data Assimilation and Inverse Methods in Geosciences MSc program