Learning probabilistic filters for data assimilation

Add to your list(s) Download to your calendar using vCal

• Eviatar Bach (University of Reading)
• Friday 27 June 2025, 10:15-11:15
• Seminar Room 1, Newton Institute.

If you have a question about this talk, please contact nobody.

RCLW03 - Accelerating statistical inference and experimental design with machine learning

Co-authors: Ricardo Baptista, Edoardo Calvello, Bohan Chen, Enoch Luk, Andrew Stuart Filtering – the task of estimating the conditional distribution for states of a dynamical system given partial and noisy observations – is important in many areas of science and engineering, including weather and climate prediction. However, the filtering distribution is generally intractable to obtain for high-dimensional, nonlinear systems. Filters used in practice, such as the ensemble Kalman filter (EnKF), provide biased probabilistic estimates for nonlinear systems and have numerous tuning parameters. I will present a framework for learning a parameterized analysis map – the transformation that takes samples from a forecast distribution, and combines with an observation, to update the approximate filtering distribution – using variational inference. In principle this can lead to a better approximation of the filtering distribution, and hence smaller bias. We show that this methodology can be used to learn the gain matrix, in an affine analysis map, for filtering linear and nonlinear dynamical systems; we also study the learning of inflation and localization parameters for an EnKF. The framework developed here can also be used to learn new filtering algorithms with more general forms for the analysis map. I will also present some recent work on learning corrections to the EnKF using permutation-invariant neural architectures, leading to superior performance compared to leading methods in filtering chaotic systems. Lastly, I will present some ideas for learning filters using other probabilistic cost functions.

This talk is part of the Isaac Newton Institute Seminar Series series.

This talk is included in these lists:

• All CMS events
• Featured lists
• INI info aggregator
• Isaac Newton Institute Seminar Series
• School of Physical Sciences
• Seminar Room 1, Newton Institute
• bld31

Note that ex-directory lists are not shown.