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This paper presents a fully non-Gaussian filter for sequential data assimilation. The filter is named the “cluster sampling filter”, and works by directly sampling the posterior distribution following a Markov Chain Monte-Carlo (MCMC) approach, while the prior distribution is approximated using a Gaussian Mixture Model (GMM). Specifically, a clustering step is introduced after the forecast phase of the filter, and the prior density function is estimated by fitting a GMM to the prior ensemble. Using the data likelihood function, the posterior density is then formulated as a mixture density, and is sampled following an MCMC approach. Four versions of the proposed filter, namely C ℓ MCMC , C ℓ HMC , MC- C ℓ HMC , and MC- C ℓ HMC are presented. C ℓ MCMC uses a Gaussian proposal density to sample the posterior, and C ℓ HMC is an extension to the Hamiltonian Monte-Carlo (HMC) sampling filter. MC- C ℓ MCMC and MC- C ℓ HMC are multi-chain versions of the cluster sampling filters C ℓ MCMC and C ℓ HMC respectively. The multi-chain versions are proposed to guarantee that samples are taken from the vicinities of all probability modes of the formulated posterior. The new methodologies are tested using a simple one-dimensional example, and a quasi-geostrophic (QG) model with double-gyre wind forcing and bi-harmonic friction. Numerical results demonstrate the usefulness of using GMMs to relax the Gaussian prior assumption especially in the HMC filtering paradigm. Published version

This paper introduces a sparse matrix discrete interpolation method to effectively compute matrix approximations in the reduced order modeling framework. The sparse algorithm developed herein relies on the discrete empirical interpolation method and uses only samples of the nonzero entries of the matrix series. The proposed approach can approximate very large matrices, unlike the current matrix discrete empirical interpolation method which is limited by its large computational memory requirements. The empirical interpolation indexes obtained by the sparse algorithm slightly differ from the ones computed by the matrix discrete empirical interpolation method as a consequence of the singular vectors round-off errors introduced by the economy or full singular value decomposition (SVD) algorithms when applied to the full matrix snapshots. When appropriately padded with zeros the economy SVD factorization of the nonzero elements of the snapshots matrix is a valid economy SVD for the full snapshots matrix. Numerical experiments are performed with the 1D Burgers and 2D Shallow Water Equations test problems where the quadratic reduced nonlinearities are computed via tensorial calculus. The sparse matrix approximation strategy is compared against five existing methods for computing reduced Jacobians: a) matrix discrete empirical interpolation method, b) discrete empirical interpolation method, c) tensorial calculus, d) full Jacobian projection onto the reduced basis subspace, and e) directional derivatives of the model along the reduced basis functions. The sparse matrix method outperforms all other algorithms. The use of traditional matrix discrete empirical interpolation method is not possible for very large instances due to its excessive memory requirements., Comment: 37 pages, 14 figures - proper orthogonal decomposition, DEIM, implicit reduced-order models, shallow water equations, finite difference methods. arXiv admin note: text overlap with arXiv:1402.2018

Hybrid Monte-Carlo (HMC) sampling smoother is a fully non-Gaussian four-dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original formulation is computationally expensive due to the intrinsic requirement of running the forward and adjoint models repeatedly. Here we present computationally efficient versions of the HMC sampling smoother based on reduced-order approximations of the underlying model dynamics. The schemes developed herein are tested numerically using the shallow-water equations model on Cartesian coordinates. The results reveal that the reduced-order versions of the smoother are capable of accurately capturing the posterior probability density, while being significantly faster than the original full order formulation. Published version

Submitted version date-added: 2015-11-15 01:18:34 +0000 date-modified: 2016-12-19 17:23:31 +0000

This study considers using Metropolis-Hastings algorithm for stochastic simulation of chemical reactions. The proposed method uses SSA (Stochastic Simulation Algorithm) distribution which is a standard method for solving well-stirred chemically reacting systems as a desired distribution. A new numerical solvers based on exponential form of exact and approximate solutions of CME (Chemical Master Equation) is employed for obtaining target and proposal distributions in Metropolis-Hastings algorithm to accelerate the accuracy of the tau-leap method. Samples generated by this technique have the same distribution as SSA and the histogram of samples show it's convergence to SSA.

Inverse problems use physical measurements along with a computational model to estimate the parameters or state of a system of interest. Errors in measurements and uncertainties in the computational model lead to inaccurate estimates. This work develops a methodology to estimate the impact of different errors on the variational solutions of inverse problems. The focus is on time evolving systems described by ordinary differential equations, and on a particular class of inverse problems, namely, data assimilation. The computational algorithm uses first-order and second-order adjoint models. In a deterministic setting the methodology provides a posteriori error estimates for the inverse solution. In a probabilistic setting it provides an a posteriori quantification of uncertainty in the inverse solution, given the uncertainties in the model and data. Numerical experiments with the shallow water equations in spherical coordinates illustrate the use of the proposed error estimation machinery in both deterministic and probabilistic settings., Contains a total of 51 pages