
Loading content ...
Lolla, T. and P.F.J. Lermusiaux, 2017b. A Gaussian Mixture Model Smoother for Continuous Nonlinear Stochastic Dynamical Systems: Applications. Monthly Weather Review, 145, 2763-2790 DOI:10.1175/MWR-D-16-0065.1.
The nonlinear Gaussian Mixture Model Dynamically Orthogonal (GMM–DO) smoother for high- dimensional stochastic fields is exemplified and contrasted with other smoothers by applications to three dynamical systems, all of which admit far-from-Gaussian distributions. The capabilities of the smoother are first illustrated using a double-well stochastic diffusion experiment. Comparisons with the original and improved versions of the ensemble Kalman smoother explain the detailed mechanics of GMM–DO smoothing and show that its accuracy arises from the joint GMM distributions across successive observation times. Next, the smoother is validated using the advection of a passive stochastic tracer by a reversible shear flow. This example admits an exact smoothed solution, whose derivation is also provided. Results show that the GMM– DO smoother accurately captures the full smoothed distributions and not just the mean states. The final example showcases the smoother in more complex nonlinear fluid dynamics caused by a barotropic jet flowing through a sudden expansion and leading to variable jets and eddies. The accuracy of the GMM–DO smoother is compared to that of the Error Subspace Statistical Estimation smoother. It is shown that even when the dynamics result in only slightly multimodal joint distributions, Gaussian smoothing can lead to a severe loss of information. The three examples show that the backward inferences of the GMM–DO smoother are skillful and efficient. Accurate evaluation of Bayesian smoothers for nonlinear high-dimensional dynamical systems is challenging in itself. The present three examples—stochastic low dimension, reversible high dimension, and irreversible high dimension—provide complementary and effective benchmarks for such evaluation.
Lolla, T. and P.F.J. Lermusiaux, 2017a. A Gaussian Mixture Model Smoother for Continuous Nonlinear Stochastic Dynamical Systems: Theory and Scheme. Monthly Weather Review, 145, 2743-2761, DOI:10.1175/MWR-D-16-0064.1
Retrospective inference through Bayesian smoothing is indispensable in geophysics, with crucial applications in ocean and numerical weather estimation, climate dynamics, and Earth system modeling. However, dealing with the high-dimensionality and nonlinearity of geophysical processes remains a major challenge in the development of Bayesian smoothers. Addressing this issue, a novel subspace smoothing methodology for high-dimensional stochastic fields governed by general nonlinear dynamics is obtained. Building on recent Bayesian filters and classic Kalman smoothers, the fundamental equations and forward–backward algorithms of new Gaussian Mixture Model (GMM) smoothers are derived, for both the full state space and dynamic subspace. For the latter, the stochastic Dynamically Orthogonal (DO) field equations and their time-evolving stochastic subspace are employed to predict the prior subspace probabilities. Bayesian inference, both forward and backward in time, is then analytically carried out in the dominant stochastic subspace, after fitting semiparametric GMMs to joint subspace realizations. The theoretical properties, varied forms, and computational costs of the new GMM smoother equations are presented and discussed.
Speaker: Bruno Sainte-Rose
[Announcement (PDF)]
Speaker Affiliation: Lead computational modeler,
The Ocean Cleanup
Delft, Netherlands
Date: Wednesday, December 7, 2016 at 11 a.m in 5-231
Speaker: George Haller
[Announcement (PDF)]
Speaker Affiliation: Professor of Nonlinear Dynamics
Institute for Mechanical Systems
ETH Zurich
Zurich, Switzerland
Date: Tuesday January 24, 2017 at 11 a.m in 5-314