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Title: Reduced-order autodifferentiable ensemble Kalman filters
Abstract This paper introduces a computational framework to reconstruct and forecast a partially observed state that evolves according to an unknown or expensive-to-simulate dynamical system. Our reduced-order autodifferentiable ensemble Kalman filters (ROAD-EnKFs) learn a latent low-dimensional surrogate model for the dynamics and a decoder that maps from the latent space to the state space. The learned dynamics and decoder are then used within an EnKF to reconstruct and forecast the state. Numerical experiments show that if the state dynamics exhibit a hidden low-dimensional structure, ROAD-EnKFs achieve higher accuracy at lower computational cost compared to existing methods. If such structure is not expressed in the latent state dynamics, ROAD-EnKFs achieve similar accuracy at lower cost, making them a promising approach for surrogate state reconstruction and forecasting.  more » « less
Award ID(s):
2237628 2023109 1934637 1930049
PAR ID:
10471160
Author(s) / Creator(s):
; ;
Publisher / Repository:
IOP Publishing
Date Published:
Journal Name:
Inverse Problems
Volume:
39
Issue:
12
ISSN:
0266-5611
Format(s):
Medium: X Size: Article No. 124001
Size(s):
Article No. 124001
Sponsoring Org:
National Science Foundation
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