论文标题
集合卡尔曼方法:平均田野透视图
Ensemble Kalman Methods: A Mean Field Perspective
论文作者
论文摘要
集合卡尔曼方法广泛用于地球物理科学中的状态估计。它们的成功源于这样一个事实,即他们将基本的(可能是嘈杂的)动态系统作为黑匣子,以提供一种系统的,无衍生的方法,用于纳入嘈杂,部分和可能的间接观察结果,以更新对状态的估计。此外,整体方法可以计算敏感性和不确定性。该方法是在1994年在海洋国家估计的背景下引入的。此后不久,它被数值天气预测界采用,现在是全球最佳天气预测系统的关键组成部分。此外,该方法开始被广泛用于地球物理科学中的众多问题,并正在发展为无衍生物无衍生物反转方法的基础,这些方法表现出了很大的希望。尽管经验成功,但对集合卡尔曼方法的准确性的分析,就其作为状态估计量和不确定性的量化符的能力而言,都滞后。本文的目的是为集合卡尔曼方法的推导和分析提供一个统一的基于平均场的框架。都考虑了状态估计和参数估计问题(反问题),并且采用了离散时间和连续时间的制剂。对于状态估计问题,也考虑了控制和过滤方法。对于参数估计问题类似,优化和贝叶斯观点均已研究。平均田间视角提供了一个优雅的框架,适合分析;此外,通过使用交互粒子系统近似值,可以从平均场系统中得出各种实践中使用的方法。采用的方法还统一了该领域的广泛文献,并提出了开放问题。
Ensemble Kalman methods are widely used for state estimation in the geophysical sciences. Their success stems from the fact that they take an underlying (possibly noisy) dynamical system as a black box to provide a systematic, derivative-free methodology for incorporating noisy, partial and possibly indirect observations to update estimates of the state; furthermore the ensemble approach allows for sensitivities and uncertainties to be calculated. The methodology was introduced in 1994 in the context of ocean state estimation. Soon thereafter it was adopted by the numerical weather prediction community and is now a key component of the best weather prediction systems worldwide. Furthermore the methodology is starting to be widely adopted for numerous problems in the geophysical sciences and is being developed as the basis for general purpose derivative-free inversion methods that show great promise. Despite this empirical success, analysis of the accuracy of ensemble Kalman methods, in terms of their capabilities as both state estimators and quantifiers of uncertainty, is lagging. The purpose of this paper is to provide a unifying mean field based framework for the derivation and analysis of ensemble Kalman methods. Both state estimation and parameter estimation problems (inverse problems) are considered, and formulations in both discrete and continuous time are employed. For state estimation problems, both the control and filtering approaches are considered; analogously for parameter estimation problems, the optimization and Bayesian perspectives are both studied. The mean field perspective provides an elegant framework, suitable for analysis; furthermore, a variety of methods used in practice can be derived from mean field systems by using interacting particle system approximations. The approach taken also unifies a wide-ranging literature in the field and suggests open problems.