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All sourcesNASA NTRSDOE OSTI
DOE OSTI2024

Numerical analysis of a time discretized method for nonlinear filtering problem with Lévy process observations

Abstract In this paper, we consider a nonlinear filtering model with observations driven by correlated Wiener processes and point processes. We first derive a Zakai equation whose solution is an unnormalized probability density function of the filter solution. Then, we apply a splitting-up technique to decompose the Zakai equation into three stochastic differential equations, based on which we construct a splitting-up approximate solution and prove its half-order convergence. Furthermore, we apply a finite difference method to construct a time semi-discrete approximate solution to the splitting-up system and prove its half-order convergence to the exact solution of the Zakai equation. Finally, we present some numerical experiments to demonstrate the theoretical analysis.

Mathematics↗
DOE OSTI2017

Nonlinear Filtering Effects of Reservoirs on Flood Frequency Curves at the Regional Scale

Anthropogenic activities, e.g., reservoir operation, may alter the characteristics of Flood Frequency Curve (FFC) and challenge the basic assumption of stationarity used in flood frequency analysis. This paper presents a combined data-modeling analysis of the nonlinear filtering effects of reservoirs on the FFCs over the contiguous United States. A dimensionless Reservoir Impact Index (RII), defined as the total upstream reservoir storage capacity normalized by the annual streamflow volume, is used to quantify reservoir regulation effects. Analyses are performed for 388 river stations with an average record length of 50 years. The first two moments of the FFC, mean annual maximum flood (MAF) and coefficient of variations (CV), are calculated for the pre- and post-dam periods and compared to elucidate the reservoir regulation effects as a function of RII. It is found that MAF generally decreases with increasing RII but stabilizes when RII exceeds a threshold value, and CV increases with RII until a threshold value beyond which CV decreases with RII. The processes underlying the nonlinear threshold behavior of MAF and CV are investigated using three reservoir models with different levels of complexity. All models capture the non-linear relationships of MAF and CV with RII, suggesting that the basic flood control function of reservoirs is key to the non-linear relationships. The relative roles of reservoir storage capacity, operation objectives, available storage prior to a flood event, and reservoir inflow pattern are systematically investigated. Our findings may help improve flood-risk assessment and mitigation in regulated river systems at the regional scale.

58 GEOSCIENCES↗
DOE OSTI2019

A direct filter method for parameter estimation

Parameter estimation is an important research topic in data assimilation. In this paper, a novel parameter estimation method is introduced, where the parameter is considered as the state process in a nonlinear filtering problem and the state model that contains the parameter is used to construct a pseudo-observation. This approach is named the direct filter method since nonlinear filtering algorithms are used to estimate the parameter directly without estimating the state model as part of the solution in the nonlinear filtering problem. Numerical experiments are carried out to examine the effectiveness and accuracy of the direct filter method.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2025

Nonlinear Ensemble Filtering with Diffusion Models: Application to the Surface Quasigeostrophic Dynamics

The intersection between classical data assimilation methods and novel machine learning techniques has attracted significant interest in recent years. Here, we explore another promising solution in which diffusion models are used to formulate a robust nonlinear ensemble filter for sequential data assimilation. Unlike standard machine learning methods, the proposed ensemble score filter (EnSF) is completely training free and can efficiently generate a set of analysis ensemble members. Here, in this study, we apply the EnSF to a surface quasigeostrophic model and compare its performance against the popular local ensemble transform Kalman filter (LETKF), which makes Gaussian assumptions in the analysis step. Numerical tests demonstrate that EnSF maintains stable performance in the absence of localization and for a variety of experimental settings. We find that while LETKF maintains optimal performance in the case of linear observations of the entire state and a perfect model, EnSF shows improvements over LETKF when nonlinear observations are assimilated and the system is subject to unexpected model errors. A spectral decomposition of the analysis results in this nonlinear observation regime shows that the largest improvements over LETKF occur at large scales (small wavenumbers), where LETKF lacks sufficient ensemble spread. Overall, this initial application of EnSF to a geophysical model of intermediate complexity motivates further development of the algorithm for more realistic problems.

Artificial intelligence↗
DOE OSTI2020

Polar coupling enabled nonlinear optical filtering at MoS 2 /ferroelectric heterointerfaces

Complex oxide heterointerfaces and van der Waals heterostructures present two versatile but intrinsically different platforms for exploring emergent quantum phenomena and designing new functionalities. The rich opportunity offered by the synergy between these two classes of materials, however, is yet to be charted. Here, we report an unconventional nonlinear optical filtering effect resulting from the interfacial polar alignment between monolayer MoS 2 and a neighboring ferroelectric oxide thin film. The second harmonic generation response at the heterointerface is either substantially enhanced or almost entirely quenched by an underlying ferroelectric domain wall depending on its chirality, and can be further tailored by the polar domains. Unlike the extensively studied coupling mechanisms driven by charge, spin, and lattice, the interfacial tailoring effect is solely mediated by the polar symmetry, as well explained via our density functional theory calculations, pointing to a new material strategy for the functional design of nanoscale reconfigurable optical applications.

36 MATERIALS SCIENCE↗
DOE OSTI2023

Higher-order dispersion compensating pulse shaper via amplitude spectral filtering and nonlinear phase accumulation

A method of pulse shaping using spectral filtering, positive chirp, and self-phase modulation to control the accumulated higher-order phase terms of the spectral phase. This pulse shaping method has particular advantage in fiber chirped pulse amplification (FCPA) systems, where there are two effects: (1) an offsetting of the fourth order phase via nonlinear phase accumulation, allowing for a higher Strehl ratio (i.e., a cleaner pulse), higher peak power pulse and (2) enabling power scaling to higher pulse energies without the increased nonlinear phase accumulation leading to pulse breakup. This technique can be used both in a passive system with no amplification to clean up an existing pulse, and in an amplifier system to enable higher performance operation (shorter pulses, cleaner pulses, higher energy pulses).

Domingue, Scott R.↗
DOE OSTI2015

The compressed state Kalman filter for nonlinear state estimation: Application to large-scale reservoir monitoring

Reservoir monitoring aims to provide snapshots of reservoir conditions and their uncertainties to assist operation management and risk analysis. These snapshots may contain millions of state variables, e.g., pressures and saturations, which can be estimated by assimilating data in real time using the Kalman filter (KF). However, the KF has a computational cost that scales quadratically with the number of unknowns, m, due to the cost of computing and storing the covariance and Jacobian matrices, along with their prod-ucts. The compressed state Kalman filter (CSKF) adapts the KF for solving large-scale monitoring problems. The CSKF uses N preselected orthogonal bases to compute an accurate rank-N approximation of the covari-ance that is close to the optimal spectral approximation given by SVD. The CSKF has a computational cost that scales linearly in m and uses an efficient matrix-free approach that propagates uncertainties using N + 1 forward model evaluations, where N << m. Here in this paper we present a generalized CSKF algorithm for nonlin-ear state estimation problems such as CO 2 monitoring. For simultaneous estimation of multiple types of state variables, the algorithm allows selecting bases that represent the variability of each state type. Through synthetic numerical experiments of CO 2 monitoring, we show that the CSKF can reproduce the Kal-man gain accurately even for large compression ratios (m/N). For a given computational cost, the CSKF uses a robust and flexible compression scheme that gives more reliable uncertainty estimates than the ensemble Kalman filter, which may display loss of ensemble variability leading to suboptimal uncertainty estimates.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2016

Deterministic Mean-Field Ensemble Kalman Filtering

The proof of convergence of the standard ensemble Kalman filter (EnKF) from Le Gland, Monbet, and Tran [Large sample asymptotics for the ensemble Kalman filter, in The Oxford Handbook of Nonlinear Filtering, Oxford University Press, Oxford, UK, 2011, pp. 598--631] is extended to non-Gaussian state-space models. In this paper, a density-based deterministic approximation of the mean-field limit EnKF (DMFEnKF) is proposed, consisting of a PDE solver and a quadrature rule. Given a certain minimal order of convergence κ between the two, this extends to the deterministic filter approximation, which is therefore asymptotically superior to standard EnKF for dimension d < 2κ. The fidelity of approximation of the true distribution is also established using an extension of the total variation metric to random measures. Lastly, this is limited by a Gaussian bias term arising from nonlinearity/non-Gaussianity of the model, which arises in both deterministic and standard EnKF. Numerical results support and extend the theory.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2015

Nuclear counting filter based on a centered Skellam test and a double exponential smoothing

Online nuclear counting represents a challenge due to the stochastic nature of radioactivity. The count data have to be filtered in order to provide a precise and accurate estimation of the count rate, this with a response time compatible with the application in view. An innovative filter is presented in this paper addressing this issue. It is a nonlinear filter based on a Centered Skellam Test (CST) giving a local maximum likelihood estimation of the signal based on a Poisson distribution assumption. This nonlinear approach allows to smooth the counting signal while maintaining a fast response when brutal change activity occur. The filter has been improved by the implementation of a Brown's double Exponential Smoothing (BES). The filter has been validated and compared to other state of the art smoothing filters. The CST-BES filter shows a significant improvement compared to all tested smoothing filters. (authors)

46 INSTRUMENTATION RELATED TO NUCLEAR SCIENCE AND ↗
DOE OSTI2016

Stochastic Schrödinger evolution over piecewise enlarged filtrations

This paper constructs a nonlinear filtering framework that admits appearances of new information processes at random times by introducing piecewise enlargements of filtrations and proposes a new energy-based Schrodinger evolution expressed as a stochastic differential equation on a complex Hilbert space. Each information process is modeled as the sum of a random variable taking the eigenvalues of a Hamiltonian and an independent Brownian bridge noise. It is shown that under a piecewise enlarged filtration, the wave function is a jump-diffusion process until it collapses at some terminal time. In between discontinuities, the dynamics of the state vector are governed by different Wiener processes and diffusion coefficients. This motivates the introduction of an inclusive chain of Kolmogorov probability spaces or a *-isomorphic chain of commutative von Neumann probability spaces, on which the quantum system evolves differently based on the number of active information processes. The expectation of the Hamiltonian at a given state is the solution of a second-order nonlinear differential equation determined by one of the possible regimes that the quantum system belongs to. It is shown that the collapse rate is a submartingale with positive jumps and the Shannon entropy process is a supermartingale with expected negative jumps when passing to higher-order probability spaces. The framework is extended to the case when the Hamiltonian is modeled as a function of a set of commutative operators, where each operator is associated with a different piecewise enlarged filtration.

71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSIC↗