The Gaussian Mixture Optimal Transport Ensemble Kalman Filter and Its Applications to Partially Linear Systems
报告人:罗雪
报告地点:腾讯会议ID: 8815884450 密码: 800200
报告时间:2024年12月25日星期三13:30-14:30
邀请人:陈亮
报告摘要:
In this talk, we shall propose the Gaussian mixture optimal transport Ensemble Kalman filter (GM-OT-EnKF) first. Then, we shall make two key observations, which can adapt the original GM-OT-EnKF more efficient to the partially linear systems. The one observation is the equivalence between the OT-EnKF with the classical Kalman filter (KF) in the linear system with Gaussian initial distribution. The other one is that in the setting of linear system with GM initial distribution, the updating of the components' weights in GM-OT-EnKF is finer than those in the Gaussian sum filter (GSF), due to the flexibility induced by the particles. These two observations in the linear system suggest two adaptions to the original GM-OT-EnKF corresponding to partially linear systems. The one is when the states' equation is linear, the EM algorithm is unnecessary in every cycles; the other one is when the observation is linear, the posterior mean and covariance matrix should be updated explicitly, rather than the empirical ones. The GM-OT-EnKF with either one of the two adaptions above is called the compact GM-OT-EnKF in this talk. The efficiency and accuracy of the GM-OT-EnKF and its compact version have been numerically verified in the estimation of the states in the Lorenz 63 system and the prediction of the remaining useful life of the lithium-ion batteries.
主讲人简介:
罗雪,教授,博士生导师,现就职北京航空航天大学数学科学学院。2013年毕业于美国伊利诺伊大学芝加哥分校,获理学博士学位。主要从事非线性滤波理论和计算等相关领域的研究。现为IEEE资深会员(senior member)。曾获丘成桐新世界数学奖博士论文银奖、ICCM最佳论文奖。近年来在IEEE Trans. Automat. Control、Automatica、Comm. Partial Differential Equations、SIAM J. Numer. Anal. 等知名期刊及顶级控制领域会议上发表论文30余篇。主持国家自然科学基金项目3项、北京市自然科学基金1项,参与多项国家自然科学基金项目、科技部国家重点研发计划 “数学和应用研究”等。