Ensemble Variational Fokker-Planck Methods for Data Assimilation

TL;DR

This paper introduces the Variational Fokker-Planck framework for data assimilation, unifying particle flow filters and ensuring convergence to the Bayesian posterior while addressing particle collapse.

Contribution

It presents a general VFP approach that includes existing particle flow filters, introduces regularization to prevent particle collapse, and demonstrates flexibility and effectiveness on complex test problems.

Findings

Convergence of particle ensembles to the Bayesian posterior.

Regularization methods effectively prevent particle collapse.

VFP framework performs well on Lorenz and quasi-geostrophic models.

Abstract

Particle flow filters solve Bayesian inference problems by smoothly transforming a set of particles into samples from the posterior distribution. Particles move in state space under the flow of an McKean-Vlasov-Ito process. This work introduces the Variational Fokker-Planck (VFP) framework for data assimilation, a general approach that includes previously known particle flow filters as special cases. The McKean-Vlasov-Ito process that transforms particles is defined via an optimal drift that depends on the selected diffusion term. It is established that the underlying probability density - sampled by the ensemble of particles - converges to the Bayesian posterior probability density. For a finite number of particles the optimal drift contains a regularization term that nudges particles toward becoming independent random variables. Based on this analysis, we derive computationally-feasible approximate regularization approaches that penalize the mutual information between pairs of particles, and avoid particle collapse. Moreover, the diffusion plays a role akin to a particle rejuvenation approach that aims to alleviate particle collapse. The VFP framework is very flexible. Different assumptions on prior and intermediate probability distributions can be used to implement the optimal drift, and localization and covariance shrinkage can be applied to alleviate the curse of dimensionality. A robust implicit-explicit method is discussed for the efficient integration of stiff McKean-Vlasov-Ito processes. The effectiveness of the VFP framework is demonstrated on three progressively more challenging test problems, namely the Lorenz '63, Lorenz '96 and the quasi-geostrophic equations.