Non-Gaussian Test Models for Prediction and State Estimation with Model Errors

Michal Branicki (), Nan Chen () and Andrew J. Majda ()
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Michal Branicki: New York University, Department of Mathematics and Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences
Nan Chen: New York University, Department of Mathematics and Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences
Andrew J. Majda: New York University, Department of Mathematics and Center for Atmosphere Ocean Science, Courant Institute of Mathematical Sciences

A chapter in Partial Differential Equations: Theory, Control and Approximation, 2014, pp 99-138 from Springer

Abstract: Abstract Turbulent dynamical systems involve dynamics with both a large dimensional phase space and a large number of positive Lyapunov exponents. Such systems are ubiquitous in applications in contemporary science and engineering where the statistical ensemble prediction and the real time filtering/state estimation are needed despite the underlying complexity of the system. Statistically exactly solvable test models have a crucial role to provide firm mathematical underpinning or new algorithms for vastly more complex scientific phenomena. Here, a class of statistically exactly solvable non-Gaussian test models is introduced, where a generalized Feynman-Kac formulation reduces the exact behavior of conditional statistical moments to the solution to inhomogeneous Fokker-Planck equations modified by linear lower order coupling and source terms. This procedure is applied to a test model with hidden instabilities and is combined with information theory to address two important issues in the contemporary statistical prediction of turbulent dynamical systems: the coarse-grained ensemble prediction in a perfect model and the improving long range forecasting in imperfect models. The models discussed here should be useful for many other applications and algorithms for the real time prediction and the state estimation.

Keywords: Prediction; Model error; Information theory; Feynman-Kac framework; Fokker-Planck; Turbulent dynamical systems; 60G25; 60H10; 60H30; 82C31; 94A15 (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-642-41401-5_4

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