6 papers
Two Localization Strategies for Sequential MCMC Data Assimilation with Applications to Nonlinear Non-Gaussian Geophysical Models
Hamza Ruzayqat, Hristo G. Chipilski, Omar Knio
We present a localized data assimilation (DA) scheme based on the sequential Markov Chain Monte Carlo (SMCMC) technique [Ruzayqat et al., 2024], a provably convergent method for fi…
Whittle-Matérn Fields with Variable Smoothness
Hamza Ruzayqat, Wenyu Lei, David Bolin +2
We introduce and analyze a nonlocal generalization of Whittle--Matérn Gaussian fields in which the smoothness parameter varies in space through the fractional order, $s=s(x)\in[\un…
Local Sequential MCMC for Data Assimilation with Applications in Geoscience
Hamza Ruzayqat, Omar Knio
This paper presents a new data assimilation (DA) scheme based on a sequential Markov Chain Monte Carlo (SMCMC) DA technique [Ruzayqat et al. 2024] which is provably convergent and…
Log-Normalization Constant Estimation using the Ensemble Kalman-Bucy Filter with Application to High-Dimensional Models
Dan Crisan, Pierre Del Moral, Ajay Jasra +1
In this article we consider the estimation of the log-normalization constant associated to a class of continuous-time filtering models. In particular, we consider ensemble Kalman-B…
Score-Based Parameter Estimation for a Class of Continuous-Time State Space Models
Alexandros Beskos, Dan Crisan, Ajay Jasra +2
We consider the problem of parameter estimation for a class of continuous-time state space models. In particular, we explore the case of a partially observed diffusion, with data a…
Unbiased Estimation of the Solution to Zakai's Equation
Hamza M. Ruzayqat, Ajay Jasra
In the following article we consider the non-linear filtering problem in continuous-time and in particular the solution to Zakai's equation or the normalizing constant. We develop…