用神经算子提升粒子滤波器精度,适应不同规模样本。
Learning Enhanced Ensemble Filters
- 用机器学习映射状态与观测,突破高斯假设限制。
- 在洛伦兹96和库朗托-西瓦辛斯基模型上误差更低。
- 可适配不同粒子数,适合需要稳定滤波的场景。
隐马尔可夫模型中的滤波分布遵循状态-观测空间中均值场模型的演化规律。集合卡尔曼滤波(EnKF)通过一组相互作用的粒子近似该均值场模型,并在每次观测时刻采用联合分布的高斯假设。这类方法稳健,但高斯假设限制了精度。本文通过机器学习将预测的状态与观测联合映射到更新后的状态估计,以克服这一缺陷。从真实滤波分布的均值场推导出发,提出一种统一参数化方法,适用于不同集合大小。引入一种新型神经算子——测度神经映射(MNM),以概率分布为输入,作为算法的归纳偏置。基于此,设计出均值场极限与粒子集合近似下的新滤波方法:MNM增强集合滤波器(MNMEF)。集合实现中,以经验测度为MNM输入,使用集合变换器(set transformer)处理,具有集合置换不变性且支持不同集合规模。实际应用中,仅对少量参数微调即可进一步提升精度。在洛伦兹'96和库朗托-西瓦辛斯基模型上的实验表明,该方法相较现有主流方法在均方根误差上表现更优。
原文摘要 · Abstract (English)
The filtering distribution in hidden Markov models evolves according to the law of a mean-field model in state-observation space. The ensemble Kalman filter (EnKF) approximates this mean-field model with an ensemble of interacting particles, employing a Gaussian ansatz for the joint distribution of the state and observation at each observation time. These methods are robust, but the Gaussian ansatz limits accuracy. Here this shortcoming is addressed by using machine learning to map the joint predicted state and observation to the updated state estimate. The derivation of methods from a mean field formulation of the true filtering distribution suggests a single parametrization of the algorithm that can be deployed at different ensemble sizes. And we use a mean field formulation of the ensemble Kalman filter as an inductive bias for our architecture. To develop this perspective, in which the mean-field limit of the algorithm and finite interacting ensemble particle approximations share a common set of parameters, a novel form of neural operator is introduced, taking probability distributions as input: a measure neural mapping (MNM). A MNM is used to design a novel approach to filtering, the MNM-enhanced ensemble filter (MNMEF), which is defined in both the mean-field limit and for interacting ensemble particle approximations. The ensemble approach uses empirical measures as input to the MNM and is implemented using the set transformer, which is invariant to ensemble permutation and allows for different ensemble sizes. In practice fine-tuning of a small number of parameters, for specific ensemble sizes, further enhances the accuracy of the scheme. The promise of the approach is demonstrated by its superior root-mean-square-error performance relative to leading methods in filtering the Lorenz '96 and Kuramoto-Sivashinsky models.
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