arXiv:2604.02889stat.MLcs.AI2026-04

针对高维非线性系统,提出测量感知的得分滤波方法,提升稀疏观测下的估计精度与速度。

Rethinking Forward Processes for Score-Based Nonlinear Data Assimilation in High Dimensions

论文配图:Rethinking Forward Processes for Score-Based Nonlinear Data Assimilation in High Dimensions
图 1 · 摘自论文原文
  • 设计新型前向过程,使状态向观测空间演化,理论推导似然得分
  • 在10万维柯尔莫哥洛夫流上实现28.2倍加速,优于现有得分滤波器和集合卡尔曼滤波
  • 适合高维非线性系统、稀疏或非线性观测场景的高效状态估计

数据同化是结合模型预测与观测数据,估计动态系统状态的过程。当系统具有非线性和高维特性时,该任务极具挑战。近期,基于得分的贝叶斯滤波器被提出,但在空间稀疏观测下仍表现不佳,其性能下降源于对似然得分的启发式近似,误差随时间累积。根源在于现有方法沿用生成建模中的经典前向过程——将数据分布逐步转化为高斯分布,而该过程与观测方程无关。本文提出一种专为滤波设计的前向过程,将系统状态向观测空间演化,从而实现似然得分的理论正确建模。基于此,我们开发了测量感知得分滤波器(MASF)。在高达$\mathcal{O}(10^5)$维度的柯尔莫哥洛夫流基准测试中,面对多种观测算子(包括状态与观测维度不匹配的非线性情形),MASF显著优于现有得分滤波器和集合型卡尔曼滤波器。尤其在采用摊销预训练时,相比基线实现最高达28.2倍的壁钟速度提升。代码已开源:\texttt{https://github.com/tcnllab-oss/masf}。

原文摘要 · Abstract (English)

Data assimilation is the process of estimating the state of a dynamical system over time by combining model predictions with measurements. This task becomes challenging when the system is nonlinear and high-dimensional. To address this, score-based Bayesian filters have recently emerged. However, these methods still show unsatisfactory performance in certain cases, particularly under spatially sparse measurements. Such degradation stems from heuristic approximations of the likelihood score, whose errors can accumulate over time. This limitation arises because the methods simply adopt a classical forward process for generative modeling that transforms a data distribution toward a Gaussian distribution, which is independent of the measurement equation. Here, we propose a forward process tailored for filtering that transforms the system state toward the measurement space, enabling a theoretically sound formulation of the likelihood score. Based on this, we develop the Measurement-Aware Score-based Filter (MASF). We evaluate MASF on Kolmogorov flow, a high-dimensional fluid benchmark with up to $\mathcal{O}(10^5)$ dimensions, under diverse measurement operators, including nonlinear cases with a dimensional mismatch between the state and the measurements. MASF shows improved performance over existing score-based filters and ensemble-type Kalman filters. Notably, MASF achieves up to a $28.2\times$ wall-clock speedup compared with the baselines when using amortized pretraining. Our implementation is available at \texttt{https://github.com/tcnllab-oss/masf}.

数据同化得分模型高维系统滤波器

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