Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: application to heat transfer in building walls

Type
Article

Authors
Iglesias, Marco
Sawlan, Zaid A
Scavino, Marco
Tempone, Raul
Wood, Christopher

KAUST Department
Applied Mathematics and Computational Science Program
Computer, Electrical and Mathematical Sciences and Engineering (CEMSE) Division

KAUST Grant Number
2281
2584

Preprint Posting Date
2017-11-26

Online Publication Date
2018-05-22

Print Publication Date
2018-07-01

Date
2018-05-22

Abstract
In this work, we present the ensemble-marginalized Kalman filter (EnMKF), a sequential algorithm analogous to our previously proposed approach (Ruggeri et al 2017 Bayesian Anal. 12 407-33, Iglesias et al 2018 Int. J. Heat Mass Transfer 116 417-31), for estimating the state and parameters of linear parabolic partial differential equations in initial-boundary value problems when the boundary data are noisy. We apply EnMKF to infer the thermal properties of building walls and to estimate the corresponding heat flux from real and synthetic data. Compared with a modified ensemble Kalman filter (EnKF) that is not marginalized, EnMKF reduces the bias error, avoids the collapse of the ensemble without needing to add inflation, and converges to the mean field posterior using or less of the ensemble size required by EnKF. According to our results, the marginalization technique in EnMKF is key to performance improvement with smaller ensembles at any fixed time.

Citation
Iglesias M, Sawlan Z, Scavino M, Tempone R, Wood C (2018) Ensemble-marginalized Kalman filter for linear time-dependent PDEs with noisy boundary conditions: application to heat transfer in building walls. Inverse Problems 34: 075008. Available: http://dx.doi.org/10.1088/1361-6420/aac224.

Acknowledgements
Z Sawlan, M Scavino and R Tempone are members of the KAUST SRI Center for Uncertainty Quantification in Computational Science and Engineering. R Tempone received support from the KAUST CRG3 Award Ref: 2281 and the KAUST CRG4 Award Ref: 2584.

Publisher
IOP Publishing

Journal
Inverse Problems

DOI
10.1088/1361-6420/aac224

arXiv
1711.09365

Additional Links
http://iopscience.iop.org/article/10.1088/1361-6420/aac224/meta

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