2014/11/24 by D. Sanz-Alonso, A. M. Stuart, Sanz-Alonso, D. +1
Mathematics · #Dynamical Systems (math.DS) #FOS: Mathematics #math.DS
paper · pdf · doi:10.48550/arxiv.1411.6510
arxiv created 2014/11/24 · arxiv updated 2014/11/25
The filtering distribution is a time-evolving probability distribution on the state of a dynamical system, given noisy observations. We study the large-time asymptotics of this probability distribution for discrete-time, randomly initialized signals that evolve according to a deterministic map Ψ. The observations are assumed to comprise a low-dimensional projection of the signal, given by an operator P, subject to additive noise. We address the question of whether these observations contain sufficient information to accurately reconstruct the signal. In a general framework, we establish conditions on Ψ and P under which the filtering distributions concentrate around the signal in the small-noise, long-time asymptotic regime. Linear systems, the Lorenz '63 and '96 models, and the Navier Stokes equation on a two-dimensional torus are within the scope of the theory. Our main findings come as a by-product of computable bounds, of independent interest, for suboptimal filters based on new variants of the 3DVAR filtering algorithm.