The Ensemble Schr{ö}dinger Bridge filter for Nonlinear Data Assimilation
This addresses data assimilation problems in fields like meteorology, though it appears incremental as it builds on existing filtering and generative modeling approaches.
The paper tackles nonlinear data assimilation by proposing the Ensemble Schrödinger Bridge filter, which combines prediction procedures with diffusion generative modeling for analysis. Experimental results show it outperforms ensemble Kalman and particle filters in tests with highly nonlinear dynamics up to dimension 40.
This work puts forward a novel nonlinear optimal filter namely the Ensemble Schr{ö}dinger Bridge nonlinear filter. The proposed filter finds marriage of the standard prediction procedure and the diffusion generative modeling for the analysis procedure to realize one filtering step. The designed approach finds no structural model error, and it is derivative free, training free and highly parallizable. Experimental results show that the designed algorithm performs well given highly nonlinear dynamics in (mildly) high dimension up to 40 or above under a chaotic environment. It also shows better performance than classical methods such as the ensemble Kalman filter and the Particle filter in numerous tests given different level of nonlinearity. Future work will focus on extending the proposed approach to practical meteorological applications and establishing a rigorous convergence analysis.