Friday, 15:45 - 16:10 h, Room: H 3003A

 

Annick Sartenaer
Derivative-free optimization for large-scale nonlinear data assimilation problems

Coauthors: Serge Gratton, Patrick Laloyaux

 

Abstract:
Data assimilation consists in techniques to combine observations with a numerical prediction model. The goal is to produce the best estimate of the current state of the system. Two different approaches are used in data assimilation algorithms: the sequential one, based on the statistical estimation theory (Kalman filter) and the variational one, based on the optimal control theory. This last approach amounts to solve a very large nonlinear weighted least-squares problem called 4D-Var (four-dimensional variational problem). In both approaches, evaluating derivatives is challenging as one needs to compute the Jacobian of the model operator. The Ensemble Kalman Filter (EnKF) provides a suitable derivative-free alternative for the first
approach by using a Monte-Carlo implementation on the Kalman filter equations. However, no derivative-free variant of the variational approach has been proposed so far. In this talk, we present such a variant, based on a technique to build and explore a sequence of appropriate low dimensional subspaces. Numerical illustration is shown on a shallow water data assimilation problem, including a comparison with the Ensemble Kalman Filter approach.

 

Talk 2 of the invited session Fri.3.H 3003A
"Novel applications of derivative-free and simulation-based optimization" [...]
Cluster 6
"Derivative-free & simulation-based optimization" [...]

 

  The best way to go for you to know the credible Payday Loans Michigan providers. On the global pharmaceutical market this medicine was issued in 2003 by two companies - Eli Lilly and ICOS. Initially, permission to sell Cialis was obtained in Europe, Australia, New Zealand.