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Randolph E. Bank
Philip E. Gill
Michael Holst

Administrative Contact:
Terry Le

Office: AP&M 7431
Phone: (858)534-9813
Fax: (858)534-5273
E-mail: tele@ucsd.edu
State and Parameter Estimation in Models of Nonlinear Systems

Professor Henry D. I. Abarbanel
Department of Physics and Marine Physical Laboratory (Scripps Institution of Oceanography) University of California, San Diego


The problem of using observed information in estimating unobserved state variables and fixed parameters in a model of a nonlinear dynamical system when the measurements are noisy, the model has errors, and the state of the system as measurements begin is uncertain is cast as an exact path integral. In this formulation the measurements are seen as a guiding "potential" directing a chaotic system to the correct region of phase space. The path integral is evaluated directly for small systems such as the Lorenz 1996 model. In the measurement window, there are indications that the distribution of state variables is nearly Gaussian. The properties of the path integral can yield an approximation to the number of required measurements. A saddle point evaluation of the path integral is seen to be 4DVAR, and implementing this in the case where the dynamics is error free?--i.e. deterministic?--is shown to require regularization to achieve a smooth surface on which the estimation search can proceed. The number of observations required to regularize the search can be estimated from this requirement. The regularized 4DVAR method is applied to experiments on a small nonlinear circuit as well as to the Lorenz 1996 model.

Tuesday, March 9, 2010
11:00AM AP&M 2402