Semiparametric modeling

Correcting low-dimensional model error in parametric models

Tyrus Berry, John Harlim

Research output: Contribution to journalArticle

7 Citations (Scopus)

Abstract

In this paper, a semiparametric modeling approach is introduced as a paradigm for addressing model error arising from unresolved physical phenomena. Our approach compensates for model error by learning an auxiliary dynamical model for the unknown parameters. Practically, the proposed approach consists of the following steps. Given a physics-based model and a noisy data set of historical observations, a Bayesian filtering algorithm is used to extract a time-series of the parameter values. Subsequently, the diffusion forecast algorithm is applied to the retrieved time-series in order to construct the auxiliary model for the time evolving parameters. The semiparametric forecasting algorithm consists of integrating the existing physics-based model with an ensemble of parameters sampled from the probability density function of the diffusion forecast. To specify initial conditions for the diffusion forecast, a Bayesian semiparametric filtering method that extends the Kalman-based filtering framework is introduced. In difficult test examples, which introduce chaotically and stochastically evolving hidden parameters into the Lorenz-96 model, we show that our approach can effectively compensate for model error, with forecasting skill comparable to that of the perfect model.

Original languageEnglish (US)
Pages (from-to)305-321
Number of pages17
JournalJournal of Computational Physics
Volume308
DOIs
StatePublished - Mar 1 2016

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forecasting
Time series
Physics
physics
probability density functions
Probability density function
learning

All Science Journal Classification (ASJC) codes

  • Numerical Analysis
  • Modeling and Simulation
  • Physics and Astronomy (miscellaneous)
  • Physics and Astronomy(all)
  • Computer Science Applications
  • Computational Mathematics
  • Applied Mathematics

Cite this

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Semiparametric modeling : Correcting low-dimensional model error in parametric models. / Berry, Tyrus; Harlim, John.

In: Journal of Computational Physics, Vol. 308, 01.03.2016, p. 305-321.

Research output: Contribution to journalArticle

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