Precision Annealing Monte Carlo Methods for Statistical Data Assimilation: Metropolis-Hastings Procedures
- 1Department of Physics, University of California San Diego, 9500 Gilman Drive, La Jolla, CA 92093
- 2Marine Physical Laboratory, Scripps Institution of Oceanography
- 3Department of Physics, University of California San Diego, 9500 Gilman Drive, La Jolla, CA 92093
- 1Department of Physics, University of California San Diego, 9500 Gilman Drive, La Jolla, CA 92093
- 2Marine Physical Laboratory, Scripps Institution of Oceanography
- 3Department of Physics, University of California San Diego, 9500 Gilman Drive, La Jolla, CA 92093
Abstract. Statistical Data Assimilation (SDA) is the transfer of information from field or laboratory observations to a user selected model of the dynamical system producing those observations. The data is noisy and the model has errors; the information transfer addresses properties of the conditional probability distribution of the states of the model conditioned on the observations. The quantities of interest in SDA are the conditional expected values of functions of the model state, and these require the approximate evaluation of high dimensional integrals. We introduce a conditional probability distribution and use the Laplace method with annealing to identify the maxima of the conditional probability distribution. The annealing method slowly increases the precision term of the model as it enters the Laplace method. In this paper, we extend the idea of precision annealing (PA) to Monte Carlo calculations of conditional expected values using Metropolis-Hastings methods.
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Preprint
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Adrian S. Wong et al.
Interactive discussion


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RC1: 'Official review', S.G. Penny, 12 Mar 2019
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AC2: 'Response to Ref S.G. Penny', Adrian Wong, 19 Apr 2019
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AC3: 'Response 2 to Ref S.G. Penny', Adrian Wong, 17 May 2019
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AC2: 'Response to Ref S.G. Penny', Adrian Wong, 19 Apr 2019
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RC2: 'Review of Precision annealing Monte Carlo Methods for statistical data assimilation: Metropolis-Hastings Procedures', Anonymous Referee #2, 28 Mar 2019
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AC1: 'Response to Ref #2', Adrian Wong, 01 Apr 2019
Interactive discussion


-
RC1: 'Official review', S.G. Penny, 12 Mar 2019
-
AC2: 'Response to Ref S.G. Penny', Adrian Wong, 19 Apr 2019
-
AC3: 'Response 2 to Ref S.G. Penny', Adrian Wong, 17 May 2019
-
AC2: 'Response to Ref S.G. Penny', Adrian Wong, 19 Apr 2019
-
RC2: 'Review of Precision annealing Monte Carlo Methods for statistical data assimilation: Metropolis-Hastings Procedures', Anonymous Referee #2, 28 Mar 2019
-
AC1: 'Response to Ref #2', Adrian Wong, 01 Apr 2019
Adrian S. Wong et al.
Adrian S. Wong et al.
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