A non-Gaussian stochastic model from limited observations using polynomial chaos and fractional moments

Author(s):  
Ruijing Zhang ◽  
Xu Yang ◽  
Hongzhe Dai
2005 ◽  
Vol 62 (7) ◽  
pp. 2098-2117 ◽  
Author(s):  
Judith Berner

Abstract To link prominent nonlinearities in the dynamics of 500-hPa geopotential heights to non-Gaussian features in their probability density, a nonlinear stochastic model of atmospheric planetary wave behavior is developed. An analysis of geopotential heights generated by extended integrations of a GCM suggests that a stochastic model and its associated Fokker–Planck equation call for a nonlinear drift and multiplicative noise. All calculations are carried out in the reduced phase space spanned by the leading EOFs. It is demonstrated that this nonlinear stochastic model of planetary wave behavior captures the non-Gaussian features in the probability density function of atmospheric states to a remarkable degree. Moreover, it not only predicts global temporal characteristics, but also the nonlinear, state-dependent divergence of state trajectories. In the context of this empirical modeling, it is discussed on which time scale a stochastic model is expected to approximate the behavior of a continuous deterministic process. The reduced model is then used to determine the importance of the nonlinearities in the drift and the role of the multiplicative noise. While the nonlinearities in the drift are crucial for a good representation of planetary wave behavior, multiplicative (i.e., state dependent) noise is not absolutely essential. It is found that a major contributor to the stochastic component is the Branstator–Kushnir oscillation, which acts as a fluctuating force for physical processes with even longer time scales, like those that project on the Arctic Oscillation pattern. In this model, the oscillation is represented by strongly correlated noise.


Author(s):  
Nan Chen ◽  
Andrew J. Majda

AbstractWe assess the predictability limits of the large-scale cloud patterns in the boreal summer intraseasonal variability (BSISO), which are measured by the infrared brightness temperature, a proxy for convective activity. A recent developed nonlinear data analysis technique, nonlinear Laplacian spectrum analysis (NLSA), is applied to the brightness temperature data, defining two spatial modes with high intermittency associated with the BSISO time series. Then a recent developed data-driven physics-constrained low-ordermodeling strategy is applied to these time series. The result is a four dimensional system with two observed BSISO variables and two hidden variables involving correlated multiplicative noise through the nonlinear energyconserving interaction. With the optimal parameters calibrated by information theory, the non-Gaussian fat tailed probability distribution functions (PDFs), the autocorrelations and the power spectrum of the model signals almost perfectly match those of the observed data. An ensemble prediction scheme incorporating an effective on-line data assimilation algorithm for determining the initial ensemble of the hidden variables shows the useful prediction skill in the non-El Niño years is at least 30 days and even reaches 55 days in those years with regular oscillations and the skillful prediction lasts for 18 days in the strong El Niño year (year 1998). Furthermore, the ensemble spread succeeds in indicating the forecast uncertainty. Although the reduced linear model with time-periodic stable-unstable damping is able to capture the non-Gaussian fat tailed PDFs, it is less skillful in forecasting the BSISO in the years with irregular oscillations. The failure of the ensemble spread to include the truth also indicates failure in quantification of the uncertainty. In addition, without the energy-conserving nonlinear interactions, the linear model is sensitive with parameter variations. mcwfnally, the twin experiment with nonlinear stochastic model has comparable skill as the observed data, suggesting the nonlinear stochastic model has significant skill for determining the predictability limits of the large-scale cloud patterns of the BSISO.


2016 ◽  
Vol 138 (11) ◽  
Author(s):  
S. Dubreuil ◽  
N. Bartoli ◽  
C. Gogu ◽  
T. Lefebvre

Multidisciplinary analysis (MDA) is nowadays a powerful tool for analysis and optimization of complex systems. The present study is interested in the case where MDA involves feedback loops between disciplines (i.e., the output of a discipline is the input of another and vice versa). When the models for each discipline involve non-negligible modeling uncertainties, it is important to be able to efficiently propagate these uncertainties to the outputs of the MDA. The present study introduces a polynomial chaos expansion (PCE)-based approach to propagate modeling uncertainties in MDA. It is assumed that the response of each disciplinary solver is affected by an uncertainty modeled by a random field over the design and coupling variables space. A semi-intrusive PCE formulation of the problem is proposed to solve the corresponding nonlinear stochastic system. Application of the proposed method emphasizes an important particular case in which each disciplinary solver is replaced by a surrogate model (e.g., kriging). Three application problems are treated, which show that the proposed approach can approximate arbitrary (non-Gaussian) distributions very well at significantly reduced computational cost.


2015 ◽  
Vol 22 (5) ◽  
pp. 993-1003 ◽  
Author(s):  
Youping Gong ◽  
Xiangjuan Bian ◽  
Chen Guojin ◽  
Lv Yunpeng ◽  
Zhangming Peng

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