Ensemble Kalman Filtering without a Model

Abstract

Methods of data assimilation are established in physical sciences and engineering for the merging of observed data with dynamical models. When the model is nonlinear, methods such as the ensemble Kalman filter have been developed for this purpose. At the other end of the spectrum, when a model is not known, the delay coordinate method introduced by Takens has been used to reconstruct nonlinear dynamics. In this article, we merge these two important lines of research. A model-free filter is introduced based on the filtering equations of Kalman and the data-driven modeling of Takens. This procedure replaces the model with dynamics reconstructed from delay coordinates, while using the Kalman update formulation to reconcile new observations. We find that this combination of approaches results in comparable efficiency to parametric methods in identifying underlying dynamics, and may actually be superior in cases of model error.