Nonlinear Assimilation via Score-based Sequential Langevin Sampling

arXiv:2411.13443v4 Announce Type: replace-cross
Abstract: This paper introduces score-based sequential Langevin sampling (SSLS), a novel approach to nonlinear data assimilation within a recursive Bayesian filtering framework. The proposed method decomposes the assimilation process into alternating prediction and update steps, using dynamic models for state prediction and incorporating observational data via score-based Langevin Monte Carlo during the updates. To overcome inherent challenges in highly non-log-concave posterior sampling, we integrate an annealing strategy into the update mechanism. Theoretically, we establish convergence guarantees for SSLS in total variation (TV) distance, yielding concrete insights into the algorithm’s error behavior with respect to key hyperparameters. Crucially, our derived error bounds demonstrate the asymptotic stability of SSLS, guaranteeing that local posterior sampling errors do not accumulate indefinitely over time. Extensive numerical experiments across challenging scenarios, including high-dimensional systems, strong nonlinearity, and sparse observations, highlight the robust performance of the proposed method. Furthermore, SSLS effectively quantifies the uncertainty associated with state estimates, rendering it particularly valuable for reliable error calibration.