Joint learning of latent dynamics and states from noisy observations, by auto-differentiating through an Ensemble Kalman Filter (EnKF) using PyTorch.
Getting started:
l96_EnKF_demo.py: Computation of parameter log-likelihood and gradient estimates with EnKF (Lorenz-96 model).l96_param_est_demo.py: Parameter estimation in Lorenz-96 model with AD-EnKF (cf. Section 5.2.1 of paper).l96_NN_demo.py: Learning Lorenz-96 dynamics and states with neural network and AD-EnKF (cf. Section 5.2.2 of paper).l96_correction_demo.py: Correcting imperfect Lorenz-96 model with neural network and AD-EnKF (cf. Section 5.2.3 of paper).l96_multiscale_param_est.py: Parameter estimation in multiscale Lorenz-96 model with AD-EnKF (working paper).