Dissertations / Theses on the topic 'Inverse Uncertainty Quantification'

The main goal of this thesis is to investigate the frequentist asymptotic properties of nonparametric Bayesian procedures in inverse problems and the Gaussian white noise model. In the first part, we study the frequentist posterior contraction rate of nonparametric Bayesian procedures in linear inverse problems in both the mildly and severely ill-posed cases. This rate provides a quantitative measure of the quality of statistical estimation of the procedure. A theorem is proved in a general Hilbert space setting under approximation-theoretic assumptions on the prior. The result is applied to non-conjugate priors, notably sieve and wavelet series priors, as well as in the conjugate setting. In the mildly ill-posed setting, minimax optimal rates are obtained, with sieve priors being rate adaptive over Sobolev classes. In the severely ill-posed setting, oversmoothing the prior yields minimax rates. Previously established results in the conjugate setting are obtained using this method. Examples of applications include deconvolution, recovering the initial condition in the heat equation and the Radon transform. In the second part of this thesis, we investigate Bernstein--von Mises type results for adaptive nonparametric Bayesian procedures in both the Gaussian white noise model and the mildly ill-posed inverse setting. The Bernstein--von Mises theorem details the asymptotic behaviour of the posterior distribution and provides a frequentist justification for the Bayesian approach to uncertainty quantification. We establish weak Bernstein--von Mises theorems in both a Hilbert space and multiscale setting, which have applications in $L^2$ and $L^\infty$ respectively. This provides a theoretical justification for plug-in procedures, for example the use of certain credible sets for sufficiently smooth linear functionals. We use this general approach to construct optimal frequentist confidence sets using a Bayesian approach. We also provide simulations to numerically illustrate our approach and obtain a visual representation of the different geometries involved.

Dans de nombreuses disciplines, les approches permettant d'étudier et de quantifier l'influence de données incertaines sont devenues une nécessité. Bien que la propagation directe d'incertitudes ait été largement étudiée, la propagation inverse d'incertitudes demeure un vaste sujet d'étude, sans méthode standardisée. Dans cette thèse, une nouvelle méthode de propagation inverse d'incertitude est présentée. Le but de cette méthode est de déterminer l'incertitude d'entrée à partir de données de sortie considérées comme incertaines. Parallèlement, les méthodes d'analyse de sensibilité sont également très utilisées pour déterminer l'influence des entrées sur la sortie lors d'un processus de modélisation. Ces approches permettent d'isoler les entrées les plus significatives, c'est à dire les plus influentes, qu'il est nécessaire de tester lors d'une analyse d'incertitudes. Dans ce travail, nous approfondirons tout d'abord la méthode d'analyse de sensibilité de Sobol, qui est l'une des méthodes d'analyse de sensibilité globale les plus efficaces. Cette méthode repose sur le calcul d'indices de sensibilité, appelés indices de Sobol, qui représentent l'effet des données d'entrées (vues comme des variables aléatoires continues) sur la sortie. Nous démontrerons ensuite que la méthode de Sobol donne des résultats fiables même lorsqu'elle est appliquée dans le cas discret. Puis, nous étendrons le cadre d'application de la méthode de Sobol afin de répondre à la problématique de propagation inverse d'incertitudes. Enfin, nous proposerons une nouvelle approche de la méthode de Sobol qui permet d'étudier la variation des indices de sensibilité par rapport à certains facteurs du modèle ou à certaines conditions expérimentales. Nous montrerons que les résultats obtenus lors de ces études permettent d'illustrer les différentes caractéristiques des données d'entrée. Pour conclure, nous exposerons comment ces résultats permettent d'indiquer les meilleures conditions expérimentales pour lesquelles l'estimation des paramètres peut être efficacement réalisée<br>Approaches for studying uncertainty are of great necessity in all disciplines. While the forward propagation of uncertainty has been investigated extensively, the backward propagation is still under studied. In this thesis, a new method for backward propagation of uncertainty is presented. The aim of this method is to determine the input uncertainty starting from the given data of the uncertain output. In parallel, sensitivity analysis methods are also of great necessity in revealing the influence of the inputs on the output in any modeling process. This helps in revealing the most significant inputs to be carried in an uncertainty study. In this work, the Sobol sensitivity analysis method, which is one of the most efficient global sensitivity analysis methods, is considered and its application framework is developed. This method relies on the computation of sensitivity indexes, called Sobol indexes. These indexes give the effect of the inputs on the output. Usually inputs in Sobol method are considered to vary as continuous random variables in order to compute the corresponding indexes. In this work, the Sobol method is demonstrated to give reliable results even when applied in the discrete case. In addition, another advancement for the application of the Sobol method is done by studying the variation of these indexes with respect to some factors of the model or some experimental conditions. The consequences and conclusions derived from the study of this variation help in determining different characteristics and information about the inputs. Moreover, these inferences allow the indication of the best experimental conditions at which estimation of the inputs can be done

Uncertainty Quantification (UQ) has been an active area of research in recent years with a wide range of applications in data and imaging sciences. In many problems, the source of uncertainty stems from an unknown parameter in the model. In physical and engineering systems for example, the parameters of the partial differential equation (PDE) that model the observed data may be unknown or incompletely specified. In such cases, one may use a probabilistic description based on prior information and formulate a forward UQ problem of characterising the uncertainty in the PDE solution and observations in response to that in the parameters. Conversely, inverse UQ encompasses the statistical estimation of the unknown parameters from the available observations, which can be cast as a Bayesian inverse problem. The contributions of the thesis focus on examining the aforementioned forward and inverse UQ problems for the low-frequency, time-harmonic Maxwell equations, where the model uncertainty emanates from the lack of knowledge of the material conductivity parameter. The motivation comes from the Controlled-Source Electromagnetic Method (CSEM) that aims to detect and image hydrocarbon reservoirs by using electromagnetic field (EM) measurements to obtain information about the conductivity profile of the sub-seabed. Traditionally, algorithms for deterministic models have been employed to solve the inverse problem in CSEM by optimisation and regularisation methods, which aside from the image reconstruction provide no quantitative information on the credibility of its features. This work employs instead stochastic models where the conductivity is represented as a lognormal random field, with the objective of providing a more informative characterisation of the model observables and the unknown parameters. The variational formulation of these stochastic models is analysed and proved to be well-posed under suitable assumptions. For computational purposes the stochastic formulation is recast as a deterministic, parametric problem with distributed uncertainty, which leads to an infinite-dimensional integration problem with respect to the prior and posterior measure. One of the main challenges is thus the approximation of these integrals, with the standard choice being some variant of the Monte-Carlo (MC) method. However, such methods typically fail to take advantage of the intrinsic properties of the model and suffer from unsatisfactory convergence rates. Based on recently developed theory on high-dimensional approximation, this thesis advocates the use of Sparse Quadrature (SQ) to tackle the integration problem. For the models considered here and under certain assumptions, we prove that for forward UQ, Sparse Quadrature can attain dimension-independent convergence rates that out-perform MC. Typical CSEM models are large-scale and thus additional effort is made in this work to reduce the cost of obtaining forward solutions for each sampling parameter by utilising the weighted Reduced Basis method (RB) and the Empirical Interpolation Method (EIM). The proposed variant of a combined SQ-EIM-RB algorithm is based on an adaptive selection of training sets and a primal-dual, goal-oriented formulation for the EIM-RB approximation. Numerical examples show that the suggested computational framework can alleviate the computational costs associated with forward UQ for the pertinent large-scale models, thus providing a viable methodology for practical applications.

Ensemble and variational techniques have gained wide popularity as the two main approaches for solving data assimilation and inverse problems. The majority of the methods in these two approaches are derived (at least implicitly) under the assumption that the underlying probability distributions are Gaussian. It is well accepted, however, that the Gaussianity assumption is too restrictive when applied to large nonlinear models, nonlinear observation operators, and large levels of uncertainty. This work develops a family of fully non-Gaussian data assimilation algorithms that work by directly sampling the posterior distribution. The sampling strategy is based on a Hybrid/Hamiltonian Monte Carlo (HMC) approach that can handle non-normal probability distributions. The first algorithm proposed in this work is the "HMC sampling filter", an ensemble-based data assimilation algorithm for solving the sequential filtering problem. Unlike traditional ensemble-based filters, such as the ensemble Kalman filter and the maximum likelihood ensemble filter, the proposed sampling filter naturally accommodates non-Gaussian errors and nonlinear model dynamics, as well as nonlinear observations. To test the capabilities of the HMC sampling filter numerical experiments are carried out using the Lorenz-96 model and observation operators with different levels of nonlinearity and differentiability. The filter is also tested with shallow water model on the sphere with linear observation operator. Numerical results show that the sampling filter performs well even in highly nonlinear situations where the traditional filters diverge. Next, the HMC sampling approach is extended to the four-dimensional case, where several observations are assimilated simultaneously, resulting in the second member of the proposed family of algorithms. The new algorithm, named "HMC sampling smoother", is an ensemble-based smoother for four-dimensional data assimilation that works by sampling from the posterior probability density of the solution at the initial time. The sampling smoother naturally accommodates non-Gaussian errors and nonlinear model dynamics and observation operators, and provides a full description of the posterior distribution. Numerical experiments for this algorithm are carried out using a shallow water model on the sphere with observation operators of different levels of nonlinearity. The numerical results demonstrate the advantages of the proposed method compared to the traditional variational and ensemble-based smoothing methods. The HMC sampling smoother, in its original formulation, is computationally expensive due to the innate requirement of running the forward and adjoint models repeatedly. The proposed family of algorithms proceeds by developing computationally efficient versions of the HMC sampling smoother based on reduced-order approximations of the underlying model dynamics. The reduced-order HMC sampling smoothers, developed as extensions to the original HMC smoother, are tested numerically using the shallow-water equations model in Cartesian coordinates. The results reveal that the reduced-order versions of the smoother are capable of accurately capturing the posterior probability density, while being significantly faster than the original full order formulation. In the presence of nonlinear model dynamics, nonlinear observation operator, or non-Gaussian errors, the prior distribution in the sequential data assimilation framework is not analytically tractable. In the original formulation of the HMC sampling filter, the prior distribution is approximated by a Gaussian distribution whose parameters are inferred from the ensemble of forecasts. The Gaussian prior assumption in the original HMC filter is relaxed. Specifically, a clustering step is introduced after the forecast phase of the filter, and the prior density function is estimated by fitting a Gaussian Mixture Model (GMM) to the prior ensemble. The base filter developed following this strategy is named cluster HMC sampling filter (ClHMC ). A multi-chain version of the ClHMC filter, namely MC-ClHMC , is also proposed to guarantee that samples are taken from the vicinities of all probability modes of the formulated posterior. These methodologies are tested using a quasi-geostrophic (QG) model with double-gyre wind forcing and bi-harmonic friction. Numerical results demonstrate the usefulness of using GMMs to relax the Gaussian prior assumption in the HMC filtering paradigm. To provide a unified platform for data assimilation research, a flexible and a highly-extensible testing suite, named DATeS , is developed and described in this work. The core of DATeS is implemented in Python to enable for Object-Oriented capabilities. The main components, such as the models, the data assimilation algorithms, the linear algebra solvers, and the time discretization routines are independent of each other, such as to offer maximum flexibility to configure data assimilation studies.<br>Ph. D.

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Aeronautics and Astronautics, 2008.<br>Includes bibliographical references (p. 147-152).<br>There are multiple instances in science and engineering where quantities of interest are evaluated by solving one or several nonlinear partial differential equations (PDEs) that are parametrized in terms of a set of inputs. Even though well-established numerical techniques exist for solving these problems, their computational cost often precludes their use in cases where the outputs of interest must be evaluated repeatedly for different values of the input parameters such as probabilistic analysis applications. In this thesis we present a model reduction methodology that combines efficient representation of the nonlinearities in the governing PDE with an efficient model-constrained, greedy algorithm for sampling the input parameter space. The nonlinearities in the PDE are represented using a coefficient-function approximation that enables the development of an efficient offline-online computational procedure where the online computational cost is independent of the size of the original high-fidelity model. The input space sampling algorithm used for generating the reduced space basis adaptively improves the quality of the reduced order approximation by solving a PDE-constrained continuous optimization problem that targets the output error between the reduced and full order models in order to determine the optimal sampling point at every greedy cycle. The resulting model reduction methodology is applied to a highly nonlinear combustion problem governed by a convection-diffusion-reaction PDE with up to 3 input parameters. The reduced basis approximation developed for this problem is up to 50, 000 times faster to solve than the original high-fidelity finite element model with an average relative error in prediction of outputs of interest of 2.5 - 10-6 over the input parameter space. The reduced order model developed in this thesis is used in a novel probabilistic methodology for solving inverse problems.<br>(cont) The extreme computational cost of the Bayesian framework approach for inferring the values of the inputs that generated a given set of empirically measured outputs often precludes its use in practical applications. In this thesis we show that using a reduced order model for running the Markov<br>by David Galbally.<br>S.M.

For many scientific applications, inverse problems have played a key role in solving important problems by enabling researchers to estimate desired parameters of a system from observed measurements. For example, large-scale inverse problems arise in many global problems and medical imaging problems such as greenhouse gas tracking and computational tomography reconstruction. This dissertation describes advancements in computational tools for solving large-scale inverse problems and for uncertainty quantification. Oftentimes, inverse problems are ill-posed and large-scale. Iterative projection methods have dramatically reduced the computational costs of solving large-scale inverse problems, and regularization methods have been critical in obtaining stable estimations by applying prior information of unknowns via Bayesian inference. However, by combining iterative projection methods and variational regularization methods, hybrid projection approaches, in particular generalized hybrid methods, create a powerful framework that can maximize the benefits of each method. In this dissertation, we describe various advancements and extensions of hybrid projection methods that we developed to address three recent open problems. First, we develop hybrid projection methods that incorporate mixed Gaussian priors, where we seek more sophisticated estimations where the unknowns can be treated as random variables from a mixture of distributions. Second, we describe hybrid projection methods for mean estimation in a hierarchical Bayesian approach. By including more than one prior covariance matrix (e.g., mixed Gaussian priors) or estimating unknowns and hyper-parameters simultaneously (e.g., hierarchical Gaussian priors), we show that better estimations can be obtained. Third, we develop computational tools for a respirometry system that incorporate various regularization methods for both linear and nonlinear respirometry inversions. For the nonlinear systems, blind deconvolution methods are developed and prior knowledge of nonlinear parameters are used to reduce the dimension of the nonlinear systems. Simulated and real-data experiments of the respirometry problems are provided. This dissertation provides advanced tools for computational inversion and uncertainty quantification.<br>Doctor of Philosophy<br>For many scientific applications, inverse problems have played a key role in solving important problems by enabling researchers to estimate desired parameters of a system from observed measurements. For example, large-scale inverse problems arise in many global problems such as greenhouse gas tracking where the problem of estimating the amount of added or removed greenhouse gas at the atmosphere gets more difficult. The number of observations has been increased with improvements in measurement technologies (e.g., satellite). Therefore, the inverse problems become large-scale and they are computationally hard to solve. Another example of an inverse problem arises in tomography, where the goal is to examine materials deep underground (e.g., to look for gas or oil) or reconstruct an image of the interior of the human body from exterior measurements (e.g., to look for tumors). For tomography applications, there are typically fewer measurements than unknowns, which results in non-unique solutions. In this dissertation, we treat unknowns as random variables with prior probability distributions in order to compensate for a deficiency in measurements. We consider various additional assumptions on the prior distribution and develop efficient and robust numerical methods for solving inverse problems and for performing uncertainty quantification. We apply our developed methods to many numerical applications such as greenhouse gas tracking, seismic tomography, spherical tomography problems, and the estimation of CO2 of living organisms.

Nous proposons une méthode pour calculer des grandeurs physiques telles que les gradients de pressions, les forces et les vitesses (p-f-u) nécessaires à la description des dynamiques cellulaires interne et externe et pour étudier les mécanismes biologiques qui les gouvernent. Cette méthode non invasive extrait le mouvement de l'objet biologique d'étude de son observation en microscopie de fluorescence conventionnelle, tout en inférant les variables d'un modèle physique décrivant son comportement. Cette idée est formulée comme un problème d'optimisation avec des dérivées partielles comme contraint. Nous l'abordons par les méthodes adjoint et des éléments finis puis l'étendons dans un cadre Bayésien pour en quantifier les incertitudes. Nous utilisons la dynamique des fluides pour décrire l'écoulement cytoplasmique et obtenons des estimations pour p-f-u qui fédèrent et complètent des résultats précédents sur la mécanique de la migration cellulaire. Les forces sont validées par comparaison avec un système nématique incluant des moteurs moléculaires. Nous montrons aussi comment la vitesse obtenu peut être utilisé dans un schéma de tracking fondé sur l'advection, ce qui permet de suivre des régions moléculaires et de définir mesures globales. Pour compléter l'étude interne avec des mesures extracellulaires, nous reformulons la microscopie de force de traction dans le cadre de la méthode proposée. Ceci permet une réduction de la propagation des incertitudes et fournit des barres d'erreur. Les logiciels et les outils de visualisation sont disponibles dans le programme open-source Icy<br>We propose a computational imaging framework that estimates 2D or 3D biophysical quantities such as pressure gradients, forces and velocity (p-f-u) that are required to characterise cell dynamics in and outside the cell and to model the biological mechanisms that govern it. The method works non-invasively by extracting the motion of the biological object of interest observed using conventional fluorescence microscopy, while simultaneously inferring the variables of a physical model describing its constitutive behavior. This idea is formulated as a PDE-constrained optimisation, which we approach with the finite element and adjoint methods, and is subsequently extended into a Bayesian setting to allow for uncertainty quantification. We use a fluid dynamics model to describe cytoplasmic streaming in amoeboid cells, obtaining intracellular estimates of p-f-u that reconcile and extend multiple reports on the mechanics of cell migration. The forces are validated by comparison with an active nematic system that includes molecular motors. We also show how the computed velocity field can be used in an advection-based tracking scheme that is able to follow dynamic molecular regions and allows defining integral measures. To complement the internal insight with extracellular measurements, we reformulate the standard traction force microscopy within our proposed framework, reducing uncertainty propagation and providing error bounds. Related software and visualisation tools are available in the open-source Icy program

Les nouvelles attentes vis-à-vis des nouveaux trains à grande vitesse sont nombreuses: on les voudrait plus rapides, plus confortables, plus stables, tout en étant moins consommateur d'énergie, moins agressif vis-à-vis des voies, moins bruyants... Afin d'optimiser la conception de ces trains du futur, il est alors nécessaire de pouvoir se baser sur une connaissance précise de l'ensemble des conditions de circulations qu'ils sont susceptibles de rencontrer au cours de leur cycle de vie. Afin de relever ces défis, la simulation a un très grand rôle à jouer. Pour que la simulation puisse être utilisée dans des perspectives de conception, de certification et d'optimisation de la maintenance, elle doit alors être tout à fait représentative de l'ensemble des comportements physiques mis en jeu. Le modèle du train, du contact entre les roues et le rail, doivent ainsi être validés avec attention, et les simulations doivent être lancées sur des ensembles d'excitations qui sont réalistes et représentatifs de ces défauts de géométrie. En ce qui concerne la dynamique, la géométrie de la voie, et plus particulièrement les défauts de géométrie, représentent une des principales sources d'excitation du train, qui est un système mécanique fortement non linéaire. A partir de mesures de la géométrie d'un réseau ferroviaire, un paramétrage complet de la géométrie de la voie et de sa variabilité semblent alors nécessaires, afin d'analyser au mieux le lien entre la réponse dynamique du train et les propriétés physiques et statistiques de la géométrie de la voie. Dans ce contexte, une approche pertinente pour modéliser cette géométrie de la voie, est de la considérer comme un champ aléatoire multivarié, dont les propriétés sont a priori inconnues. En raison des interactions spécifiques entre le train et la voie, il s'avère que ce champ aléatoire n'est ni Gaussien ni stationnaire. Ce travail de thèse s'est alors particulièrement concentré sur le développement de méthodes numériques permettant l'identification en inverse, à partir de mesures expérimentales, de champs aléatoires non Gaussiens et non stationnaires. Le comportement du train étant très non linéaire, ainsi que très sensible vis-à-vis de la géométrie de la voie, la caractérisation du champ aléatoire correspondant aux défauts de géométrie doit être extrêmement fine, tant du point de vue fréquentiel que statistique. La dimension des espaces statistiques considérés est alors très importante. De ce fait, une attention toute particulière a été portée dans ces travaux aux méthodes de réduction statistique, ainsi qu'aux méthodes pouvant être généralisées à la très grande dimension. Une fois la variabilité de la géométrie de la voie caractérisée à partir de données expérimentales, elle doit ensuite être propagée au sein du modèle numérique ferroviaire. A cette fin, les propriétés mécaniques d'un modèle numérique de train à grande vitesse ont été identifiées à partir de mesures expérimentales. La réponse dynamique stochastique de ce train, soumis à un très grand nombre de conditions de circulation réalistes et représentatives générées à partir du modèle stochastique de la voie ferrée, a été ainsi évaluée. Enfin, afin d'illustrer les possibilités apportées par un tel couplage entre la variabilité de la géométrie de la voie et la réponse dynamique du train, ce travail de thèse aborde trois applications

Although the Po Valley (north Italy) is considered one of the most important ammonia (NH3) emitting regions in Europe, few data are available for an evaluation of the ammonia budget at field level in arable lands. Here the NH3 losses were quantify, considering different measurement and estimation approach, fertilisers and agronomic managements. The outputs of two concentration based-inverse dispersion models, together a mechanistic model were assessed with the direct measurements of ammonia fluxes by the micrometeorological technique eddy covariance, at hourly, daily and seasonal scales. A discussion on advantages, disadvantages and performances of each model is given in order to determine the most suitable method able to evaluate the ammonia emission in Po Valley at field scale. The selected inverse dispersion models were assessed in their uncertainty to quantify ammonia emissions rates, and their significance with regards to the Italian context. Moreover emissions from cattle slurry and urea application were performed in seven field trials in three different locations of Po Valley, in order to evaluate the best practices in reducing NH3 loss from arable land. The emission factors relative to different agronomical practices (slurry injection, slurry surface spreading with and without incorporation, urea surface spreading) are given, taking into account the main factors affecting the NH3 volatilization phenomenon and describing its dynamics.

Une prédiction fidèle des écoulements hypersoniques à haute enthalpie est capitale pour les missions d'entrée atmosphérique. Cependant, la présence d'incertitudes est inévitable, sur les conditions de l'écoulement libre comme sur d'autres paramètres des modèles physico-chimiques. Pour cette raison, une quantification rigoureuse de l'effet de ces incertitudes est obligatoire pour évaluer la robustesse et la prédictivité des simulations numériques. De plus, une reconstruction correcte des paramètres incertains à partir des mesures en vol peut aider à réduire le niveau d'incertitude sur les sorties. Dans ce travail, nous utilisons un cadre statistique pour la propagation directe des incertitudes ainsi que pour la reconstruction inverse des conditions de l'écoulement libre dans le cas d'écoulements de rentrée atmosphérique. La possibilité d'exploiter les mesures de flux thermique au nez du véhicule pour la reconstruction des variables de l'écoulement libre et des paramètres incertains du modèle est évaluée pour les écoulements de rentrée hypersoniques. Cette reconstruction est réalisée dans un cadre bayésien, permettant la prise en compte des différentes sources d'incertitudes et des erreurs de mesure. Différentes techniques sont introduites pour améliorer les capacités de la stratégie statistique de quantification des incertitudes. Premièrement, une approche est proposée pour la génération d'un métamodèle amélioré, basée sur le couplage de Kriging et Sparse Polynomial Dimensional Decomposition. Ensuite, une méthode d'ajoute adaptatif de nouveaux points à un plan d'expériences existant est présentée dans le but d'améliorer la précision du métamodèle créé. Enfin, une manière d'exploiter les sous-espaces actifs dans les algorithmes de Markov Chain Monte Carlo pour les problèmes inverses bayésiens est également exposée<br>Accurate prediction of hypersonic high-enthalpy flows is of main relevance for atmospheric entry missions. However, uncertainties are inevitable on freestream conditions and other parameters of the physico-chemical models. For this reason, a rigorous quantification of the effect of uncertainties is mandatory to assess the robustness and predictivity of numerical simulations. Furthermore, a proper reconstruction of uncertain parameters from in-flight measurements can help reducing the level of uncertainties of the output. In this work, we will use a statistical framework for direct propagation of uncertainties and inverse freestream reconstruction applied to atmospheric entry flows. We propose an assessment of the possibility of exploiting forebody heat flux measurements for the reconstruction of freestream variables and uncertain parameters of the model for hypersonic entry flows. This reconstruction is performed in a Bayesian framework, allowing to account for sources of uncertainties and measurement errors. Different techniques are introduced to enhance the capabilities of the statistical framework for quantification of uncertainties. First, an improved surrogate modeling technique is proposed, based on Kriging and Sparse Polynomial Dimensional Decomposition. Then a method is proposed to adaptively add new training points to an existing experimental design to improve the accuracy of the trained surrogate model. A way to exploit active subspaces in Markov Chain Monte Carlo algorithms for Bayesian inverse problems is also proposed

[EN] Mathematical models based on deterministic differential equations do not take into account the inherent uncertainty of the physical phenomenon (in a wide sense) under study. In addition, inaccuracies in the collected data often arise due to errors in the measurements. It thus becomes necessary to treat the input parameters of the model as random quantities, in the form of random variables or stochastic processes. This gives rise to the study of random ordinary and partial differential equations. The computation of the probability density function of the stochastic solution is important for uncertainty quantification of the model output. Although such computation is a difficult objective in general, certain stochastic expansions for the model coefficients allow faithful representations for the stochastic solution, which permits approximating its density function. In this regard, Karhunen-Loève and generalized polynomial chaos expansions become powerful tools for the density approximation. Also, methods based on discretizations from finite difference numerical schemes permit approximating the stochastic solution, therefore its probability density function. The main part of this dissertation aims at approximating the probability density function of important mathematical models with uncertainties in their formulation. Specifically, in this thesis we study, in the stochastic sense, the following models that arise in different scientific areas: in Physics, the model for the damped pendulum; in Biology and Epidemiology, the models for logistic growth and Bertalanffy, as well as epidemiological models; and in Thermodynamics, the heat partial differential equation. We rely on Karhunen-Loève and generalized polynomial chaos expansions and on finite difference schemes for the density approximation of the solution. These techniques are only applicable when we have a forward model in which the input parameters have certain probability distributions already set. When the model coefficients are estimated from collected data, we have an inverse problem. The Bayesian inference approach allows estimating the probability distribution of the model parameters from their prior probability distribution and the likelihood of the data. Uncertainty quantification for the model output is then carried out using the posterior predictive distribution. In this regard, the last part of the thesis shows the estimation of the distributions of the model parameters from experimental data on bacteria growth. To do so, a hybrid method that combines Bayesian parameter estimation and generalized polynomial chaos expansions is used.<br>[ES] Los modelos matemáticos basados en ecuaciones diferenciales deterministas no tienen en cuenta la incertidumbre inherente del fenómeno físico (en un sentido amplio) bajo estudio. Además, a menudo se producen inexactitudes en los datos recopilados debido a errores en las mediciones. Por lo tanto, es necesario tratar los parámetros de entrada del modelo como cantidades aleatorias, en forma de variables aleatorias o procesos estocásticos. Esto da lugar al estudio de las ecuaciones diferenciales aleatorias. El cálculo de la función de densidad de probabilidad de la solución estocástica es importante en la cuantificación de la incertidumbre de la respuesta del modelo. Aunque dicho cálculo es un objetivo difícil en general, ciertas expansiones estocásticas para los coeficientes del modelo dan lugar a representaciones fieles de la solución estocástica, lo que permite aproximar su función de densidad. En este sentido, las expansiones de Karhunen-Loève y de caos polinomial generalizado constituyen herramientas para dicha aproximación de la densidad. Además, los métodos basados en discretizaciones de esquemas numéricos de diferencias finitas permiten aproximar la solución estocástica, por lo tanto, su función de densidad de probabilidad. La parte principal de esta disertación tiene como objetivo aproximar la función de densidad de probabilidad de modelos matemáticos importantes con incertidumbre en su formulación. Concretamente, en esta memoria se estudian, en un sentido estocástico, los siguientes modelos que aparecen en diferentes áreas científicas: en Física, el modelo del péndulo amortiguado; en Biología y Epidemiología, los modelos de crecimiento logístico y de Bertalanffy, así como modelos de tipo epidemiológico; y en Termodinámica, la ecuación en derivadas parciales del calor. Utilizamos expansiones de Karhunen-Loève y de caos polinomial generalizado y esquemas de diferencias finitas para la aproximación de la densidad de la solución. Estas técnicas solo son aplicables cuando tenemos un modelo directo en el que los parámetros de entrada ya tienen determinadas distribuciones de probabilidad establecidas. Cuando los coeficientes del modelo se estiman a partir de los datos recopilados, tenemos un problema inverso. El enfoque de inferencia Bayesiana permite estimar la distribución de probabilidad de los parámetros del modelo a partir de su distribución de probabilidad previa y la verosimilitud de los datos. La cuantificación de la incertidumbre para la respuesta del modelo se lleva a cabo utilizando la distribución predictiva a posteriori. En este sentido, la última parte de la tesis muestra la estimación de las distribuciones de los parámetros del modelo a partir de datos experimentales sobre el crecimiento de bacterias. Para hacerlo, se utiliza un método híbrido que combina la estimación de parámetros Bayesianos y los desarrollos de caos polinomial generalizado.<br>[CAT] Els models matemàtics basats en equacions diferencials deterministes no tenen en compte la incertesa inherent al fenomen físic (en un sentit ampli) sota estudi. A més a més, sovint es produeixen inexactituds en les dades recollides a causa d'errors de mesurament. Es fa així necessari tractar els paràmetres d'entrada del model com a quantitats aleatòries, en forma de variables aleatòries o processos estocàstics. Açò dóna lloc a l'estudi de les equacions diferencials aleatòries. El càlcul de la funció de densitat de probabilitat de la solució estocàstica és important per a quantificar la incertesa de la sortida del model. Tot i que, en general, aquest càlcul és un objectiu difícil d'assolir, certes expansions estocàstiques dels coeficients del model donen lloc a representacions fidels de la solució estocàstica, el que permet aproximar la seua funció de densitat. En aquest sentit, les expansions de Karhunen-Loève i de caos polinomial generalitzat esdevenen eines per a l'esmentada aproximació de la densitat. A més a més, els mètodes basats en discretitzacions mitjançant esquemes numèrics de diferències finites permeten aproximar la solució estocàstica, per tant la seua funció de densitat de probabilitat. La part principal d'aquesta dissertació té com a objectiu aproximar la funció de densitat de probabilitat d'importants models matemàtics amb incerteses en la seua formulació. Concretament, en aquesta memòria s'estudien, en un sentit estocàstic, els següents models que apareixen en diferents àrees científiques: en Física, el model del pèndol amortit; en Biologia i Epidemiologia, els models de creixement logístic i de Bertalanffy, així com models de tipus epidemiològic; i en Termodinàmica, l'equació en derivades parcials de la calor. Per a l'aproximació de la densitat de la solució, ens basem en expansions de Karhunen-Loève i de caos polinomial generalitzat i en esquemes de diferències finites. Aquestes tècniques només són aplicables quan tenim un model cap avant en què els paràmetres d'entrada tenen ja determinades distribucions de probabilitat. Quan els coeficients del model s'estimen a partir de les dades recollides, tenim un problema invers. L'enfocament de la inferència Bayesiana permet estimar la distribució de probabilitat dels paràmetres del model a partir de la seua distribució de probabilitat prèvia i la versemblança de les dades. La quantificació de la incertesa per a la resposta del model es fa mitjançant la distribució predictiva a posteriori. En aquest sentit, l'última part de la tesi mostra l'estimació de les distribucions dels paràmetres del model a partir de dades experimentals sobre el creixement de bacteris. Per a fer-ho, s'utilitza un mètode híbrid que combina l'estimació de paràmetres Bayesiana i els desenvolupaments de caos polinomial generalitzat.<br>This work has been supported by the Spanish Ministerio de Econom´ıa y Competitividad grant MTM2017–89664–P.<br>Calatayud Gregori, J. (2020). Computational methods for random differential equations: probability density function and estimation of the parameters [Tesis doctoral no publicada]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/138396<br>TESIS<br>Premiado

La Fibrose Pulmonaire Idiopathique (FPI) est une maladie au pronostic extrêmement sévère, qui affecte directement le parenchyme pulmonaire, et dont les mécanismes d’apparition et d’évolution restent encore mal compris. L’objectif de ce travail de thèse est d’approfondir la compréhension de la FPI en couplant modélisation biomécanique et traitement d’images biomédicales.Tout d'abord, une revue de la littérature relative à la FPI ainsi qu’aux modèles pulmonaires actuels a été effectuée. Un accent particulier est mis sur l’analyse des mécanismes qui pourraient expliquer l’évolution de cette pathologie. En particulier, l’hypothèse d’un lien étroit entre la mécanique, et notamment les concentrations de contraintes, et la progression de la fibrose a été formulée dans la littérature.Le premier axe de ce travail se concentre sur l’amélioration du modèle poromécanique pulmonaire développé dans l’équipe M3DISIM, en y intégrant la gravité et en supprimant le contact avec la cage thoracique. Inclure la gravité dans le modèle permet en effet de reproduire des hétérogénéités physiologiques de contraintes et de déformations lors de la respiration, absentes dans le modèle sans gravité, et permet également la prise en compte de l'orientation (e.g., pronation ou supination) du patient. Le contact avec la cage thoracique, instable et coûteux numériquement, a été remplacé par un champs de pression pleural contraint à vérifier l’équilibre global, modélisant l’ensemble des forces appliquées sur l’extérieur du poumon.De plus, l’identification des paramètres d’un modèle est une étape cruciale pour sa personnalisation. Néanmoins, de nombreuses méthodes existent, chacune présentant ses propres avantages et inconvénients en termes de robustesse et de coût. Cette étude propose donc une méthode de quantification de la robustesse face au bruit et aux erreurs de modèle pour diverses méthodes d’identification. En particulier, une nouvelle formulation de la Méthode d’Écart à l’Équilibre (EGM) en grandes transformations est proposée. Il est démontré que l’EGM, qui est une méthode directe et donc naturellement assez instable, quand couplée à une régularisation par écart à l’équilibre du problème de suivi de mouvement, permet une estimation robuste des paramètres.Le troisième axe de cette étude porte sur la quantification des incertitudes sur l’identification des paramètres du modèle poromécanique pulmonaire à partir d’images cliniques. L’identifiabilité des paramètres, ainsi que leur robustesse aux erreurs de modèle et de mesure, sont analysées afin de déterminer la meilleure paramétrisation du problème d’identification. L’influence du jeu de données utilisé en entrée sur la qualité de l’estimation est également évaluée.Enfin, le dernier axe se concentre sur l’application de l’approche de jumeaux numériques à des jeux de données longitudinales de dix patients atteints de FPI. Pour chaque patient, deux images, l’une en fin d’expiration et l’autre en fin d’inspiration, sont fournies à trois instants d’évolution de la maladie. L’identification de biomarqueurs susceptibles de contribuer à l’explication de l’évolution de la maladie est explorée, notamment en étudiant la corrélation entre certaines quantités d'intérêt et la progression de la fibrose.Ce travail constitue une avancée, en termes de modélisation et personnalisation, du jumeau numérique de poumon développé par l’équipe M3DISIM. Il améliore la physiologie du modèle, sa fiabilité numérique, et quantifie les incertitudes liées aux bruits de mesure et aux erreurs de modèle sur les biomarqueurs calculés. Ces avancées ouvrent la voie à des applications cliniques prometteuses et fournissent des premiers résultats permettant de mieux comprendre l’évolution de la Fibrose Pulmonaire<br>Idiopathic Pulmonary Fibrosis (IPF) is a disease with an extremely severe prognosis, which directly affects the lung parenchyma, and whose mechanisms of appearance and progression remain poorly understood. The objective of this thesis work is to improve the understanding of IPF by coupling biomechanical modeling and biomedical image processing.Firstly, a review of the literature relating to IPF as well as current pulmonary models was conducted. Particular emphasis is placed on the analysis of the mechanisms that could explain the evolution of this pathology. Notably, the hypothesis of a close link between mechanics, and in particular stress concentrations, and the progression of fibrosis has been formulated in the literature.The first axis of this work focuses on improving the pulmonary poromechanical model developed in the M3DISIM team, by integrating gravity and removing contact with the rib cage. Including gravity in the model indeed allows to reproduce physiological heterogeneities of constraints and deformations during breathing, absent in the model without gravity, and also allows to take into account the orientation (e.g., pronation or supination) of the patient. The contact with the rib cage, unstable and numerically expensive, has been replaced by a pleural pressure field constrained to verify the global equilibrium, modeling all the forces applied on the outside of the lung. In addition, the identification of the parameters of a model is a crucial step for its personalization. Nevertheless, many methods exist, each with its own advantages and drawbacks in terms of robustness and cost. This study therefore proposes a method for quantifying the robustness to noise and model errors for various identification methods. In particular, a new formulation of the Equilibrium Gap Method (EGM) in large transformations is proposed. It is shown that the EGM, which is a direct method and therefore naturally quite unstable, when coupled with a regularization by equilibrium gap of the motion tracking problem, allows a robust estimation of the parameters.The third axis of this study focuses on the quantification of uncertainties on the identification of the parameters of the pulmonary poromechanical model from clinical images. The identifiability of the parameters, as well as their robustness to model and measurement errors, are analyzed in order to determine the best parameterization of the identification problem. The influence of the dataset used as input on the quality of the estimation is also evaluated.Finally, the last axis focuses on the application of the digital twin approach to longitudinal datasets of ten patients with IPF. For each patient, two images, one at the end-exhalation and the other at the end-inhalation, are provided at three different moments of the evolution of the disease. The identification of biomarkers likely to contribute to the explanation of the evolution of the disease is explored, in particular by studying the correlation between certain quantities of interest and the progression of fibrosis.This work constitutes an advance, in terms of modeling and personalization, of the digital twin of the lung developed by the M3DISIM team. It improves the physiology of the model, its numerical reliability, and quantifies the uncertainties related to measurement noise and model errors on the calculated biomarkers. These advances pave the way for promising clinical applications and provide initial results to better understand the evolution of Pulmonary Fibrosis

A deep scientific understanding of complex physical systems, such as the atmosphere, can be achieved neither by direct measurements nor by numerical simulations alone. Data assimilation is a rigorous procedure to fuse information from a priori knowledge of the system state, the physical laws governing the evolution of the system, and real measurements, all with associated error statistics. Data assimilation produces best (a posteriori) estimates of model states and parameter values, and results in considerably improved computer simulations. The acquisition and use of observations in data assimilation raises several important scientific questions related to optimal sensor network design, quantification of data impact, pruning redundant data, and identifying the most beneficial additional observations. These questions originate in operational data assimilation practice, and have started to attract considerable interest in the recent past. This dissertation advances the state of knowledge in four dimensional variational (4D-Var) - data assimilation by developing, implementing, and validating a novel computational framework for estimating observation impact and for optimizing sensor networks. The framework builds on the powerful methodologies of second-order adjoint modeling and the 4D-Var sensitivity equations. Efficient computational approaches for quantifying the observation impact include matrix free linear algebra algorithms and low-rank approximations of the sensitivities to observations. The sensor network configuration problem is formulated as a meta-optimization problem. Best values for parameters such as sensor location are obtained by optimizing a performance criterion, subject to the constraint posed by the 4D-Var optimization. Tractable computational solutions to this "optimization-constrained" optimization problem are provided. The results of this work can be directly applied to the deployment of intelligent sensors and adaptive observations, as well as to reducing the operating costs of measuring networks, while preserving their ability to capture the essential features of the system under consideration.<br>Ph. D.

We considered a Bayesian approach to nonlinear inverse problems in which the unknown quantity is a high dimension spatial field. The Bayesian approach contains a natural mechanism for regularization in the form of prior information, can incorporate information from heterogeneous sources and provides a quantitative assessment of uncertainty in the inverse solution. The Bayesian setting casts the inverse solution as a posterior probability distribution over the model parameters. Karhunen-Lo'eve expansion and Discrete Cosine transform were used for dimension reduction of the random spatial field. Furthermore, we used a hierarchical Bayes model to inject multiscale data in the modeling framework. In this Bayesian framework, we have shown that this inverse problem is well-posed by proving that the posterior measure is Lipschitz continuous with respect to the data in total variation norm. The need for multiple evaluations of the forward model on a high dimension spatial field (e.g. in the context of MCMC) together with the high dimensionality of the posterior, results in many computation challenges. We developed two-stage reversible jump MCMC method which has the ability to screen the bad proposals in the first inexpensive stage. Channelized spatial fields were represented by facies boundaries and variogram-based spatial fields within each facies. Using level-set based approach, the shape of the channel boundaries was updated with dynamic data using a Bayesian hierarchical model where the number of points representing the channel boundaries is assumed to be unknown. Statistical emulators on a large scale spatial field were introduced to avoid the expensive likelihood calculation, which contains the forward simulator, at each iteration of the MCMC step. To build the emulator, the original spatial field was represented by a low dimensional parameterization using Discrete Cosine Transform (DCT), then the Bayesian approach to multivariate adaptive regression spline (BMARS) was used to emulate the simulator. Various numerical results were presented by analyzing simulated as well as real data.

Subsurface flow phenomena characterize many important societal issues in energy and the environment. A key feature of these problems is that subsurface properties are uncertain, due to the sparsity of direct observations of the subsurface. The Bayesian formulation of this inverse problem provides a systematic framework for inferring uncertainty in the properties given uncertainties in the data, the forward model, and prior knowledge of the properties. We address the problem: given noisy measurements of the head, the pdf describing the noise, prior information in the form of a pdf of the hydraulic conductivity, and a groundwater flow model relating the head to the hydraulic conductivity, find the posterior probability density function (pdf) of the parameters describing the hydraulic conductivity field. Unfortunately, conventional sampling of this pdf to compute statistical moments is intractable for problems governed by large-scale forward models and high-dimensional parameter spaces. We construct a Gaussian process surrogate of the posterior pdf based on Bayesian interpolation between a set of "training" points. We employ a greedy algorithm to find the training points by solving a sequence of optimization problems where each new training point is placed at the maximizer of the error in the approximation. Scalable Newton optimization methods solve this "optimal" training point problem. We tailor the Gaussian process surrogate to the curvature of the underlying posterior pdf according to the Hessian of the log posterior at a subset of training points, made computationally tractable by a low-rank approximation of the data misfit Hessian. A Gaussian mixture approximation of the posterior is extracted from the Gaussian process surrogate, and used as a proposal in a Markov chain Monte Carlo method for sampling both the surrogate as well as the true posterior. The Gaussian process surrogate is used as a first stage approximation in a two-stage delayed acceptance MCMC method. We provide evidence for the viability of the low-rank approximation of the Hessian through numerical experiments on a large scale atmospheric contaminant transport problem and analysis of an infinite dimensional model problem. We provide similar results for our groundwater problem. We then present results from the proposed MCMC algorithms.<br>text

This work employs statistical and Bayesian techniques to analyze mathematical forward models with several sources of uncertainty. The forward models usually arise from phenomenological and physical phenomena and are expressed through regression-based models or partial differential equations (PDEs) associated with uncertain parameters and input data. One of the critical challenges in real-world applications is to quantify uncertainties of the unknown parameters using observations. To this purpose, methods based on the likelihood function, and Bayesian techniques constitute the two main statistical inferential approaches considered here. Two problems are studied in this thesis. The first problem is the prediction of fatigue life of metallic specimens. The second part is related to inverse problems in linear PDEs. Both problems require the inference of unknown parameters given certain measurements. We first estimate the parameters by means of the maximum likelihood approach. Next, we seek a more comprehensive Bayesian inference using analytical asymptotic approximations or computational techniques. In the fatigue life prediction, there are several plausible probabilistic stress-lifetime (S-N) models. These models are calibrated given uniaxial fatigue experiments. To generate accurate fatigue life predictions, competing S-N models are ranked according to several classical information-based measures. A different set of predictive information criteria is then used to compare the candidate Bayesian models. Moreover, we propose a spatial stochastic model to generalize S-N models to fatigue crack initiation in general geometries. The model is based on a spatial Poisson process with an intensity function that combines the S-N curves with an averaged effective stress that is computed from the solution of the linear elasticity equations.

Quantifying uncertainties in large-scale forward and inverse PDE simulations has emerged as a central challenge facing the field of computational science and engineering. The promise of modeling and simulation for prediction, design, and control cannot be fully realized unless uncertainties in models are rigorously quantified, since this uncertainty can potentially overwhelm the computed result. While statistical inverse problems can be solved today for smaller models with a handful of uncertain parameters, this task is computationally intractable using contemporary algorithms for complex systems characterized by large-scale simulations and high-dimensional parameter spaces. In this dissertation, I address issues regarding the theoretical formulation, numerical approximation, and algorithms for solution of infinite-dimensional Bayesian statistical inverse problems, and apply the entire framework to a problem in global seismic wave propagation. Classical (deterministic) approaches to solving inverse problems attempt to recover the “best-fit” parameters that match given observation data, as measured in a particular metric. In the statistical inverse problem, we go one step further to return not only a point estimate of the best medium properties, but also a complete statistical description of the uncertain parameters. The result is a posterior probability distribution that describes our state of knowledge after learning from the available data, and provides a complete description of parameter uncertainty. In this dissertation, a computational framework for such problems is described that wraps around the existing forward solvers, as long as they are appropriately equipped, for a given physical problem. Then a collection of tools, insights and numerical methods may be applied to solve the problem, and interrogate the resulting posterior distribution, which describes our final state of knowledge. We demonstrate the framework with numerical examples, including inference of a heterogeneous compressional wavespeed field for a problem in global seismic wave propagation with 10⁶ parameters.

This study presents different aspects on the use of deterministic methods including Artificial Neural Networks (ANNs), and linear and nonlinear regression, as well as probabilistic methods including Bayesian inference and Monte Carlo methods to develop reliable solutions for challenging problems in geotechnics. This study addresses the theoretical and computational advantages and limitations of these methods in application to: 1) prediction of the stiffness and strength of stabilized organic soils, 2) determination of unknown foundations for bridges vulnerable to scour, and 3) uncertainty quantification for one-dimensional diffusion processes. ANNs were successfully implemented in this study to develop nonlinear models for the mechanical properties of stabilized organic soils. ANN models were able to learn from the training examples and then generalize the trend to make predictions for the stiffness and strength of stabilized organic soils. A stepwise parameter selection and a sensitivity analysis method were implemented to identify the most relevant factors for the prediction of the stiffness and strength. Also, the variations of the stiffness and strength with respect to each factor were investigated. A deterministic and a probabilistic approach were proposed to evaluate the characteristics of unknown foundations of bridges subjected to scour. The proposed methods were successfully implemented and validated by collecting data for bridges in the Bryan District. ANN models were developed and trained using the database of bridges to predict the foundation type and embedment depth. The probabilistic Bayesian approach generated probability distributions for the foundation and soil characteristics and was able to capture the uncertainty in the predictions. The parametric and numerical uncertainties in the one-dimensional diffusion process were evaluated under varying observation conditions. The inverse problem was solved using Bayesian inference formulated by both the analytical and numerical solutions of the ordinary differential equation of diffusion. The numerical uncertainty was evaluated by comparing the mean and standard deviation of the posterior realizations of the process corresponding to the analytical and numerical solutions of the forward problem. It was shown that higher correlation in the structure of the observations increased both parametric and numerical uncertainties, whereas increasing the number of data dramatically decreased the uncertainties in the diffusion process.

<p>The Ensemble Kalman filter (EnKF) has achieved great successes in data assimilation in atmospheric and oceanic sciences, but its failure in convergence to the right filtering distribution precludes its use for uncertainty quantification. Other existing methods, such as particle filter or sequential importance sampler, do not scale well to the dimension of the system and the sample size of the datasets. In this dissertation, we address these difficulties in a coherent way.</p><p><br></p><p> </p><p>In the first part of the dissertation, we reformulate the EnKF under the framework of Langevin dynamics, which leads to a new particle filtering algorithm, the so-called Langevinized EnKF (LEnKF). The LEnKF algorithm inherits the forecast-analysis procedure from the EnKF and the use of mini-batch data from the stochastic gradient Langevin-type algorithms, which make it scalable with respect to both the dimension and sample size. We prove that the LEnKF converges to the right filtering distribution in Wasserstein distance under the big data scenario that the dynamic system consists of a large number of stages and has a large number of samples observed at each stage, and thus it can be used for uncertainty quantification. We reformulate the Bayesian inverse problem as a dynamic state estimation problem based on the techniques of subsampling and Langevin diffusion process. We illustrate the performance of the LEnKF using a variety of examples, including the Lorenz-96 model, high-dimensional variable selection, Bayesian deep learning, and Long Short-Term Memory (LSTM) network learning with dynamic data.</p><p><br></p><p> </p><p>In the second part of the dissertation, we focus on two extensions of the LEnKF algorithm. Like the EnKF, the LEnKF algorithm was developed for Gaussian dynamic systems containing no unknown parameters. We propose the so-called stochastic approximation- LEnKF (SA-LEnKF) for simultaneously estimating the states and parameters of dynamic systems, where the parameters are estimated on the fly based on the state variables simulated by the LEnKF under the framework of stochastic approximation. Under mild conditions, we prove the consistency of resulting parameter estimator and the ergodicity of the SA-LEnKF. For non-Gaussian dynamic systems, we extend the LEnKF algorithm (Extended LEnKF) by introducing a latent Gaussian measurement variable to dynamic systems. Those two extensions inherit the scalability of the LEnKF algorithm with respect to the dimension and sample size. The numerical results indicate that they outperform other existing methods in both states/parameters estimation and uncertainty quantification.</p>