GAN for time series prediction, data assimilation and uncertainty quantification

We propose a new method in which a generative adversarial network (GAN) is used to quantify the uncertainty of forward simulations in the presence of observed data. Previously, a method has been developed which enables GANs to make time series predictions and data assimilation by training a GAN with unconditional simulations of a high-fidelity numerical model. After training, the GAN can be used to predict the evolution of the spatial distribution of the simulation states and observed data is assimilated. In this paper, we describe the process required in order to quantify uncertainty, during which no additional simulations of the high-fidelity numerical model are required. These methods take advantage of the adjoint-like capabilities of generative models and the ability to simulate forwards and backwards in time. Set within a reduced-order model framework for efficiency, we apply these methods to a compartmental model in epidemiology to predict the spread of COVID-19 in an idealised town. The results show that the proposed method can efficiently quantify uncertainty in the presence of measurements using only unconditional simulations of the high-fidelity numerical model.