SURGE: Approximation and Training Free Particle Filter for Diffusion Surrogate

Data assimilation (DA) tackles the sequential estimation of a dynamical system’s latent state from noisy, partial observations. In this paper, we study DA in a setting where the system dynamics are represented by a pretrained diffusion model used as a surrogate forecaster. We focus on how to integrate incoming observations into the diffusion surrogate’s predictions to support continuous state correction and progressively refining the estimated trajectory over time. After receiving noisy observations, the diffusion model is guided using the observation likelihood to steer the generation process toward observation-consistent states. However, such guidance does not guarantee sampling from the true posterior. Motivated by particle filtering methods, we represent the posterior distribution using an ensemble of particles. We perform Sequential Monte Carlo over diffusion trajectories, working with their path measure. We compute importance weights for generated particles and resample to focus on trajectories consistent with the observations. This procedure corrects the generation dynamics, drives the particle approximation toward the desired posterior and leads to an approximation-free particle filtering method that rigorously fuses observational data with diffusion model simulations.