State-of-the-art stochastic data assimilation methods for high-dimensional non-Gaussian problems

This paper compares several commonly used state-of-the-art ensemble-based data assimilation methods in a coherent mathematical notation. The study encompasses different methods that are applicable to high-dimensional geophysical systems, like ocean and atmosphere, and provide an uncertainty estimate. Most variants of Ensemble Kalman Filters, Particle Filters and second-order exact methods are discussed, including Gaussian Mixture Filters, while methods that require an adjoint model or a tangent linear formulation of the model are excluded. The detailed description of all the methods in a mathematically coherent way provides both novices and experienced researchers with a unique overview and new insight in the workings and relative advantages of each method, theoretically and algorithmically, even leading to new filters. Furthermore, the practical implementation details of all ensemble and particle filter methods are discussed to show similarities and differences in the filters aiding the users in what to use when. Finally, pseudo-codes are provided for all of the methods presented in this paper

Parameter estimation by implicit sampling

Implicit sampling is a weighted sampling method that is used in data assimilation, where one sequentially updates estimates of the state of a stochastic model based on a stream of noisy or incomplete data. Here we describe how to use implicit sampling in parameter estimation problems, where the goal is to find parameters of a numerical model, e.g.~a partial differential equation (PDE), such that the output of the numerical model is compatible with (noisy) data. We use the Bayesian approach to parameter estimation, in which a posterior probability density describes the probability of the parameter conditioned on data and compute an empirical estimate of this posterior with implicit sampling. Our approach generates independent samples, so that some of the practical difficulties one encounters with Markov Chain Monte Carlo methods, e.g.~burn-in time or correlations among dependent samples, are avoided. We describe a new implementation of implicit sampling for parameter estimation problems that makes use of multiple grids (coarse to fine) and BFGS optimization coupled to adjoint equations for the required gradient calculations. The implementation is "dimension independent", in the sense that a well-defined finite dimensional subspace is sampled as the mesh used for discretization of the PDE is refined. We illustrate the algorithm with an example where we estimate a diffusion coefficient in an elliptic equation from sparse and noisy pressure measurements. In the example, dimension\slash mesh-independence is achieved via Karhunen-Lo\`{e}ve expansions