3,547 research outputs found
Kalman-Takens filtering in the presence of dynamical noise
The use of data assimilation for the merging of observed data with dynamical
models is becoming standard in modern physics. If a parametric model is known,
methods such as Kalman filtering have been developed for this purpose. If no
model is known, a hybrid Kalman-Takens method has been recently introduced, in
order to exploit the advantages of optimal filtering in a nonparametric
setting. This procedure replaces the parametric model with dynamics
reconstructed from delay coordinates, while using the Kalman update formulation
to assimilate new observations. We find that this hybrid approach results in
comparable efficiency to parametric methods in identifying underlying dynamics,
even in the presence of dynamical noise. By combining the Kalman-Takens method
with an adaptive filtering procedure we are able to estimate the statistics of
the observational and dynamical noise. This solves a long standing problem of
separating dynamical and observational noise in time series data, which is
especially challenging when no dynamical model is specified
Evaluating Data Assimilation Algorithms
Data assimilation leads naturally to a Bayesian formulation in which the
posterior probability distribution of the system state, given the observations,
plays a central conceptual role. The aim of this paper is to use this Bayesian
posterior probability distribution as a gold standard against which to evaluate
various commonly used data assimilation algorithms.
A key aspect of geophysical data assimilation is the high dimensionality and
low predictability of the computational model. With this in mind, yet with the
goal of allowing an explicit and accurate computation of the posterior
distribution, we study the 2D Navier-Stokes equations in a periodic geometry.
We compute the posterior probability distribution by state-of-the-art
statistical sampling techniques. The commonly used algorithms that we evaluate
against this accurate gold standard, as quantified by comparing the relative
error in reproducing its moments, are 4DVAR and a variety of sequential
filtering approximations based on 3DVAR and on extended and ensemble Kalman
filters.
The primary conclusions are that: (i) with appropriate parameter choices,
approximate filters can perform well in reproducing the mean of the desired
probability distribution; (ii) however they typically perform poorly when
attempting to reproduce the covariance; (iii) this poor performance is
compounded by the need to modify the covariance, in order to induce stability.
Thus, whilst filters can be a useful tool in predicting mean behavior, they
should be viewed with caution as predictors of uncertainty. These conclusions
are intrinsic to the algorithms and will not change if the model complexity is
increased, for example by employing a smaller viscosity, or by using a detailed
NWP model
The analog data assimilation
In light of growing interest in data-driven methods for oceanic, atmospheric, and climate sciences, this work focuses on the field of data assimilation and presents the analog data assimilation (AnDA). The proposed framework produces a reconstruction of the system dynamics in a fully data-driven manner where no explicit knowledge of the dynamical model is required. Instead, a representative catalog of trajectories of the system is assumed to be available. Based on this catalog, the analog data assimilation combines the nonparametric sampling of the dynamics using analog forecasting methods with ensemble-based assimilation techniques. This study explores different analog forecasting strategies and derives both ensemble Kalman and particle filtering versions of the proposed analog data assimilation approach. Numerical experiments are examined for two chaotic dynamical systems: the Lorenz-63 and Lorenz-96 systems. The performance of the analog data assimilation is discussed with respect to classical model-driven assimilation. A Matlab toolbox and Python library of the AnDA are provided to help further research building upon the present findings.Fil: Lguensat, Redouane. Université Bretagne Loire; FranciaFil: Tandeo, Pierre. Université Bretagne Loire; FranciaFil: Ailliot, Pierre. University of Western Brittany. Laboratoire de Mathématiques de Bretagne Atlantique; FranciaFil: Pulido, Manuel Arturo. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste. Instituto de Modelado e Innovación Tecnológica. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas Naturales y Agrimensura. Instituto de Modelado e Innovación Tecnológica; ArgentinaFil: Fablet, Ronan. Université Bretagne Loire; Franci
Non-global parameter estimation using local ensemble Kalman filtering
We study parameter estimation for non-global parameters in a low-dimensional
chaotic model using the local ensemble transform Kalman filter (LETKF). By
modifying existing techniques for using observational data to estimate global
parameters, we present a methodology whereby spatially-varying parameters can
be estimated using observations only within a localized region of space. Taking
a low-dimensional nonlinear chaotic conceptual model for atmospheric dynamics
as our numerical testbed, we show that this parameter estimation methodology
accurately estimates parameters which vary in both space and time, as well as
parameters representing physics absent from the model
- …