Variational Data Assimilation via Sparse Regularization

This paper studies the role of sparse regularization in a properly chosen basis for variational data assimilation (VDA) problems. Specifically, it focuses on data assimilation of noisy and down-sampled observations while the state variable of interest exhibits sparsity in the real or transformed domain. We show that in the presence of sparsity, the $\ell_{1}$-norm regularization produces more accurate and stable solutions than the classic data assimilation methods. To motivate further developments of the proposed methodology, assimilation experiments are conducted in the wavelet and spectral domain using the linear advection-diffusion equation

Variational data assimilation using targetted random walks

The variational approach to data assimilation is a widely used methodology for both online prediction and for reanalysis (offline hindcasting). In either of these scenarios it can be important to assess uncertainties in the assimilated state. Ideally it would be desirable to have complete information concerning the Bayesian posterior distribution for unknown state, given data. The purpose of this paper is to show that complete computational probing of this posterior distribution is now within reach in the offline situation. In this paper we will introduce an MCMC method which enables us to directly sample from the Bayesian\ud posterior distribution on the unknown functions of interest, given observations. Since we are aware that these\ud methods are currently too computationally expensive to consider using in an online filtering scenario, we frame this in the context of offline reanalysis. Using a simple random walk-type MCMC method, we are able to characterize the posterior distribution using only evaluations of the forward model of the problem, and of the model and data mismatch. No adjoint model is required for the method we use; however more sophisticated MCMC methods are available\ud which do exploit derivative information. For simplicity of exposition we consider the problem of assimilating data, either Eulerian or Lagrangian, into a low Reynolds number (Stokes flow) scenario in a two dimensional periodic geometry. We will show that in many cases it is possible to recover the initial condition and model error (which we describe as unknown forcing to the model) from data, and that with increasing amounts of informative data, the uncertainty in our estimations reduces

Reduction of complexity and variational data assimilation

Conferencia plenaria por invitaciónReduced basis methods belong to a class of approaches of \emph{model reduction} for the approximation of the solution of mathematical models involved in many fields of research or decision making and in data assimilation. These approaches allow to tackle, in --- close to --- real time, problems requiring, a priori, a large number of computations by formalizing two steps : one known as "offline stage” that is a preparation step and is quite costly and an ``online stage'' that is used on demand and is very cheap. The strategy uses the fact that the solutions we are interested in belong to a family, a manifold, parametrized by input coefficients, shapes or stochastic data, that has a small complexity. The complexity is measured in terms of a quantity like the ``Kolmogorov width'' that, when it is small, formalizes the fact that some small dimensional vectorial spaces allow to provide a good approximation of the elements on the manifold. We shall make a review of the fundamental background and state some results proving that such a dimension is small for a large class of problems of interest, then use this fact to propose approximation strategies in various cases depending on the knowledge we have of the solution we want to approximate : either explicit through values at points, or through outputs evaluated from the solution, or implicit through the Partial Differential Equation it satisfies. We shall also present a strategy available when a mixed of the above informations is available allowing to propose new efficient approaches in data assimilation and data mining. The theory on the numerical analysis (a priori and a posteriori) of these approaches will also be presented together with results on numerical simulations. Work done in close collaboration with A. T. Patera (MIT, Cambridge) and has benefited from the collaboration with A. Buffa (IAN, Pavia), R. Chakir (IFSTAR, Paris), Y. Chen (U. of Massachusetts, Dartmouth), Y. Hesthaven (EPFL, Lausanne), E. Lovgren (Simula, Oslo), O. Mula (UPMC, Paris), NC Nguyen (MIT, Cambridge), J. Pen (MIT, Cambridge), C. Prud'homme (U. Strasbourg), J. Rodriguez (U. Santiago de Compostella), E. M. Ronquist (U. Trondheim), B. Stamm (UPMC, Paris), G. Turinici (Dauphine, Paris), M. Yano (MIT, Cambridge).Universidad de Málaga. Campus de Excelencia Internacional Andalucia Tech. Conferencias del plan propio de investigación UM

On Variational Data Assimilation in Continuous Time

Variational data assimilation in continuous time is revisited. The central techniques applied in this paper are in part adopted from the theory of optimal nonlinear control. Alternatively, the investigated approach can be considered as a continuous time generalisation of what is known as weakly constrained four dimensional variational assimilation (WC--4DVAR) in the geosciences. The technique allows to assimilate trajectories in the case of partial observations and in the presence of model error. Several mathematical aspects of the approach are studied. Computationally, it amounts to solving a two point boundary value problem. For imperfect models, the trade off between small dynamical error (i.e. the trajectory obeys the model dynamics) and small observational error (i.e. the trajectory closely follows the observations) is investigated. For (nearly) perfect models, this trade off turns out to be (nearly) trivial in some sense, yet allowing for some dynamical error is shown to have positive effects even in this situation. The presented formalism is dynamical in character; no assumptions need to be made about the presence (or absence) of dynamical or observational noise, let alone about their statistics.Comment: 28 Pages, 12 Figure

On analysis error covariances in variational data assimilation

The problem of variational data assimilation for a nonlinear evolution model is formulated as an optimal control problem to find the initial condition function (analysis). The equation for the analysis error is derived through the errors of the input data (background and observation errors). This equation is used to show that in a nonlinear case the analysis error covariance operator can be approximated by the inverse Hessian of an auxiliary data assimilation problem which involves the tangent linear model constraints. The inverse Hessian is constructed by the quasi-Newton BFGS algorithm when solving the auxiliary data assimilation problem. A fully nonlinear ensemble procedure is developed to verify the accuracy of the proposed algorithm. Numerical examples are presented

A posteriori error covariances in variational data assimilation

The problem of variational data assimilation for a nonlinear evolution model is formulated as an optimal control problem to find some unknown parameters of the model. The equation for the error of the optimal solution is derived through the statistical errors of the input data (background, observation, and model errors). A numerical algorithm is developed to construct an a posteriori covariance operator of the analysis error using the Hessian of an auxiliary control problem based on tangent linear model constraints

Variational data assimilation for the initial-value dynamo problem

The secular variation of the geomagnetic field as observed at the Earth's surface results from the complex magnetohydrodynamics taking place in the fluid core of the Earth. One way to analyze this system is to use the data in concert with an underlying dynamical model of the system through the technique of variational data assimilation, in much the same way as is employed in meteorology and oceanography. The aim is to discover an optimal initial condition that leads to a trajectory of the system in agreement with observations. Taking the Earth's core to be an electrically conducting fluid sphere in which convection takes place, we develop the continuous adjoint forms of the magnetohydrodynamic equations that govern the dynamical system together with the corresponding numerical algorithms appropriate for a fully spectral method. These adjoint equations enable a computationally fast iterative improvement of the initial condition that determines the system evolution. The initial condition depends on the three dimensional form of quantities such as the magnetic field in the entire sphere. For the magnetic field, conservation of the divergence-free condition for the adjoint magnetic field requires the introduction of an adjoint pressure term satisfying a zero boundary condition. We thus find that solving the forward and adjoint dynamo system requires different numerical algorithms. In this paper, an efficient algorithm for numerically solving this problem is developed and tested for two illustrative problems in a whole sphere: one is a kinematic problem with prescribed velocity field, and the second is associated with the Hall-effect dynamo, exhibiting considerable nonlinearity. The algorithm exhibits reliable numerical accuracy and stability. Using both the analytical and the numerical techniques of this paper, the adjoint dynamo system can be solved directly with the same order of computational complexity as that required to solve the forward problem. These numerical techniques form a foundation for ultimate application to observations of the geomagnetic field over the time scale of centuries