A Variance-Minimizing Filter for Large-Scale Applications

A truly variance-minimizing filter is introduced and its per for mance is demonstrated with the Korteweg– DeV ries (KdV) equation and with a multilayer quasigeostrophic model of the ocean area around South Africa. It is recalled that Kalman-like filters are not variance minimizing for nonlinear model dynamics and that four - dimensional variational data assimilation (4DV AR)-like methods relying on per fect model dynamics have dif- ficulty with providing error estimates. The new method does not have these drawbacks. In fact, it combines advantages from both methods in that it does provide error estimates while automatically having balanced states after analysis, without extra computations. It is based on ensemble or Monte Carlo integrations to simulate the probability density of the model evolution. When obser vations are available, the so-called importance resampling algorithm is applied. From Bayes’ s theorem it follows that each ensemble member receives a new weight dependent on its ‘ ‘distance’ ’ t o the obser vations. Because the weights are strongly var ying, a resampling of the ensemble is necessar y. This resampling is done such that members with high weights are duplicated according to their weights, while low-weight members are largely ignored. In passing, it is noted that data assimilation is not an inverse problem by nature, although it can be for mulated that way . Also, it is shown that the posterior variance can be larger than the prior if the usual Gaussian framework is set aside. However , i n the examples presented here, the entropy of the probability densities is decreasing. The application to the ocean area around South Africa, gover ned by strongly nonlinear dynamics, shows that the method is working satisfactorily . The strong and weak points of the method are discussed and possible improvements are proposed.

An Ensemble Smoother with Error Estimates

A smoother introduced earlier by van Leeuwen and Evensen is applied to a problem in which real obser vations are used in an area with strongly nonlinear dynamics. The derivation is new , but it resembles an earlier derivation by van Leeuwen and Evensen. Again a Bayesian view is taken in which the prior probability density of the model and the probability density of the obser vations are combined to for m a posterior density . The mean and the covariance of this density give the variance-minimizing model evolution and its errors. The assumption is made that the prior probability density is a Gaussian, leading to a linear update equation. Critical evaluation shows when the assumption is justified. This also sheds light on why Kalman filters, in which the same ap- proximation is made, work for nonlinear models. By reference to the derivation, the impact of model and obser vational biases on the equations is discussed, and it is shown that Bayes’ s for mulation can still be used. A practical advantage of the ensemble smoother is that no adjoint equations have to be integrated and that error estimates are easily obtained. The present application shows that for process studies a smoother will give superior results compared to a filter , not only owing to the smooth transitions at obser vation points, but also because the origin of features can be followed back in time. Also its preference over a strong-constraint method is highlighted. Further more, it is argued that the proposed smoother is more efficient than gradient descent methods or than the representer method when error estimates are taken into account

An Ensemble Kalman Smoother for Nonlinear Dynamics

It is for mally proved that the general smoother for nonlinear dynamics can be for mulated as a sequential method, that is, obser vations can be assimilated sequentially during a for ward integration. The general filter can be derived from the smoother and it is shown that the general smoother and filter solutions at the final time become identical, as is expected from linear theor y. Then, a new smoother algorithm based on ensemble statistics is presented and examined in an example with the Lorenz equations. The new smoother can be computed as a sequential algorithm using only for ward-in-time model integrations. It bears a strong resemblance with the ensemble Kalman filter . The difference is that ever y time a new dataset is available during the for ward integration, an analysis is computed for all previous times up to this time. Thus, the first guess for the smoother is the ensemble Kalman filter solution, and the smoother estimate provides an improvement of this, as one would expect a smoother to do. The method is demonstrated in this paper in an intercomparison with the ensemble Kalman filter and the ensemble smoother introduced by van Leeuwen and Evensen, and it is shown to be superior in an application with the Lorenz equations. Finally , a discussion is given regarding the properties of the analysis schemes when strongly non-Gaussian distributions are used. It is shown that in these cases more sophisticated analysis schemes based on Bayesian statistics must be used.

Aspects of particle filtering in high-dimensional spaces

Nonlinear data assimilation is high on the agenda in all fields of the geosciences as with ever increasing model resolution and inclusion of more physical (biological etc.) processes, and more complex observation operators the data-assimilation problem becomes more and more nonlinear. The suitability of particle filters to solve the nonlinear data assimilation problem in high-dimensional geophysical problems will be discussed. Several existing and new schemes will be presented and it is shown that at least one of them, the Equivalent-Weights Particle Filter, does indeed beat the curse of dimensionality and provides a way forward to solve the problem of nonlinear data assimilation in high-dimensional systems.

A joint state and parameter estimation scheme for nonlinear dynamical systems

We present a novel algorithm for concurrent model state and parameter estimation in nonlinear dynamical systems. The new scheme uses ideas from three dimensional variational data assimilation (3D-Var) and the extended Kalman filter (EKF) together with the technique of state augmentation to estimate uncertain model parameters alongside the model state variables in a sequential filtering system. The method is relatively simple to implement and computationally inexpensive to run for large systems with relatively few parameters. We demonstrate the efficacy of the method via a series of identical twin experiments with three simple dynamical system models. The scheme is able to recover the parameter values to a good level of accuracy, even when observational data are noisy. We expect this new technique to be easily transferable to much larger models.

An approximate dynamic programming approach for improving accuracy of lossy data compression by Bloom filters

Bloom filters are a data structure for storing data in a compressed form. They offer excellent space and time efficiency at the cost of some loss of accuracy (so-called lossy compression). This work presents a yes-no Bloom filter, which as a data structure consisting of two parts: the yes-filter which is a standard Bloom filter and the no-filter which is another Bloom filter whose purpose is to represent those objects that were recognised incorrectly by the yes-filter (that is, to recognise the false positives of the yes-filter). By querying the no-filter after an object has been recognised by the yes-filter, we get a chance of rejecting it, which improves the accuracy of data recognition in comparison with the standard Bloom filter of the same total length. A further increase in accuracy is possible if one chooses objects to include in the no-filter so that the no-filter recognises as many as possible false positives but no true positives, thus producing the most accurate yes-no Bloom filter among all yes-no Bloom filters. This paper studies how optimization techniques can be used to maximize the number of false positives recognised by the no-filter, with the constraint being that it should recognise no true positives. To achieve this aim, an Integer Linear Program (ILP) is proposed for the optimal selection of false positives. In practice the problem size is normally large leading to intractable optimal solution. Considering the similarity of the ILP with the Multidimensional Knapsack Problem, an Approximate Dynamic Programming (ADP) model is developed making use of a reduced ILP for the value function approximation. Numerical results show the ADP model works best comparing with a number of heuristics as well as the CPLEX built-in solver (B&B), and this is what can be recommended for use in yes-no Bloom filters. In a wider context of the study of lossy compression algorithms, our researchis an example showing how the arsenal of optimization methods can be applied to improving the accuracy of compressed data.