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Outline
Á Introduction to data assimilation
Á Kalman filter
Á Extended Kalman filter
Á 3D-Var
Á
4D-VarÁ Variational Kalman filter
Á Simulated assimilation results
Á Conclusions
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Introduction to data assimilation
The formulation of the general data assimilation (state estimation)problem for discrete time steps t = 1, 2, 3,...,n contains an evolution orprediction equation and an observation equation:
x(t) = Mt(x(t− 1)) +Et (1)
y(t) = Kt(x(t)) + et, (2)
whereMt is a model of the evolution operator, xt is the state of the processat time t and Et is a vector valued stochastic process.
The second equation connects the state estimate x(t) to themeasurements y(t), with their associated observation errors et, by wayof an observation operator Kt.
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Popular assimilation methods:
Á Kalman filter
– Extended Kalman filter (EKF)– Fast Kalman filter (FKF)– Reduced Rank Kalman filter (RRKF)– Ensemble Kalman filter (EnKF)
Á 3D-Var
Á 4D-Var (used in operational weather forecasting)
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Basic linear Kalman filter
The basic Kalman filter operates on a linear version of the generalassimilation problem, equations (1) and (2):
x(t) = Mtx(t− 1) + Et (3)
y(t) = Ktx(t) + et, (4)
where Mt is the linear evolution operator and similarly Kt is the linearobservation operator. The Kalman filter operates sequentially in time.
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Kalman filter algorithm (1/2)
Let xest(t − 1) be an estimate of state x(t − 1) and Sest(t − 1) bethe corresponding error covariance matrix of the estimate. At time t theevolution operator is used to produce an a priori estimate xa(t) and itscovariance Sa(t):
xa(t) = Mtxest(t− 1) (5)
Sa(t) = MtSest(t− 1)MT
t + SEt, (6)
where SEt is the covariance of the prediction error Et.
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Kalman filter algorithm (2/2)
The next step is to combine xa(t) with the observations y(t) made attime t to construct an updated estimate of the state and its covariance:
Gt = Sa(t)KT
t (KtSa(t)KT
t + Set)−1 (7)
xest(t) = xa(t) + Gt(y(t)−Ktxa(t)) (8)
Sest(t) = Sa(t)−GtKtSa(t), (9)
where Gt is the Kalman gain matrix, which is functionally identical to themaximum a posteriori estimator.
In a more general case, when the evolution model and/or the observationmodel is non-linear, the Extended Kalman Filter (EKF) is required.
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Extended Kalman filter algorithm (1/3)
The filter uses the full non-linear evolution model equation (1) to producean a priori estimate: xa(t) = Mt(xest(t− 1)) .
In order to obtain the corresponding covariance Sa(t) of the a priori
information, the prediction model is linearized about xest(t− 1):
Mt = ∂ Mt(xest(t− 1))∂ x
(10)
Sa(t) = MtSest(t− 1)MT
t + SEt. (11)
The linearization in equation (10) is produced by taking finite differences
between evolved small state vector perturbations, which is acomputationally very expensive operation for large models, unless an
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adjoint code to the model M has been produced. In both cases, integratingall the columns in M forward in time in equation (11) is expensive.
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Extended Kalman filter algorithm (2/3)
The observation operator is linearized at the time of the observation aboutthe a priori estimate xa(t) in order to obtain Kt, which is then used forcalculating the gain matrix:
Kt =∂ Kt(xa(t))
∂ x(12)
Gt = Sa(t)KT
t (KtSa(t)KT
t + Set)−1. (13)
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Extended Kalman filter algorithm (3/3)
After this, the full non-linear observation operator is used to update xa(t)and this is then used to produce a current state estimate and thecorresponding error estimate:
xest(t) = xa(t) + Gt(y(t)−Kt(xa(t))). (14)
Sest(t) = Sa(t)−GtKtSa(t). (15)
If the linearization of the observation operator at xa(t) is not good enoughto construct xest(t), it is necessary to carry out some iterations of the lastfour equations.
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Three-dimensional variational method (3D-Var)
The idea of 3D-Var method is to avoid the computation of the gaincompletely by looking for the analysis as an approximate solution to theequivalent minimization problem defined by the cost function:
J (xt) = (xa(t)− xt)T(Sa(t))−1(xa(t)− xt) (16)
+ (yt −K(xt))TSe−1t (yt −K(xt)), (17)
where K is the nonlinear observation operator.
Opposite to the EKF method, the solution is retrieved iteratively byperforming several evaluations of the cost function and of its gradientusing a suitable descent algorithm. The approximation lies in the fact thatonly a small number of iterations are performed.
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Illustration of the variational cost-function minimization
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The four-dimensional variational method (4D-Var)
4D-Var is a generalization of the less expensive 3D-Var method and it alsosupersedes earlier statistical interpolation methods, which do not take intoaccount model dynamics. In its general form, it is defined as theminimization of the following cost function:
J (x0) = J b + J o (18)
= (xb − x0)TSa(t0)−1(xb − x0) (19)
+T
t=0
(y(t)−Kt(Mt(x0)))TSe−1t (y(t)−Kt(Mt(x0))).(20)
4D-Var method assumes that the model is perfect over the assimilationperiod T . This leads to the so-called strong constraint formalism.
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Illustration of the 4D-Var assimilation
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Approximating EKF
Á (Strong constraint) 4DVAR:
Á S est(t) is a static background error matrix S a(t0) and there is no modelerror
S est(t) ≡ S a(t0)
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Approximating EKF
Á Reduced Rank Kalman Filtering RRKF:Á
RRKF behaves like the Extended Kalman Filter in a low dimensionalsubspace determined at the beginning of the assimilation window
S est(
t) =
M tLT S F T
F I LM T
t
Á L is the orthogonal matrix that transforms model variables into controlvariables. S is the model error covariance matrix in the chosenk-dimensional subspace of the control space and F is its
cross-correlation matrix with the complement subspace
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Approximating EKF
Á Fast Kalman Filtering FKF:
Á FKF produces results numerically identical to the full Kalman filter EKFbut has one order of magnitude lower complexity
Á FKF complexity is still superlinear, but it suits medium sized systemswell
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Approximating EKF
Á Ensemble Kalman Filtering EnKF:
Á A low dimensional approximation En − S est to S a(t0) is propagated bythe full nonlinear model and there is no model error
En− S est(t) = si∈V
(M(si)(t)−M(si)(t))(M(si)(t)−M(si)(t))T
Á V is a sample of vectors, such as a multinormal sample modulated by alow rank approximation to the analysis error covariance matrix S a(t0) atinitial time
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Variational Kalman filter
Á The idea of the VKF method is to replace the most time consumingpart of the Extended Kalman Filter (EKF) method, the updating of theprediction error covariance matrix Sest(t− 1) equation (11) in order toobtain Sa(t), by a low rank update that only requires a few dozenmodel integrations.
Á The Variational Kalman Filter can be viewed as a predictor correctorscheme in the Cartesian sum of the state and covariance spaces. In thescheme, a 3D-Var method is used to find both the state estimate andthe error covariance matrix.
Á Dominant Hessian singular vectors at time t + 1 are approximated byevolving the search directions from time t.
Á
The rank of the error covariance approximation can be regulated.
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Variational Kalman filter algorithm (1/3)
The VKF method uses the full non-linear prediction equation (1) toconstruct an a priori estimate from the previous state estimate:
xa(t) = Mt(xest(t− 1)). (21)
The corresponding approximated covariance Sa(t) of the a priori
information is available from previous time step of VKF method.
In order to avoid the computation of the Kalman gain we perform a3D-Var optimization with equivalent cost function. As a result of theoptimization we get the state estimate xest(t) for present time t.
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Variational Kalman filter algorithm (2/3)
The error estimate Sest(t) of the state estimate follows from the formula:
Sest(t) = 2(Hess(t))−1, (22)
where the matrix Hess(t) can be approximated by using search directionsof the optimization process. During the optimization another task is done:the full non-linear evolution model equation (1) is used to transfer searchdirections to next time step t + 1. These evolved search directions are thenused to update the approximation of the present covariance Sa(t) in orderto approximate Sa(t + 1).
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Variational Kalman filter algorithm (3/3)
In practice the updates are carried out by using the limited memoryBroyden-Fletcher-Goldfarb-Shanno (L-BFGS) formula in order to maintainan upper limit on the rank of the Hessian approximation used in theL-BFGS Quasi-Newton method. After a 3D-Var optimization we have anupdated covariance Sa(t) which is then used to produce:
Sa(t + 1) = Sa(t) + SEt. (23)
At each iteration of the optimization method the evolved search directionsand the evolved gradients of J are stored and the approximation of theSa(t) is updated as the optimization method updates it’s own
approximation of the Hessian J .
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Simulated assimilation results
Á Simple linear evolution model
Á 100 observation times
Á 100 grid points
Á data is obtained at the last 2 grid points in each set of 5 (i.e. theobserved grid point indexes were 4, 5, 9, 10, 14, 15, 19, 20, 24, 25,....)
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Simulated assimilation results (1/4)
0 10 20 30 40 50 60 70 80 90 100−10
−5
0
5
10
15
Relative error: 100*(EKF−True)./True
R e l a t i v
e e r r o r [ % ]
time t
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Simulated assimilation results (2/4)
0 10 20 30 40 50 60 70 80 90 100−10
−5
0
5
10
15
Relative error: EKF vs. VKF
R e l a t i v
e e r r o r [ % ]
time t
Red lines: EKF
Blue lines: VKF
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Simulated assimilation results (3/4)
0 10 20 30 40 50 60 70 80 90 100−20
−15
−10
−5
0
5
10
15
20
Relative error: 100*(EKF−True)./True
R e l a t i v
e e r r o r [ % ]
time t
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Simulated assimilation results (4/4)
0 10 20 30 40 50 60 70 80 90 100−20
−15
−10
−5
0
5
10
15
20
Relative error: EKF vs. VKF
R e l a t i v e e r r o r [ % ]
time t
Red lines: EKF
Blue lines: VKF
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Conclusions
Á EKF is computationally unfeasible for large dynamical systems
Á FKF is a good, exact supplement to EKF for medium sized systems
Á VKF is a good approximation to EKF for large systems
Á It allows model error to be incorporated
Á
It has a dynamic error covariance matrixÁ It retains the linear complexity of 4DVAR
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