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Introduction to Data Assimilation Peter Jan van Leeuwen IMAU

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Basic estimation theory T 0 = T + e 0 T m = T + e m E{e 0 } = 0 E{e m } = 0 E{e 0 2 } = s 0 2 E{e m 2 } = s m 2 E{e 0 e m } = 0 Assume a linear best estimate: T n = a T 0 + b T m with T n = T + e n Find a and b such that: b = 1 - a a = __________ sm2sm2 s 0 2 + s m 2 E{e n } = 0 E{e n 2 } minimal

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Solution: T n = _______ T 0 + _______ T m sm2sm2 s02s02 s 0 2 + s m 2 ___ = ___ + ___ 111 sm2sm2 s02s02 sn2sn2 and Note: s n smaller than s 0 and s m ! Basic estimation theory Best Linear Unbiased Estimate BLUE Just least squares!!!

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Can we generalize this? More dimensions Nonlinear estimates (why linear?) Observations that are not directly modeled Biases

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P(u) u (m/s) 1.0 0.5 The basics: probability density functions

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The model pdf P[u(x1),u(x2),T(x3),.. u(x1) u(x2) T(x3)

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Observations In situ observations: e.g. sparse hydrographic observations, irregular in space and time Satellite observations: e.g. of the sea-surface

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NO INVERSION !!! Data assimilation: general formulation

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Bayes’ Theorem Conditional pdf: Similarly: Combine: Even better:

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Filters and smoothers Filter: solve 3D problem several times Smoother: solve 4D problem once Note: the model is (highly) nonlinear!

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Model equation: Pdf evolution: Kolmogorov’s equation (Fokker-Planck equation) Pdf evolution in time

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Only consider mean and covariance At observation times: -The mean of the product of 2 Gaussians is equal to linear combination of the 2 means: E{ |d} = a E{ } + b E{d| } - Assume p(d| ) and p( ) are Gaussian, and use Bayes - But we have seen this before in the first example ! (Ensemble) Kalman Filter

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with Kalman gain K = PH T (HPH T + R) -1 Kalman Filter notation: m new = m old + K (d - H m old ) Old solution: T n = _______ T 0 + _______ T m sm2sm2 s02s02 s 0 2 + s m 2 But now for covariance matrices: m new = R (P+R) -1 m old + P (P+R) -1 d (Ensemble) Kalman Filter II

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The error covariance: tells us how model variables co-vary P SSH SSH (x,y) = E{ (SSH(x) - E{SSH(x)}) (SSH(y) - E{SSH(y)}) } P SSH SST (x,y) = E{ (SSH(x) - E{SSH(x)}) (SST(y) - E{SST(y)}) } For example SSH at point x with SSH at point y: Or SSH at point x and SST at point y:

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Spatial correlation of SSH and SST in the Indian Ocean x x Haugen and Evensen, 2002

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Covariances between model variables Haugen and Evensen, 2002

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Summary on Kalman filters: Gaussian pdf’s for model and observations Propagation of error covariance P If N operations for state vector evolution, then N 2 operations for P evolution… Problems: Nonlinear dynamics, so non-Gaussian statistics Evolution equation for P not closed Size of P (> 1,000,000,000,000) ….

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Propagation of pdf in time: ensemble or particle methods

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Example of Ensemble Kalman Filter (EnKF) MICOM model with 1.3 million model variables Observations: Altimetry, infra-red Validated with hydrographic observations

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SST (-2K to +2K)

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SSH (-10 cm to +10 cm)

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RMS difference with XBT-data

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? Spurious covariances

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Local updating: restrict update using only local covariances: EnKF: with Kalman gain Schurproduct, or direct cut-off Localization in EnKF-like methods

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Ensemble Kalman Smoother (EnKS) Basic idea: use covariances over time. Efficient implementation: 1) run EnKF, store ensemble at observation times 2) add influence of data back in time using covariances at different times

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Probability density function of layer thickness of first layer at day 41 during data-assimilation No Kalman filter No variational methods Nonlinear filters

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The particle filter (Sequential Importance Resampling SIR) Ensemble with

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Particle filter

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SIR-results for a quasi-geostrophic ocean model around South Africa with 512 members

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Smoothers: formulation Model error Initial error Observation error Boundary errors etc. etc.

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Smoothers: prior pdf

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Smoothers: posterior pdf Assume all errors are Gaussian: modelinitialobservation

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Assume Gaussian pdf for model errors and observations: in which Find min J from variational derivative: J is costfunction or penalty function model dynamics initial condition model-obs misfit Smoothers in practice: Variational methods

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Gradient descent methods J model variable 12 34 56 1’

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Forward integrations Backward integrations Nonlinear two-point boundary value problem solved by linearization and iteration The Euler-Lagrange equations

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4D-VAR strong constraint Assume model errors negligible: In practice only a few linear and one or two nonlinear iterations are done…. No error estimate (Hessian too expensive and unwanted…)

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Example 4D-VAR: GECCO 1952 through 2001 on a 1º global grid with 23 layers in the vertical, using the ECCO/MIT adjoint technology. Model started from Levitus and NCEP forcing and uses state of the art physics modules (GM, KPP). Control parameters: initial temperature and salinity fields and the time varying surface forcing,

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The Mean Ocean Circulation, global Residual values can reveal inconsistencies in data sets (here geoid).

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MOC at 25N Bryden et al. (2005)

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Error estimates J Local curvature from second derivative of J, the Hessian X

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Other smoothers Representers, PSAS, Ensemble Kalman smoother, …. Simulated annealing (Metropolis Hastings), …

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Relations between model variables Covariance gives linear correlations between variables Adjoint gives linear correlation between variables along a nonlinear model run (linear sensitivity) Pdf gives full nonlinear relation between variables (nonlinear sensitivity)

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Parameter estimation Bayes: Looks simple, but we don’t observe model parameters…. We observe model fields, so: in which H has to be found from model integrations

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Example: ecosystem modeling 29 parameters of which 15 were estimated and 14 were kept Fixed.

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Estimated parameters from particle filter (SIR) All other methods that were tried, including 4D-VAR and EnKF failed. Losa et al, 2001

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Estimate size of model error Brasseur et al, 2006

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Why data assimilation? Forecasts Process studies Model improvements - model parameters - parameterizations ‘Intelligent monitoring’

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Conclusions Evolution of pdf with time is essential ingredient Filters: dominated by Kalman-like methods, but moving towards nonlinear methods (SIR etc.) Smoothers: dominated by 4D-VAR, New ideas needed!

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