A Statistical Investigation of the Sensitivity of Ensemble-Based Kalman Filters to Covariance Filtering

2011 ◽  
Vol 139 (9) ◽  
pp. 3036-3051 ◽  
Author(s):  
Mikyoung Jun ◽  
Istvan Szunyogh ◽  
Marc G. Genton ◽  
Fuqing Zhang ◽  
Craig H. Bishop
Keyword(s):  
Covariance Matrix ◽  
Kernel Smoothing ◽  
Localization Length ◽  
Statistical Investigation ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Nonparametric Approach ◽  
Error Covariance ◽  
Sample Covariance

This paper investigates the effects of spatial filtering on the ensemble-based estimate of the background error covariance matrix in an ensemble-based Kalman filter (EnKF). In particular, a novel kernel smoothing method with variable bandwidth is introduced and its performance is compared to that of the widely used Gaspari–Cohn filter, which uses a fifth-order kernel function with a fixed localization length. Numerical experiments are carried out with the 40-variable Lorenz-96 model. The results of the experiments show that the nonparametric approach provides a more accurate estimate of the background error covariance matrix than the Gaspari–Cohn filter with any localization length. It is also shown that the Gaspari–Cohn filter tends to provide more accurate estimates of the covariance with shorter localization lengths. However, the analyses obtained by using longer localization lengths tend to be more accurate than those produced by using short localization lengths or the nonparametric approach. This seemingly paradoxical result is explained by showing that localization with longer localization lengths produces filtered estimates whose time mean is the most similar to the time mean of both the unfiltered estimate and the true covariance. This result suggests that a better metric of covariance filtering skill would be one that combined a measure of closeness to the sample covariance matrix for a very large ensemble with a measure of similarity between the climatological averages of the filtered and sample covariance.

scholarly journals Impact of different estimations of the background-error covariance matrix on climate reconstructions based on data assimilation

2018 ◽  
Author(s):  
Veronika Valler ◽  
Jörg Franke ◽  
Stefan Brönnimann
Keyword(s):  
Data Assimilation ◽  
Covariance Matrix ◽  
Sampling Error ◽  
Localization Length ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
Sample Covariance ◽  
Temporal Localization

Abstract. Data assimilation has been adapted in paleoclimatology to reconstruct past climate states. A key component of the assimilation system is the background-error covariance matrix, which controls how the information from observations spreads into the model space. In ensemble-based approaches, the background-error covariance matrix can be estimated from the ensemble. Due to the usually limited ensemble size, the background-error covariance matrix is subject to the so-called sampling error. We test different methods to reduce the effect of sampling error in a published paleo data assimilation setup. For this purpose, we conduct a set of experiments, where we assimilate early instrumental data and proxy records stored in trees, to investigate the effect of 1) the applied localization function and localization length scale; 2) multiplicative and additive inflation techniques; 3) temporal localization of monthly data, which applies if several time steps are estimated together in the same assimilation window. We find that the estimation of the background-error covariance matrix can be improved by additive inflation where the background-error covariance matrix is not only calculated from the sample covariance, but blended with a climatological covariance matrix. Implementing a temporal localization for monthly resolved data also led to a better reconstruction.

scholarly journals Impact of different estimations of the background-error covariance matrix on climate reconstructions based on data assimilation

2019 ◽  
Vol 15 (4) ◽  
pp. 1427-1441 ◽  
Author(s):  
Veronika Valler ◽  
Jörg Franke ◽  
Stefan Brönnimann
Keyword(s):  
Data Assimilation ◽  
Covariance Matrix ◽  
Sampling Error ◽  
Localization Length ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
Sample Covariance ◽  
Temporal Localization

Abstract. Data assimilation has been adapted in paleoclimatology to reconstruct past climate states. A key component of some assimilation systems is the background-error covariance matrix, which controls how the information from observations spreads into the model space. In ensemble-based approaches, the background-error covariance matrix can be estimated from the ensemble. Due to the usually limited ensemble size, the background-error covariance matrix is subject to the so-called sampling error. We test different methods to reduce the effect of sampling error in a published paleoclimate data assimilation setup. For this purpose, we conduct a set of experiments, where we assimilate early instrumental data and proxy records stored in trees, to investigate the effect of (1) the applied localization function and localization length scale; (2) multiplicative and additive inflation techniques; (3) temporal localization of monthly data, which applies if several time steps are estimated together in the same assimilation window. We find that the estimation of the background-error covariance matrix can be improved by additive inflation where the background-error covariance matrix is not only calculated from the sample covariance but blended with a climatological covariance matrix. Implementing a temporal localization for monthly resolved data also led to a better reconstruction.

Impact of AMSU-A Radiances in a Column Ensemble Kalman Filter

2018 ◽  
Vol 146 (12) ◽  
pp. 3949-3976 ◽  
Author(s):  
Herschel L. Mitchell ◽  
P. L. Houtekamer ◽  
Sylvain Heilliette
Keyword(s):  
Covariance Matrix ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
Microwave Sounding Unit ◽  
The Matrix ◽  
Microwave Sounding ◽  
Background Temperature ◽  
The Difference

Abstract A column EnKF, based on the Canadian global EnKF and using the RTTOV radiative transfer (RT) model, is employed to investigate issues relating to the EnKF assimilation of Advanced Microwave Sounding Unit-A (AMSU-A) radiance measurements. Experiments are performed with large and small ensembles, with and without localization. Three different descriptions of background temperature error are considered: 1) using analytical vertical modes and hypothetical spectra, 2) using the vertical modes and spectrum of a covariance matrix obtained from the global EnKF after 2 weeks of cycling, and 3) using the vertical modes and spectrum of the static background error covariance matrix employed to initiate a global data assimilation cycle. It is found that the EnKF performs well in some of the experiments with background error description 1, and yields modest error reductions with background error description 3. However, the EnKF is virtually unable to reduce the background error (even when using a large ensemble) with background error description 2. To analyze these results, the different background error descriptions are viewed through the prism of the RT model by comparing the trace of the matrix , where is the RT model and is the background error covariance matrix. Indeed, this comparison is found to explain the difference in the results obtained, which relates to the degree to which deep modes are, or are not, present in the different background error covariances. The results suggest that, after 2 weeks of cycling, the global EnKF has virtually eliminated all background error structures that can be “seen” by the AMSU-A radiances.

scholarly journals Generalized background error covariance matrix model (GEN_BE v2.0)

2015 ◽  
Vol 8 (3) ◽  
pp. 669-696 ◽  
Author(s):  
G. Descombes ◽  
T. Auligné ◽  
F. Vandenberghe ◽  
D. M. Barker ◽  
J. Barré
Keyword(s):  
Data Assimilation ◽  
Covariance Matrix ◽  
Chemical Species ◽  
Variational Data Assimilation ◽  
Control Variables ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
The Impact

Abstract. The specification of state background error statistics is a key component of data assimilation since it affects the impact observations will have on the analysis. In the variational data assimilation approach, applied in geophysical sciences, the dimensions of the background error covariance matrix (B) are usually too large to be explicitly determined and B needs to be modeled. Recent efforts to include new variables in the analysis such as cloud parameters and chemical species have required the development of the code to GENerate the Background Errors (GEN_BE) version 2.0 for the Weather Research and Forecasting (WRF) community model. GEN_BE allows for a simpler, flexible, robust, and community-oriented framework that gathers methods used by some meteorological operational centers and researchers. We present the advantages of this new design for the data assimilation community by performing benchmarks of different modeling of B and showing some of the new features in data assimilation test cases. As data assimilation for clouds remains a challenge, we present a multivariate approach that includes hydrometeors in the control variables and new correlated errors. In addition, the GEN_BE v2.0 code is employed to diagnose error parameter statistics for chemical species, which shows that it is a tool flexible enough to implement new control variables. While the generation of the background errors statistics code was first developed for atmospheric research, the new version (GEN_BE v2.0) can be easily applied to other domains of science and chosen to diagnose and model B. Initially developed for variational data assimilation, the model of the B matrix may be useful for variational ensemble hybrid methods as well.

scholarly journals The “ABC-DA system” (v1.4): a variational data assimilation system for convective scale assimilation research with a study of the impact of a balance constraint

2020 ◽  
Author(s):  
Ross Noel Bannister
Keyword(s):  
Data Assimilation ◽  
Covariance Matrix ◽  
Variational Data Assimilation ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
Convective Scale ◽  
Data Assimilation System ◽  
Assimilation System

Abstract. Following the development of the simplified atmospheric convective-scale "toy" model (the ABC model, named after its three key parameters: the pure gravity wave frequency, A, the controller of the acoustic wave speed, B, and the constant of proportionality between pressure and density perturbations, C), this paper introduces its associated variational data assimilation system, ABC-DA. The purpose of ABC-DA is to permit quick and efficient research into data assimilation methods suitable for convective scale systems. The system can also be used as an aid to teach and demonstrate data assimilation principles. ABC-DA is flexible, configurable and is efficient enough to be run on a personal computer. The system can run a number of assimilation methods (currently 3DVar and 3DFGAT have been implemented), with user configurable observation networks. Observation operators for direct observations and wind speeds are part of the system, although these can be expanded relatively easily. A key feature of any data assimilation system is how it specifies the background error covariance matrix. ABC-DA uses a control variable transform method to allow this to be done efficiently. This version of ABC-DA mirrors many operational configurations, by modelling multivariate error covariances with uncorrelated control parameters, and spatial error covariances with special uncorrelated spatial patterns separately for each parameter. The software developed (amongst other things) does model runs, calibration tasks associated with the background error covariance matrix, testing and diagnostic tasks, single data assimilation runs, multi-cycle assimilation/forecast experiments, and has associated visualisation software. As a demonstration, the system is used to tackle a scientific question concerning the role of geostrophic balance (GB) to model background error covariances between mass and wind fields. This question arises because, although GB is a very useful mechanism that is successfully exploited in larger scale assimilation systems, its use is questionable at convective scales due to the typically larger Rossby numbers where GB is not so relevant. A series of identical twin experiments is done in cycled assimilation configurations. One experiment exploits GB to represent mass-wind covariances in a mirror of an operational set-up (with use of an additional vertical regression (VR) step, as used operationally). This experiment performs badly where assimilation error accumulates over time. Two further experiments are done: one that does not use GB, and another that does but without the VR step. Turning off GB impairs the performance, and turning off VR improves the performance in general. It is concluded that there is scope to further improve the way that the background error covariance matrices are calibrated, with some directions discussed.

scholarly journals Variational assimilation for xenon dynamical forecasts in neutronic using advanced background error covariance matrix modelling

2013 ◽  
Vol 60 ◽  
pp. 39-50 ◽  
Author(s):  
Angélique Ponçot ◽  
Jean-Philippe Argaud ◽  
Bertrand Bouriquet ◽  
Patrick Erhard ◽  
Serge Gratton ◽  
...  
Keyword(s):  
Covariance Matrix ◽  
Background Error ◽  
Variational Assimilation ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
Matrix Modelling

scholarly journals Generalized Background Error covariance matrix model (GEN_BE v2.0)

2014 ◽  
Vol 7 (4) ◽  
pp. 4291-4352
Author(s):  
G. Descombes ◽  
T. Auligné ◽  
F. Vandenberghe ◽  
D. M. Barker
Keyword(s):  
Data Assimilation ◽  
Covariance Matrix ◽  
Chemical Species ◽  
Variational Data Assimilation ◽  
Control Variables ◽  
Background Error ◽  
Error Covariance Matrix ◽  
Background Error Covariance ◽  
Error Covariance ◽  
The Impact

Abstract. The specification of state background error statistics is a key component of data assimilation since it affects the impact observations will have on the analysis. In the variational data assimilation approach, applied in geophysical sciences, the dimensions of the background error covariance matrix (B) are usually too large to be explicitly determined and B needs to be modeled. Recent efforts to include new variables in the analysis such as cloud parameters and chemical species have required the development of the code to GENerate the Background Errors (GEN_BE) version 2.0 for the Weather Research and Forecasting (WRF) community model to allow for a simpler, flexible, robust, and community-oriented framework that gathers methods used by meteorological operational centers and researchers. We present the advantages of this new design for the data assimilation community by performing benchmarks and showing some of the new features on data assimilation test cases. As data assimilation for clouds remains a challenge, we present a multivariate approach that includes hydrometeors in the control variables and new correlated errors. In addition, the GEN_BE v2.0 code is employed to diagnose error parameter statistics for chemical species, which shows that it is a tool flexible enough to involve new control variables. While the generation of the background errors statistics code has been first developed for atmospheric research, the new version (GEN_BE v2.0) can be easily extended to other domains of science and be chosen as a testbed for diagnostic and new modeling of B. Initially developed for variational data assimilation, the model of the B matrix may be useful for variational ensemble hybrid methods as well.

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