GENERALIZED VARIATIONAL DATA ASSIMILATION METHOD AND NUMERICAL EXPERIMENT FOR NON-DIFFERENTIAL SYSTEM

The generalized variational data assimilation for non-differential dynamical systems is studied. There is no tangent linear model for non-differential systems and thus the general adjoint model can not be derived in the traditional way. The weak form of the original system was introduced, and then the generalized adjoint model was derived. The generalized variational data assimilation methods were developed for non-differential low dimensional system and non-differential high dimensional system with global and local observations. Furthermore, ideas in inverse problems are introduced to 4DVAR ( Fourdimensional variational ) of non-differential partial differential system with local observations.     

Efficiency of a POD‐based reduced second‐order adjoint model in 4D‐Var data assimilation

Order reduction strategies aim to alleviate the computational burden of the four‐dimensional variational data assimilation by performing the optimization in a low‐order control space. The proper orthogonal decomposition (POD) approach to model reduction is used to identify a reduced‐order control space for a two‐dimensional global shallow water model. A reduced second‐order adjoint (SOA) model is developed and used to facilitate the implementation of a Hessian‐free truncated‐Newton (HFTN) minimization algorithm in the POD‐based space. The efficiency of the SOA/HFTN implementation is analysed by comparison with the quasi‐Newton BFGS and a nonlinear conjugate gradient algorithm. Several data assimilation experiments that differ only in the optimization algorithm employed are performed in the reduced control space. Numerical results indicate that first‐order derivative methods are effective during the initial stages of the assimilation; in the later stages, the use of second‐order derivative information is of benefit and HFTN provided significant CPU time savings when compared to the BFGS and CG algorithms. A comparison with data assimilation experiments in the full model space shows that with an appropriate selection of the basis functions the optimization in the POD space is able to provide accurate results at a reduced computational cost. The HFTN algorithm benefited most from the order reduction since computational savings were achieved both in the outer and inner iterations of the method. Further experiments are required to validate the approach for comprehensive global circulation models. Copyright © 2006 John Wiley & Sons, Ltd.     

The back and forth nudging algorithm applied to a shallow water model,comparison and hybridization with the 4D‐VAR

We study in this paper a new data assimilation algorithm, called the back and forth nudging (BFN). This scheme has been very recently introduced for simplicity reasons, as it does not require any linearization, or adjoint equation, or minimization process in comparison with variational schemes, but nevertheless it provides a new estimation of the initial condition at each iteration. We study its convergence properties as well as efficiency on a 2D shallow water model. All along the numerical experiments, comparisons with the standard variational algorithm (called 4D‐VAR) are performed. Finally, a hybrid method is introduced, by considering a few iterations of the BFN algorithm as a preprocessing tool for the 4D‐VAR algorithm. We show that the BFN algorithm is extremely powerful in the very first iterations and also that the hybrid method can both improve notably the quality of the identified initial condition by the 4D‐VAR scheme and reduce the number of iterations needed to achieve convergence. Copyright © 2008 John Wiley & Sons, Ltd.     

An Analysis of a Hybrid Optimization Method for Variational Data Assimilation

In four-dimensional variational data assimilation (4D-Var) an optimal estimate of the initial state of a dynamical system is obtained by solving a large-scale unconstrained minimization problem. The gradient of the cost functional may be efficiently computed using the adjoint modeling, at the expense equivalent to a few forward model integrations; for most practical applications, the evaluation of the Hessian matrix is not feasible due to the large dimension of the discrete state vector. Hybrid methods aim to provide an improved optimization algorithm by dynamically interlacing inexpensive L-BFGS iterations with fast convergent Hessian-free Newton (HFN) iterations. In this paper, a comparative analysis of the performance of a hybrid method vs. L-BFGS and HFN optimization methods is presented in the 4D-Var context. Numerical results presented for a two-dimensional shallow-water model show that the performance of the hybrid method is sensitive to the selection of the method parameters such as the length of the L-BFGS and HFN cycles and the number of inner conjugate gradient iterations during the HFN cycle. Superior performance may be obtained in the hybrid approach with a proper selection of the method parameters. The applicability of the new hybrid method in the framework of operational 4D-Var in terms of computational cost and performance is also discussed.     

Efficient identification of uncertain parameters in a large‐scale tidal model of the European continental shelf by proper orthogonal decomposition

The adjoint method can be used to identify uncertain parameters in large‐scale shallow water flow models. This requires the implementation of the adjoint model, which is a large programming effort. The work presented here is inverse modeling based on model reduction using proper orthogonal decomposition (POD). An ensemble of forward model simulations is used to determine the approximation of the covariance matrix of the model variability and the dominant eigenvectors of this matrix are used to define a model subspace. An approximate linear reduced model is obtained by projecting the original model onto this reduced subspace. Compared with the classical variational method, the adjoint of the tangent linear model is replaced by the adjoint of a linear reduced forward model. The minimization process is carried out in reduced subspace and hence reduces the computational costs. In this study, the POD‐based calibration approach has been implemented for the estimation of the depth values and the bottom friction coefficient in a large‐scale shallow sea model of the entire European continental shelf with approximately 10⁶ operational grid points. A number of calibration experiments is performed. The effectiveness of the algorithm is evaluated in terms of the accuracy of the final results as well as the computational costs required to produce these results. The results demonstrate that the POD calibration method with little computational effort and without the implementation of the adjoint code can be used to solve large‐scale inverse shallow water flow problems. Copyright © 2011 John Wiley & Sons, Ltd.     

4D variational data assimilation for locally nested models: Complementary theoretical aspects and application to a 2D shallow water model

We consider the application of a four‐dimensional variational data assimilation method to a numerical model, which employs local mesh refinement to improve its solution. We focus on structured meshes where a high‐resolution grid is embedded in a coarser resolution one, which covers the entire domain. The formulation of the nested variational data assimilation algorithm was derived in a preliminary work (Int. J. Numer. Meth. Fluids 2008; under review). We are interested here in complementary theoretical aspects. We present first a model for the multi‐grid background error covariance matrix. Then, we propose a variant of our algorithms based on the addition of control variables in the inter‐grid transfers in order to allow for a reduction of the errors linked to the interactions between the grids. These formulations are illustrated and discussed in the test case experiment of a 2D shallow water model. Copyright © 2010 John Wiley & Sons, Ltd.     

Effect of random perturbations on adaptive observation techniques

An observation sensitivity (OS) method to identify targeted observations is implemented in the context of four‐dimensional variational (4D‐Var) data assimilation. This methodology is compared with the well‐established adjoint sensitivity (AS) method using a nonlinear Burgers equation as a test model. Automatic differentiation software is used to implement the first‐order adjoint model (ADM) to calculate the gradient of the cost function required in the 4D‐Var minimization algorithm and in the AS computations and the second‐order ADM to obtain information on the Hessian matrix of the 4D‐Var cost that is necessary in the OS computations. Numerical results indicate that the observation‐targeting is particularly successful in reducing the forecast error for moderate Reynolds numbers. The potential benefits of the OS targeting approach over the AS are investigated. The effect of random perturbations on the performance of these adaptive observation techniques is also analyzed. Copyright © 2011 John Wiley & Sons, Ltd.     

A Hybrid Monte‐Carlo sampling smoother for four‐dimensional data assimilation

This paper constructs an ensemble‐based sampling smoother for four‐dimensional data assimilation using a Hybrid/Hamiltonian Monte‐Carlo approach. The smoother samples efficiently from the posterior probability density of the solution at the initial time. Unlike the well‐known ensemble Kalman smoother, which is optimal only in the linear Gaussian case, the proposed methodology naturally accommodates non‐Gaussian errors and nonlinear model dynamics and observation operators. Unlike the four‐dimensional variational method, which only finds a mode of the posterior distribution, the smoother provides an estimate of the posterior uncertainty. One can use the ensemble mean as the minimum variance estimate of the state or can use the ensemble in conjunction with the variational approach to estimate the background errors for subsequent assimilation windows. Numerical results demonstrate the advantages of the proposed method compared to the traditional variational and ensemble‐based smoothing methods. Copyright © 2016 John Wiley & Sons, Ltd.     

Discharge estimation under uncertainty using variational methods with application to the full Saint‐Venant hydraulic network model

Estimating river discharge from in situ and/or remote sensing data is a key issue for evaluation of water balance at local and global scales and for water management. Variational data assimilation (DA) is a powerful approach used in operational weather and ocean forecasting, which can also be used in this context. A distinctive feature of the river discharge estimation problem is the likely presence of significant uncertainty in principal parameters of a hydraulic model, such as bathymetry and friction, which have to be included into the control vector alongside the discharge. However, the conventional variational DA method being used for solving such extended problems often fails. This happens because the control vector iterates (i.e., approximations arising in the course of minimization) result into hydraulic states not supported by the model. In this paper, we suggest a novel version of the variational DA method specially designed for solving estimation‐under‐uncertainty problems, which is based on the ideas of iterative regularization. The method is implemented with SIC², which is a full Saint‐Venant based 1D‐network model. The SIC² software is widely used by research, consultant and industrial communities for modeling river, irrigation canal, and drainage network behavior. The adjoint model required for variational DA is obtained by means of automatic differentiation. This is likely to be the first stable consistent adjoint of the 1D‐network model of a commercial status in existence. The DA problems considered in this paper are offtake/tributary estimation under uncertainty in the cross‐device parameters and inflow discharge estimation under uncertainty in the bathymetry defining parameters and the friction coefficient. Numerical tests have been designed to understand identifiability of discharge given uncertainty in bathymetry and friction. The developed methodology, and software seems useful in the context of the future Surface Water and Ocean Topography satellite mission. Copyright © 2016 John Wiley & Sons, Ltd.     

Boundary conditions control for a shallow‐water model

A variational data assimilation technique was used to estimate optimal discretization of interpolation operators and derivatives in the nodes adjacent to the rigid boundary. Assimilation of artificially generated observational data in the shallow‐water model in a square box and assimilation of real observations in the model of the Black sea are discussed. It is shown in both experiments that controlling the discretization of operators near a rigid boundary can bring the model solution closer to observations as in the assimilation window and beyond the window. This type of control also allows to improve climatic variability of the model. Copyright © 2011 John Wiley & Sons, Ltd.     

A reduced‐order simulated annealing approach for four‐dimensional variational data assimilation in meteorology and oceanography

Four‐dimensional variational data assimilation in meteorology and oceanography suffers from the presence of local minima in the cost function. These local minima arise when the system under study is strongly nonlinear. The number of local minima further dramatically increases with the length of the assimilation period and often renders the solution to the problem intractable. Global optimization methods are therefore needed to resolve this problem. However, the huge computational burden makes the application of these sophisticated techniques unfeasible for large variational data assimilation systems. In this study, a Simulated Annealing (SA) algorithm, complemented with an order‐reduction of the control vector, is used to tackle this problem. SA is a very powerful tool of combinatorial minimization in the presence of several local minima at the cost of increasing the execution time. Order‐reduction is then used to reduce the dimension of the search space in order to speed up the convergence rate of the SA algorithm. This is achieved through a proper orthogonal decomposition. The new approach was implemented with a realistic eddy‐permitting configuration of the Massachusetts Institute of Technology general circulation model (MITgcm) of the tropical Pacific Ocean. Numerical results indicate that the reduced‐order SA approach was able to efficiently reduce the cost function with a reasonable number of function evaluations. Copyright © 2008 John Wiley & Sons, Ltd.     

The reduced‐order hybrid Monte Carlo sampling smoother

Hybrid Monte Carlo sampling smoother is a fully non‐Gaussian four‐dimensional data assimilation algorithm that works by directly sampling the posterior distribution formulated in the Bayesian framework. The smoother in its original formulation is computationally expensive owing to the intrinsic requirement of running the forward and adjoint models repeatedly. Here we present computationally efficient versions of the hybrid Monte Carlo sampling smoother based on reduced‐order approximations of the underlying model dynamics. The schemes developed herein are tested numerically using the shallow‐water equations model on Cartesian coordinates. The results reveal that the reduced‐order versions of the smoother are capable of accurately capturing the posterior probability density, while being significantly faster than the original full‐order formulation. Copyright © 2016 John Wiley & Sons, Ltd.     

Comparison of sequential data assimilation methods for the Kuramoto–Sivashinsky equation

The Kuramoto–Sivashinsky equation plays an important role as a low‐dimensional prototype for complicated fluid dynamics systems having been studied due to its chaotic pattern forming behavior. Up to now, efforts to carry out data assimilation with this 1‐D model were restricted to variational adjoint methods domain and only Chorin and Krause (Proc. Natl. Acad. Sci. 2004; 101 (42):15013–15017) tested it using a sequential Bayesian filter approach. In this work we compare three sequential data assimilation methods namely the Kalman filter approach, the sequential Monte Carlo particle filter approach and the maximum likelihood ensemble filter methods. This comparison is to the best of our knowledge novel. We compare in detail their relative performance for both linear and nonlinear observation operators. The results of these sequential data assimilation tests are discussed and conclusions are drawn as to the suitability of these data assimilation methods in the presence of linear and nonlinear observation operators. Copyright © 2009 John Wiley & Sons, Ltd.     

A variational ensemble Kalman filtering method for data assimilation using 2D and 3D version of COHERENS model

Decoupled implementation of data assimilation methods has been rarely studied. The variational ensemble Kalman filter has been implemented such that it needs not to communicate directly with the model, but only through input and output devices. In this work, an open multi‐functional three‐dimensional (3D) model, the coupled hydrodynamical‐ecological model for regional and shelf seas (COHERENS), has been used. Assimilation of the total suspended matter (TSM) is carried out in 154 km² lake Säkylän Pyhäjärvi. Observations of TSM were derived from high‐resolution satellite images of turbidity and chrolophyll‐a. For demonstrating the method, we have used a low‐resolution model grid of 1 km. The model was run for a period from May 16 to September 14. We have run the COHERENS model with two‐dimensional (2D) mode time steps and 3D mode time steps. This allows COHERENS to switch between 2D and 3D modes in a single run for computational efficiency. We have noticed that there is not much difference between these runs. This is because satellite images depict the derived TSM for the surface layer only. The use of additional 3D data might change this conclusion and improve the results. We have found that in this study, the use of a large ensemble size does not guarantee higher performance. The successful implementation of decoupled variational ensemble Kalman filter method opens the way for other methods and evolution models to enjoy the benefits without having to spend substantial effort in merging the model and assimilation codes together, which can be a difficult task. © 2016 The Authors. International Journal for Numerical Methods in Fluids Published by John Wiley & Sons Ltd.     

Reduced rank static error covariance for high‐dimensional applications

A method for creating static (e.g., stationary) error covariance of reduced rank for potential use in hybrid variational‐ensemble data assimilation is presented. The choice of reduced rank versus full rank static error covariance is made in order to allow the use of an improved Hessian preconditioning in high‐dimensional applications. In particular, this method relies on using block circulant matrices to create a high‐dimensional global covariance matrix from a low‐dimensional local sub‐matrix. Although any covariance used in variational data assimilation would be an acceptable choice for the pre‐defined full‐rank static error covariance, for convenience and simplicity, we use a symmetric Topelitz matrix as a prototype of static error covariance. The methodology creates a square root covariance, which has a practical advantage for Hessian preconditioning in reduced rank, ensemble‐based data assimilation. The experiments conducted examine multivariate covariance that includes the impact of cross‐variable correlations, in order to have a more realistic assessment of the value of the constructed static error covariance approximation. The results show that it may be possible to reduce the rank of matrix to O(10) and still obtain an acceptable approximation of the full‐rank static covariance matrix. Copyright © 2016 John Wiley & Sons, Ltd.     

Sensitivity analysis applied to a variational data assimilation of a simulated pollution transport problem

Understanding the impact of the changes in pollutant emission from a foreign region onto a target region is a key factor for taking appropriate mitigating actions. This requires a sensitivity analysis of a response function (defined on the target region) with respect to the source(s) of pollutant(s). The basic and straightforward approach to sensitivity analysis consists of multiple simulations of the pollution transport model with variations of the parameters that define the source of the pollutant. A more systematic approach uses the adjoint of the pollution transport model derived from applying the principle of variations. Both approaches assume that the transport velocity and the initial distribution of the pollutant are known. However, when observations of both the velocity and concentration fields are available, the transport velocity and the initial distribution of the pollutant are given by the solution of a data assimilation problem. As a consequence, the sensitivity analysis should be carried out on the optimality system of the data assimilation problem, and not on the direct model alone. This leads to a sensitivity analysis that involves the second‐order adjoint model, which is presented in the present work. It is especially shown theoretically and with numerical experiments that the sensitivity on the optimality system includes important terms that are ignored by the sensitivity on the direct model. The latter shows only the direct effects of the variation of the source on the response function while the first shows the indirect effects in addition to the direct effects. Copyright © 2016 John Wiley & Sons, Ltd.     

Some theoretical problems on variational data assimilation

Theoretical aspects of variational data assimilation (VDA) for a simple model with both global and local observational data are discussed. For the VDA problems with global observational data, the initial conditions and parameters for the model are revisited and the model itself is modified. The estimates of both error and convergence rate are theoretically made and the validity of the method is proved. For VDA problem with local observation data, the conventional VDA method are out of use due to the ill-posedness of the problem. In order to overcome the difficulties caused by the ill-posedness, the initial conditions and parameters of the model are modified by using the improved VDA method, and the estimates of both error and convergence rate are also made. Finally, the validity of the improved VDA method is proved through theoretical analysis and illustrated with an example, and a theoretical criterion of the regularization parameters is proposed.     

Adjoint Methods in Data Assimilation for Estimating Model Error

Data assimilation aims to incorporate measured observations into a dynamical system model in order to produce accurate estimates of all the current (and future) state variables of the system. The optimal estimates minimize a variational principle and can be found using adjoint methods. The model equations are treated as strong constraints on the problem. In reality, the model does not represent the system behaviour exactly and errors arise due to lack of resolution and inaccuracies in physical parameters, boundary conditions and forcing terms. A technique for estimating systematic and time-correlated errors as part of the variational assimilation procedure is described here. The modified method determines a correction term that compensates for model error and leads to improved predictions of the system states. The technique is illustrated in two test cases. Applications to the 1-D nonlinear shallow water equations demonstrate the effectiveness of the new procedure. This revised version was published online in July 2006 with corrections to the Cover Date.     

Optimal boundary discretization by variational data assimilation

A variational data assimilation technique applied to the identification of the optimal discretization of interpolation operators and derivatives in the nodes adjacent to the boundary of the domain is discussed in frames of the linear shallow water model. The advantage of controlling the discretization of operators near the boundary rather than boundary conditions is shown. Assimilating data that have been produced by the same model on a finer grid, in a model on a coarse grid, we have shown that optimal discretization allows us to correct such errors of the numerical scheme as under‐resolved boundary layer and wrong wave velocity. Copyright © 2010 John Wiley & Sons, Ltd.