A multiresolution ensemble Kalman filter using the wavelet decomposition

DOI10.1007/S10596-017-9622-7zbMATH Open1387.86032arXiv1511.01935OpenAlexW2963844937MaRDI QIDQ1702387FDOQ1702387

Humberto C. Godinez, Kyle S. Hickmann

Publication date: 28 February 2018

Published in: Computational Geosciences (Search for Journal in Brave)

Abstract: We present a method of using classical wavelet based multiresolution analysis to separate scales in model and observations during data assimilation with the ensemble Kalman filter. In many applications, the underlying physics of a phenomena involve the interaction of features at multiple scales. Blending of observational and model error across scales can result in large forecast inaccuracies since large errors at one scale are interpreted as inexact data at all scales. Our method uses a transformation of the observation operator in order to separate the information from different scales of the observations. This naturally induces a transformation of the observation covariance and we put forward several algorithms to efficiently compute the transformed covariance. Another advantage of our multiresolution ensemble Kalman filter is that scales can be weighted independently to adjust each scale's effect on the forecast. To demonstrate feasibility we present applications to a one dimensional Kuramoto-Sivashinsky (K-S) model with scale dependent observation noise and an application involving the forecasting of solar photospheric flux. The latter example demonstrates the multiresolution ensemble Kalman filter's ability to account for scale dependent model error. Modeling of photospheric magnetic flux transport is accomplished by the Air Force Data Assimilative Photospheric Transport (ADAPT) model.

Full work available at URL: https://arxiv.org/abs/1511.01935

zbMATH Keywords

waveletsdata assimilationensemble Kalman filtermultiresolution analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Sequential estimation (62L12) Numerical methods for wavelets (65T60) Inverse problems in geophysics (86A22)

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Cited In (5)

• A Corrector Result for the Wave Equation with High Oscillating Periodic Coefficients
• A spatial-domain multiresolutional particle filter with thresholded wavelets
• Kalman-Wavelet Combined Filtering
• An Ensemble Kalman Filter Approach Based on Level Set Parameterization for Acoustic Source Identification Using Multiple Frequency Information
• Multi-Resolution Filters for Massive Spatio-Temporal Data

Uses Software

• EnKF

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