arXiv subjects

Alberto Carrassi

Publications and source records attributed to Alberto Carrassi.

33 records · Page 2Linked to original sources

arXiv2020

Bayesian inference of chaotic dynamics by merging data assimilation, machine learning and expectation-maximization

The reconstruction from observations of high-dimensional chaotic dynamics such as geophysical flows is hampered by (i) the partial and noisy observations that can realistically be obtained, (ii) the need to learn from long time series of data, and (iii) the unstable nature of the dynamics. To achieve such inference from the observations over long time series, it has been suggested to combine data assimilation and machine learning in several ways. We show how to unify these approaches from a Bayesian perspective using expectation-maximization and coordinate descents. In doing so, the model, the state trajectory and model error statistics are estimated all together. Implementations and approximations of these methods are discussed. Finally, we numerically and successfully test the approach on two relevant low-order chaotic models with distinct identifiability.

stat.ML↗

arXiv2020

On temporal scale separation in coupled data assimilation with the ensemble Kalman filter

Coupled data assimilation (CDA) distinctively appears as a main concern in numerical weather and climate prediction with major efforts put forward worldwide. The core issue is the scale separation acting as a barrier that hampers the propagation of the information across model components. We provide a brief survey of CDA, and then focus on CDA using the ensemble Kalman filter (EnKF). We consider first coupled equations with temporal scale difference and deduce that: (i) cross components effects are strong from the slow to the fast scale, but, (ii) intra-component effects are much stronger in the fast scale. While observing the slow scale is desirable and benefits the fast, the latter must be observed with high frequency otherwise the error will affect the slow scale. Experiments are performed using the atmosphere-ocean model, MAOOAM. Six configurations are considered, differing for the strength of the atmosphere-ocean coupling and/or the number of model modes. A comprehensive dynamical characterisation of the model configurations is provided by examining the Lyapunov spectrum, Kolmogorov entropy and Kaplan-Yorke attractor dimension. We also compute the covariant Lyapunov vectors and use them to explain how model instabilities act on different model's modes according to the coupling strength. The experiments confirm the importance of observing the fast scale, but show also that, despite its slow temporal scale, frequent observations in the ocean are beneficial. The relation between the ensemble size and the unstable subspace dimension has been studied. Results largely ratify what known for uncoupled system: the condition N>n0 is necessary for the EnKF to converge. But the quasi-degeneracy of the Lyapunov spectrum of MAOOAM, with many near-zero exponents, is potentially the cause of the smooth gradual reduction of the analysis error observed for some model configurations, even when N>n0.

physics.ao-ph↗

arXiv2019

Adaptive covariance inflation in the ensemble Kalman filter by Gaussian scale mixtures

This paper studies multiplicative inflation: the complementary scaling of the state covariance in the ensemble Kalman filter (EnKF). Firstly, error sources in the EnKF are catalogued and discussed in relation to inflation; nonlinearity is given particular attention as a source of sampling error. In response, the "finite-size" refinement known as the EnKF-N is re-derived via a Gaussian scale mixture, again demonstrating how it yields adaptive inflation. Existing methods for adaptive inflation estimation are reviewed, and several insights are gained from a comparative analysis. One such adaptive inflation method is selected to complement the EnKF-N to make a hybrid that is suitable for contexts where model error is present and imperfectly parameterized. Benchmarks are obtained from experiments with the two-scale Lorenz model and its slow-scale truncation. The proposed hybrid EnKF-N method of adaptive inflation is found to yield systematic accuracy improvements in comparison with the existing methods, albeit to a moderate degree.

physics.data-an↗

arXiv2018

Estimating model evidence using ensemble-based data assimilation with localization - The model selection problem

IIn recent years, there has been a growing interest in applying data assimilation (DA) methods, originally designed for state estimation, to the model selection problem. In this setting, Carrassi et al. (2017) introduced the contextual formulation of model evidence (CME) and showed that CME can be efficiently computed using a hierarchy of ensemble-based DA procedures. Although Carrassi et al. (2017) analyzed the DA methods most commonly used for operational atmospheric and oceanic prediction worldwide, they did not study these methods in conjunction with localization to a specific domain. Yet any application of ensemble DA methods to realistic geophysical models requires the implementation of some form of localization. The present study extends the theory for estimating CME to ensemble DA methods with domain localization. The domain-localized CME (DL-CME) developed herein is tested for model selection with two models: (i) the Lorenz 40-variable mid-latitude atmospheric dynamics model (L95); and (ii) the simplified global atmospheric SPEEDY model. The CME is compared to the root-mean-square-error (RMSE) as a metric for model selection. The experiments show that CME improves systematically over the RMSE, and that this skill improvement is further enhanced by applying localization in the estimate of the CME, using the DL-CME. The potential use and range of applications of the CME and DL-CME as a model selection metric are also discussed.

stat.ME↗

arXiv2018

Asymptotic forecast uncertainty and the unstable subspace in the presence of additive model error

It is well understood that dynamic instability is among the primary drivers of forecast uncertainty in chaotic, physical systems. Data assimilation techniques have been designed to exploit this phenomena, reducing the effective dimension of the data assimilation problem to the directions of rapidly growing errors. Recent mathematical work has, moreover, provided formal proofs of the central hypothesis of the Assimilation in the Unstable Subspace methodology of Anna Trevisan and her collaborators: for filters and smoothers in perfect, linear, Gaussian models, the distribution of forecast errors asymptotically conforms to the unstable-neutral subspace. Specifically, the column span of the forecast and posterior error covariances asymptotically align with the span of backward Lyapunov vectors with non-negative exponents. Earlier mathematical studies have focused on perfect models, and this current work now explores the relationship between dynamical instability, the precision of observations and the evolution of forecast error in linear models with additive model error. We prove bounds for the asymptotic uncertainty, explicitly relating the rate of dynamical expansion, model precision and observational accuracy. Formalizing this relationship, we provide a novel, necessary criterion for the boundedness of forecast errors. Furthermore, we numerically explore the relationship between observational design, dynamical instability and filter boundedness. Additionally, we include a detailed introduction to the Multiplicative Ergodic Theorem and to the theory and construction of Lyapunov vectors.

math.OC↗

arXiv2018

Data Assimilation in the Geosciences - An overview on methods, issues and perspectives

We commonly refer to state-estimation theory in geosciences as data assimilation. This term encompasses the entire sequence of operations that, starting from the observations of a system, and from additional statistical and dynamical information (such as a dynamical evolution model), provides an estimate of its state. Data assimilation is standard practice in numerical weather prediction, but its application is becoming widespread in many other areas of climate, atmosphere, ocean and environment modeling; in all circumstances where one intends to estimate the state of a large dynamical system based on limited information. While the complexity of data assimilation, and of the methods thereof, stands on its interdisciplinary nature across statistics, dynamical systems and numerical optimization, when applied to geosciences an additional difficulty arises by the continually increasing sophistication of the environmental models. Thus, in spite of data assimilation being nowadays ubiquitous in geosciences, it has so far remained a topic mostly reserved to experts. We aim this overview article at geoscientists with a background in mathematical and physical modeling, who are interested in the rapid development of data assimilation and its growing domains of application in environmental science, but so far have not delved into its conceptual and methodological complexities.

physics.ao-ph↗

arXiv2017

Stochastic parameterization identification using ensemble Kalman filtering combined with expectation-maximization and Newton-Raphson maximum likelihood methods

For modelling geophysical systems, large-scale processes are described through a set of coarse-grained dynamical equations while small-scale processes are represented via parameterizations. This work proposes a method for identifying the best possible stochastic parameterization from noisy data. State-the-art sequential estimation methods such as Kalman and particle filters do not achieve this goal succesfully because both suffer from the collapse of the parameter posterior distribution. To overcome this intrinsic limitation, we propose two statistical learning methods. They are based on the combination of two methodologies: the maximization of the likelihood via Expectation-Maximization (EM) and Newton-Raphson (NR) algorithms which are mainly applied in the statistic and machine learning communities, and the ensemble Kalman filter (EnKF). The methods are derived using a Bayesian approach for a hidden Markov model. They are applied to infer deterministic and stochastic physical parameters from noisy observations in coarse-grained dynamical models. Numerical experiments are conducted using the Lorenz-96 dynamical system with one and two scales as a proof-of-concept. The imperfect coarse-grained model is modelled through a one-scale Lorenz-96 system in which a stochastic parameterization is incorpored to represent the small-scale dynamics. The algorithms are able to identify an optimal stochastic parameterization with a good accuracy under moderate observational noise. The proposed EnKF-EM and EnKF-NR are promising statistical learning methods for developing stochastic parameterizations in high-dimensional geophysical models.

physics.ao-ph↗

arXiv2017

Degenerate Kalman filter error covariances and their convergence onto the unstable subspace

The characteristics of the model dynamics are critical in the performance of (ensemble) Kalman filters. In particular, as emphasized in the seminal work of Anna Trevisan and co-authors, the error covariance matrix is asymptotically supported by the unstable-neutral subspace only, i.e., it is spanned by the backward Lyapunov vectors with non-negative exponents. This behavior is at the core of algorithms known as Assimilation in the Unstable Subspace, although a formal proof was still missing. This paper provides the analytical proof of the convergence of the Kalman filter covariance matrix onto the unstable-neutral subspace when the dynamics and the observation operator are linear and when the dynamical model is error-free, for any, possibly rank-deficient, initial error covariance matrix. The rate of convergence is provided as well. The derivation is based on an expression that explicitly relates the error covariances at an arbitrary time to the initial ones. It is also shown that if the unstable and neutral directions of the model are sufficiently observed and if the column space of the initial covariance matrix has a non-zero projection onto all of the forward Lyapunov vectors associated with the unstable and neutral directions of the dynamics, the covariance matrix of the Kalman filter collapses onto an asymptotic sequence which is independent of the initial covariances. Numerical results are also shown to illustrate and support the theoretical findings.

math.OC↗

arXiv2016

Estimating model evidence using data assimilation

We review the field of data assimilation (DA) from a Bayesian perspective and show that, in addition to its by now common application to state estimation, DA may be used for model selection. An important special case of the latter is the discrimination between a factual model --- which corresponds, to the best of the modeler's knowledge, to the situation in the actual world in which a sequence of events has occurred --- and a counterfactual model, in which a particular forcing or process might be absent or just quantitatively different from the actual world. Three different ensemble-DA methods are reviewed for this purpose: the ensemble Kalman filter (EnKF), the ensemble four-dimensional variational smoother (En-4D-Var), and the iterative ensemble Kalman smoother (IEnKS). An original contextual formulation of model evidence (CME) is introduced. It is shown how to apply these three methods to compute CME, using the approximated time-dependent probability distribution functions (pdfs) each of them provide in the process of state estimation. The theoretical formulae so derived are applied to two simplified nonlinear and chaotic models: (i) the Lorenz three-variable convection (L63) model, and (ii) the Lorenz 40-variable mid-latitude atmospheric dynamics model (L95). The numerical results of these three DA-based methods and those of an integration based on importance sampling are compared. It is found that better CME estimates are obtained by using DA, and the IEnKS method appears to be best among the DA methods. Differences among the performance of the three DA-based methods are discussed as a function of model properties. Finally, the methodology is implemented for parameter estimation and for event attribution.

stat.AP↗

arXiv2016

Rank deficiency of Kalman error covariance matrices in linear time-varying system with deterministic evolution

We prove that for linear, discrete, time-varying, deterministic system (perfect model) with noisy outputs, the Riccati transformation in the Kalman filter asymptotically bounds the rank of the forecast and the analysis error covariance matrices to be less than or equal to the number of non-negative Lyapunov exponents of the system. Further, the support of these error covariance matrices is shown to be confined to the space spanned by the unstable-neutral backward Lyapunov vectors, providing the theoretical justification for the methodology of the algorithms that perform assimilation only in the unstable-neutral subspace. The equivalent property of the autonomous system is investigated as a special case.

math.OC↗

arXiv2015

Deterministic treatment of model error in geophysical data assimilation

This chapter describes a novel approach for the treatment of model error in geophysical data assimilation. In this method, model error is treated as a deterministic process fully correlated in time. This allows for the derivation of the evolution equations for the relevant moments of the model error statistics required in data assimilation procedures, along with an approximation suitable for application to large numerical models typical of environmental science. In this contribution we first derive the equations for the model error dynamics in the general case, and then for the particular situation of parametric error. We show how this deterministic description of the model error can be incorporated in sequential and variational data assimilation procedures. A numerical comparison with standard methods is given using low-order dynamical systems, prototypes of atmospheric circulation, and a realistic soil model. The deterministic approach proves to be very competitive with only minor additional computational cost. Most importantly, it offers a new way to address the problem of accounting for model error in data assimilation that can easily be implemented in systems of increasing complexity and in the context of modern ensemble-based procedures.

physics.ao-ph↗

arXiv2015

Extending the square root method to account for additive forecast noise in ensemble methods

A square root approach is considered for the problem of accounting for model noise in the forecast step of the ensemble Kalman filter (EnKF) and related algorithms. The primary aim is to replace the method of simulated, pseudo-random, additive noise so as to eliminate the associated sampling errors. The core method is based on the analysis step of ensemble square root filters, and consists in the deterministic computation of a transform matrix. The theoretical advantages regarding dynamical consistency are surveyed, applying equally well to the square root method in the analysis step. A fundamental problem due to the limited size of the ensemble subspace is discussed, and novel solutions that complement the core method are suggested and studied. Benchmarks from twin experiments with simple, low-order dynamics indicate improved performance over standard approaches such as additive, simulated noise and multiplicative inflation.

physics.data-an↗

arXiv2015

DADA: Data Assimilation for the Detection and Attribution of Weather- and Climate-related Events

We describe a new approach allowing for systematic causal attribution of weather and climate-related events, in near-real time. The method is purposely designed to facilitate its implementation at meteorological centers by relying on data treatments that are routinely performed when numerically forecasting the weather. Namely, we show that causal attribution can be obtained as a by-product of so-called data assimilation procedures that are run on a daily basis to update the meteorological model with new atmospheric observations; hence, the proposed methodology can take advantage of the powerful computational and observational capacity of weather forecasting centers. We explain the theoretical rationale of this approach and sketch the most prominent features of a "data assimilation-based detection and attribution" (DADA) procedure. The proposal is illustrated in the context of the classical three-variable Lorenz model with additional forcing. Several theoretical and practical research questions that need to be addressed to make the proposal readily operational within weather forecasting centers are finally laid out.

stat.AP↗

arXiv2014

Accounting for model error due to unresolved scales within ensemble Kalman filtering

We propose a method to account for model error due to unresolved scales in the context of the ensemble transform Kalman filter (ETKF). The approach extends to this class of algorithms the deterministic model error formulation recently explored for variational schemes and extended Kalman filter. The model error statistic required in the analysis update is estimated using historical reanalysis increments and a suitable model error evolution law. Two different versions of the method are described; a time-constant model error treatment where the same model error statistical description is time-invariant, and a time-varying treatment where the assumed model error statistics is randomly sampled at each analysis step. We compare both methods with the standard method of dealing with model error through inflation and localization, and illustrate our results with numerical simulations on a low order nonlinear system exhibiting chaotic dynamics. The results show that the filter skill is significantly improved through the proposed model error treatments, and that both methods require far less parameter tuning than the standard approach. Furthermore, the proposed approach is simple to implement within a pre-existing ensemble based scheme. The general implications for the use of the proposed approach in the framework of square-root filters such as the ETKF are also discussed.

physics.data-an↗

arXiv2007

Data assimilation as a nonlinear dynamical systems problem: Stability and convergence of the prediction-assimilation system

We study prediction-assimilation systems, which have become routine in meteorology and oceanography and are rapidly spreading to other areas of the geosciences and of continuum physics. The long-term, nonlinear stability of such a system leads to the uniqueness of its sequentially estimated solutions and is required for the convergence of these solutions to the system's true, chaotic evolution. The key ideas of our approach are illustrated for a linearized Lorenz system. Stability of two nonlinear prediction-assimilation systems from dynamic meteorology is studied next via the complete spectrum of their Lyapunov exponents; these two systems are governed by a large set of ordinary and of partial differential equations, respectively. The degree of data-induced stabilization is crucial for the performance of such a system. This degree, in turn, depends on two key ingredients: (i) the observational network, either fixed or data-adaptive; and (ii) the assimilation method.

nlin.CD↗