Boujemaa Ait-El-Fquih

arXiv2026

A Structurally Localized Ensemble Kalman Filtering Approach

State-of-the-art ensemble Kalman filtering (EnKF) algorithms require incorporating localization techniques to cope with the rank deficiency and the inherited spurious correlations in their error covariance matrices. Localization techniques are mostly ad-hoc, based on some distances between the state and observation variables, requiring demanding manual tuning. This work introduces a new ensemble filtering approach, which is inherently localized, avoiding the need for any auxiliary localization technique. Instead of explicitly applying localization on ensembles, the idea is to first localize the continuous analysis probability density function (pdf) before ensemble sampling. The localization of the analysis pdf is performed through an approximation by a product of independent marginal pdfs corresponding to small partitions of the state vector, using the variational Bayesian optimization. These marginals are then sampled following stochastic EnKF and deterministic ensemble transform Kalman filtering (ETKF) procedures, using ensembles larger than the partitions' size. The resulting filters involve the same forecast steps as their standard EnKF and ETKF counterparts but different analysis steps, iteratively adjusting the EnKF and ETKF updates of each partition based on the ensemble means of the other partitions. Numerical experiments are conducted with the Lorenz-96 model under different scenarios to demonstrate the potential of the proposed filters. The new filters' performances are comparable to those of the EnKF and ETKF with already tuned localization, both in terms of computational burden and estimation accuracy.

physics.ao-ph↗

arXiv2015

A Bayesian Consistent Dual Ensemble Kalman Filter for State-Parameter Estimation in Subsurface Hydrology

Ensemble Kalman filtering (EnKF) is an efficient approach to addressing uncertainties in subsurface groundwater models. The EnKF sequentially integrates field data into simulation models to obtain a better characterization of the model's state and parameters. These are generally estimated following joint and dual filtering strategies, in which, at each assimilation cycle, a forecast step by the model is followed by an update step with incoming observations. The Joint-EnKF directly updates the augmented state-parameter vector while the Dual-EnKF employs two separate filters, first estimating the parameters and then estimating the state based on the updated parameters. In this paper, we reverse the order of the forecast-update steps following the one-step-ahead (OSA) smoothing formulation of the Bayesian filtering problem, based on which we propose a new dual EnKF scheme, the Dual-EnKF$_{\rm OSA}$. Compared to the Dual-EnKF, this introduces a new update step to the state in a fully consistent Bayesian framework, which is shown to enhance the performance of the dual filtering approach without any significant increase in the computational cost. Numerical experiments are conducted with a two-dimensional synthetic groundwater aquifer model to assess the performance and robustness of the proposed Dual-EnKF$_{\rm OSA}$, and to evaluate its results against those of the Joint- and Dual-EnKFs. The proposed scheme is able to successfully recover both the hydraulic head and the aquifer conductivity, further providing reliable estimates of their uncertainties. Compared with the standard Joint- and Dual-EnKFs, the proposed scheme is found more robust to different assimilation settings, such as the spatial and temporal distribution of the observations, and the level of noise in the data. Based on our experimental setups, it yields up to 25% more accurate state and parameters estimates.

physics.data-an↗