arXiv subjects

Colin Grudzien

Publications and source records attributed to Colin Grudzien.

7 recordsLinked to original sources

arXiv2022

A Tutorial on Bayesian Data Assimilation

This tutorial provides a broad introduction to Bayesian data assimilation that will be useful to practitioners, in interpreting algorithms and results, and for theoretical studies developing novel schemes with an understanding of the rich history of geophysical data assimilation and its current directions. The simple case of data assimilation in a 'perfect' model is primarily discussed for pedagogical purposes. Some mathematical results are derived at a high-level in order to illustrate key ideas about different estimators. However, the focus of this work is on the intuition behind these methods, where more formal and detailed treatments of the data assimilation problem can be found in the various references. In surveying a variety of widely used data assimilation schemes, the key message of this tutorial is how the Bayesian analysis provides a consistent framework for the estimation problem and how this allows one to formulate its solution in a variety of ways to exploit the operational challenges in the geosciences.

math.OC↗

arXiv2020

Data assimilation for chaotic dynamics

Chaos is ubiquitous in physical systems. The associated sensitivity to initial conditions is a significant obstacle in forecasting the weather and other geophysical fluid flows. Data assimilation is the process whereby the uncertainty in initial conditions is reduced by the astute combination of model predictions and real-time data. This chapter reviews recent findings from investigations on the impact of chaos on data assimilation methods: for the Kalman filter and smoother in linear systems, analytic results are derived; for their ensemble-based versions and nonlinear dynamics, numerical results provide insights. The focus is on characterising the asymptotic statistics of the Bayesian posterior in terms of the dynamical instabilities, differentiating between deterministic and stochastic dynamics. We also present two novel results. Firstly, we study the functioning of the ensemble Kalman filter in the context of a chaotic, coupled, atmosphere-ocean model with a quasi-degenerate spectrum of Lyapunov exponents, showing the importance of having sufficient ensemble members to track all of the near-null modes. Secondly, for the fully non-Gaussian method of the particle filter, numerical experiments are conducted to test whether the curse of dimensionality can be mitigated by discarding observations in the directions of little dynamical growth of uncertainty. The results refute this option, most likely because the particles already embody this information on the chaotic system. The results also suggest that it is the rank of the unstable-neutral subspace of the dynamics, and not that of the observation operator, that determines the required number of particles. We finally discuss how knowledge of the random attractor can play a role in the development of future data assimilation schemes for chaotic multiscale systems with large scale separation.

physics.data-an↗

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↗

arXiv2017

Structure- & Physics- Preserving Reductions of Power Grid Models

The large size of multiscale, distribution and transmission, power grids hinder fast system-wide estimation and real-time control and optimization of operations. This paper studies graph reduction methods of power grids that are favorable for fast simulations and follow-up applications. While the classical Kron reduction has been successful in reduced order modeling of power grids with traditional, hierarchical design, the selection of reference nodes for the reduced model in a multiscale, distribution and transmission, network becomes ambiguous. In this work we extend the use of the iterative Kron reduction by utilizing the electric grid's graph topology for the selection of reference nodes, consistent with the design features of multiscale networks. Additionally, we propose further reductions by aggregation of coherent subnetworks of triangular meshes, based on the graph topology and network characteristics, in order to preserve currents and build another power-flow equivalent network. Our reductions are achieved through the use of iterative aggregation of sub-graphs that include general tree structures, lines, and triangles. Important features of our reduction algorithms include that: (i) the reductions are, either, equivalent to the Kron reduction, or otherwise produce a power-flow equivalent network; (ii) due to the former mentioned power-flow equivalence, the reduced network can model the dynamic of the swing equations for a lossless, inductive, steady state network; (iii) the algorithms efficiently utilize hash-tables to store the sequential reduction steps.

eess.SY↗

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

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↗

arXiv2016

The Instability of the Hocking-Stewartson Pulse and its Geometric Phase in the Hopf Bundle

This work demonstrates an innovative numerical method for counting and locating eigenvalues with the Evans function. Utilizing the geometric phase in the Hopf bundle, the technique calculates the winding of the Evans function about a contour in the spectral plane, describing the eigenvalues enclosed by the contour for the Hocking-Stewartson pulse of the complex Ginzburg-Landau equation. Locating eigenvalues with the geometric phase in the Hopf bundle was proposed by Way, and proven by Grudzien, Bridges & Jones. Way demonstrated his proposed method for the Hocking-Stewartson pulse, and this manuscript redevelops this example as in the proof of the method, modifying his numerical shooting argument, and introduces new numerical results concerning the phase transition.

math.DS↗