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Model error covariance estimation in particle and ensemble Kalman filters using an online expectation‐maximization algorithm

Abstract : The performance of ensemble-based data assimilation techniques that estimate the state of a dynamical system from partial observations depends crucially on the prescribed uncertainty of the model dynamics and of the observations. These are not usually known and have to be inferred. Many approaches have been pro- posed to tackle this problem, including fully Bayesian, likelihood maximization and innovation-based techniques. This work focuses on maximization of the likelihood function via the expectation–maximization (EM) algorithm to infer the model error covariance combined with ensemble Kalman filters and parti- cle filters to estimate the state. The classical application of the EM algorithm in a data assimilation context involves filtering and smoothing a fixed batch of observations in order to complete a single iteration. This is an inconvenience when using sequential filtering in high-dimensional applications. Motivated by this, an adaptation of the algorithm that can process observations and update the parameters on the fly, with some underlying simplifications, is presented. The proposed technique was evaluated and achieved good performance in experiments with the Lorenz-63 and Lorenz-96 dynamical systems designed to represent some common scenarios in data assimilation such as nonlinearity, chaoticity and model mis-specification.
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https://hal-imt-atlantique.archives-ouvertes.fr/hal-02964198
Contributor : Pierre Tandeo <>
Submitted on : Monday, October 12, 2020 - 11:30:18 AM
Last modification on : Saturday, July 31, 2021 - 3:20:52 AM

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Tadeo Javier Cocucci, Manuel Pulido, Magdalena Lucini, Pierre Tandeo. Model error covariance estimation in particle and ensemble Kalman filters using an online expectation‐maximization algorithm. Quarterly Journal of the Royal Meteorological Society, Wiley, 2021, 147 (734), pp.526-543. ⟨10.1002/qj.3931⟩. ⟨hal-02964198⟩

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