The Ensemble Kalman Filter: theoretical formulation and practical implementation

The purpose of this paper is to provide a comprehensive presentation and interpretation of the Ensemble Kalman Filter (EnKF) and its numerical implementation. The EnKF has a large user group, and numerous publications have discussed applications and theoretical aspects of it. This paper reviews the important results from these studies and also presents new ideas and alternative interpretations which further explain the success of the EnKF. In addition to providing the theoretical framework needed for using the EnKF, there is also a focus on the algorithmic formulation and optimal numerical implementation. A program listing is given for some of the key subroutines. The paper also touches upon specific issues such as the use of nonlinear measurements, in situ profiles of temperature and salinity, and data which are available with high frequency in time. An ensemble based optimal interpolation (EnOI) scheme is presented as a cost-effective approach which may serve as an alternative to the EnKF in some applications. A fairly extensive discussion is devoted to the use of time correlated model errors and the estimation of model bias.Responsible Editor: Jörg-Olaf Wolff     

On ensemble representation of the observation-error covariance in the Ensemble Kalman Filter

Evensen (2003) presents a modification of the Ensemble Kalman Filter (EnKF), in which the observation-error and background-error covariance matrices are both represented by ensembles, in contrast to the usual practice, where only the background error is so represented. It is shown that this modification can cause the ensemble to collapse to a single member, in the common situation where the number of observations is more than twice the number of ensemble members, and to be rank-deficient when the number of observations is greater than or equal to the ensemble size. It is also shown that some further modifications to the scheme, presented by Evensen as offering numerical efficiencies, can prevent this collapse. However, these latter modifications are shown in some simple numerical examples to require tuning to produce acceptable results, which are nevertheless inferior to those of the standard EnKF.Acknowledgements The author acknowledges useful discussions with Peter Steinle, and other participants at the EnKF workshop held in BMRC in November, 2003.     

Inverse analysis of stochastic moment equations for transient flow in randomly heterogeneous media

We present a nonlinear stochastic inverse algorithm that allows conditioning estimates of transient hydraulic heads, fluxes and their associated uncertainty on information about hydraulic conductivity (K) and hydraulic head (h  ) data collected in a randomly heterogeneous confined aquifer. Our algorithm is based on Laplace-transformed recursive finite-element approximations of exact nonlocal first and second conditional stochastic moment equations of transient flow. It makes it possible to estimate jointly spatial variations in natural log-conductivity (Y=lnK)$(Y=\ln K)$, the parameters of its underlying variogram, and the variance–covariance of these estimates. Log-conductivity is parameterized geostatistically based on measured values at discrete locations and unknown values at discrete “pilot points”. Whereas prior values of Y at pilot point are obtained by generalized kriging, posterior estimates at pilot points are obtained through a maximum likelihood fit of computed and measured transient heads. These posterior estimates are then projected onto the computational grid by kriging. Optionally, the maximum likelihood function may include a regularization term reflecting prior information about Y. The relative weight assigned to this term is evaluated separately from other model parameters to avoid bias and instability. We illustrate and explore our algorithm by means of a synthetic example involving a pumping well. We find that whereas Y and h can be reproduced quite well with parameters estimated on the basis of zero-order mean flow equations, all model quality criteria identify the second-order results as being superior to zero-order results. Identifying the weight of the regularization term and variogram parameters can be done with much lesser ambiguity based on second- than on zero-order results. A second-order model is required to compute predictive error variances of hydraulic head (and flux) a posteriori. Conditioning the inversion jointly on conductivity and hydraulic head data results in lesser predictive uncertainty than conditioning on conductivity or head data alone.     

基于Gauss-Markov卡尔曼滤波的电离层数值同化现报预报系统的构建—以中国及周边地区为例的观测系统模拟试验

本文给出了一个基于Gauss-Markov卡尔曼滤波的电离层数据同化系统的初步构建和试验结果.我们选择中国及周边地区部分涉及电离层观测的台站(包括子午工程台站、中国地壳形变网和部分IGS台站)作为观测系统进行模拟试验,背景场利用IRI模式,观测值则由NeQuick模式计算得到.我们的同化结果表明,采用Kalman滤波算法,把部分斜TEC同化到背景模式当中,能够获得较好的同化结果,说明我们设计的算法可行、所选择的各种参数比较合理,采用Gauss-Markov假设进行短期预报也取得了较合理的结果.本项研究经过进一步的改进和完善,可以用来对中国地区的电离层进行现报和短期预报,一方面满足相关空间工程应用,另一方面可以提升现有观测系统的科学意义.     

基于热层电离层耦合数据同化的热层参量估计

本文采用高效集合卡尔曼滤波（EnKF）算法和背景场热层电离层理论模式NCAR-TIEGCM,开发了热层电离层数据同化系统.基于全球空地基GNSS电离层斜TEC观测、CHAMP和TIMED/GUVI热层参量观测构型设计了系列观测系统模拟实验,对热层参量进行估计.实验结果表明,（1）通过集合卡尔曼滤波算法同化电离层TEC观测能够较好地优化热层参量.（2）中性质量密度优化效果在整个同化阶段均有提升,提升百分比能达到40%.（3）积分氧氮比在同化阶段也能得到较好的优化,但在电子密度水平梯度变化剧烈区域效果较差.最后本文对中性质量密度进行了预报评估,结果表明,由于中性成分优化,在地磁平静条件下其预报时间尺度可长达24 h.