skip to main content

Title: Score matching filters for Gaussian Markov random fields with a linear model of the precision matrix

We present an ensemble filtering method based on a linear model for the precision matrix (the inverse of the covariance) with the parameters determined by Score Matching Estimation. The method provides a rigorous covariance regularization when the underlying random field is Gaussian Markov. The parameters are found by solving a system of linear equations. The analysis step uses the inverse formulation of the Kalman update. Several filter versions, differing in the construction of the analysis ensemble, are proposed, as well as a Score matching version of the Extended Kalman Filter.

; ;
Award ID(s):
Publication Date:
Journal Name:
Foundations of Data Science
Sponsoring Org:
National Science Foundation
More Like this
  1. Abstract The ensemble Kalman filter (EnKF) is a popular technique for data assimilation in high-dimensional nonlinear state-space models. The EnKF represents distributions of interest by an ensemble, which is a form of dimension reduction that enables straightforward forecasting even for complicated and expensive evolution operators. However, the EnKF update step involves estimation of the forecast covariance matrix based on the (often small) ensemble, which requires regularization. Many existing regularization techniques rely on spatial localization, which may ignore long-range dependence. Instead, our proposed approach assumes a sparse Cholesky factor of the inverse covariance matrix, and the nonzero Cholesky entries are furthermore »regularized. The resulting method is highly flexible and computationally scalable. In our numerical experiments, our approach was more accurate and less sensitive to misspecification of tuning parameters than tapering-based localization.« less
  2. It can be expensive and difficult to collect direct bathymetry data for nearshore regions, especially in high-energy locations where there are temporally and spatially varying bathymetric features like sandbars. As a result, there has been increasing interest in remote assessment techniques for estimating bathymetry. Recent efforts have combined Kalman filter–based techniques with indirect video-based observations for bathymetry inversion. Here, we estimate nearshore bathymetry by utilizing observed wave celerity and wave height, which are related to bathymetry through phase-averaged wave dynamics. We present a modified compressed-state Kalman filter (CSKF) method, a fast and scalable Kalman filter method for linear and nonlinearmore »problems with large numbers of unknowns and measurements, and apply it to two nearshore bathymetry estimation problems. To illustrate the robustness and accuracy of our method, we compare its performance with that of two ensemble-based approaches on twin bathymetry estimation problems with profiles based on surveys taken by the U.S. Army Corps of Engineer Field Research Facility (FRF) in Duck, North Carolina. We first consider an estimation problem for a temporally constant bathymetry profile. Then we estimate bathymetry as it evolves in time. Our results indicate that the CSKF method is more accurate and robust than the ensemble-based methods with the same computational cost. The superior performance is due to the optimal low-rank representation of the covariance matrices.

    « less
  3. Abstract

    It is possible to describe many variants of ensemble Kalman filters without loss of generality as the impact of a single observation on a single state variable. For most ensemble algorithms commonly applied to Earth system models, the computation of increments for the observation variable ensemble can be treated as a separate step from computing increments for the state variable ensemble. The state variable increments are normally computed from the observation increments by linear regression using the prior bivariate ensemble of the state and observation variable. Here, a new method that replaces the standard regression with a regression usingmore »the bivariate rank statistics is described. This rank regression is expected to be most effective when the relation between a state variable and an observation is nonlinear. The performance of standard versus rank regression is compared for both linear and nonlinear forward operators (also known as observation operators) using a low-order model. Rank regression in combination with a rank histogram filter in observation space produces better analyses than standard regression for cases with nonlinear forward operators and relatively large analysis error. Standard regression, in combination with either a rank histogram filter or an ensemble Kalman filter in observation space, produces the best results in other situations.

    « less
  4. Ensemble Kalman filter (EnKF) analyses of the storms associated with the 8 May 2017 Colorado severe hail event using either the Milbrandt and Yau (MY) or the NSSL double-moment bulk microphysics scheme in the forecast model are evaluated. With each scheme, two experiments are conducted in which the reflectivity ( Z) observations update in addition to dynamic and thermodynamic variables: 1) only the hydrometeor mixing ratios or 2) all microphysical variables. With fewer microphysical variables directly constrained by the Z observations, only updating hydrometeor mixing ratios causes the forecast error covariance structure to become unreliable, and results in larger errorsmore »in the analysis. Experiments that update all microphysical variables produce analyses with the lowest Z root-mean-square innovations; however, comparing the estimated hail size against hydrometeor classification algorithm output suggests that further constraint from observations is needed to more accurately estimate surface hail size. Ensemble correlation analyses are performed to determine the impact of hail growth assumptions in the MY and NSSL schemes on the forecast error covariance between microphysical and thermodynamic variables. In the MY scheme, Z is negatively correlated with updraft intensity because the strong updrafts produce abundant small hail aloft. The NSSL scheme predicts the growth of large hail aloft; consequently, Z is positively correlated with storm updraft intensity and hail state variables. Hail production processes are also shown to alter the background error covariance for liquid and frozen hydrometeor species. Results in this study suggest that EnKF analyses are sensitive to the choice of MP scheme (e.g., the treatment of hail growth processes).

    « less
  5. A new type of ensemble Kalman filter is developed, which is based on replacing the sample covariance in the analysis step by its diagonal in a spectral basis. It is proved that this technique improves the approximation of the covariance when the covariance itself is diagonal in the spectral basis, as is the case, e.g., for a second-order stationary random field and the Fourier basis. The method is extended by wavelets to the case when the state variables are random fields which are not spatially homogeneous. Efficient implementations by the fast Fourier transform (FFT) and discrete wavelet transform (DWT) aremore »presented for several types of observations, including high-dimensional data given on a part of the domain, such as radar and satellite images. Computational experiments confirm that the method performs well on the Lorenz 96 problem and the shallow water equations with very small ensembles and over multiple analysis cycles.« less