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Two recent works have adapted the Kalman-Bucy filter into an ensemble setting. In the first formulation, the ensemble of perturbations is updated by the solution of an ordinary differential equation (ODE) in pseudo-time, while the mean is updated as in the standard Kalman filter. In the second formulation, the full ensemble is updated in the analysis step as the solution of single set of ODEs in pseudo-time. Neither requires matrix inversions except for the frequently diagonal observation error covariance.
We analyse the behaviour of the ODEs involved in these formulations. We demonstrate that they stiffen for large magnitudes of the ratio of background error to observational error variance, and that using the integration scheme proposed in both formulations can lead to failure. A numerical integration scheme that is both stable and is not computationally expensive is proposed. We develop transform-based alternatives for these Bucy-type approaches so that the integrations are computed in ensemble space where the variables are weights (of dimension equal to the ensemble size) rather than model variables.
Finally, the performance of our ensemble transform Kalman-Bucy implementations is evaluated using three models: the 3-variable Lorenz 1963 model, the 40-variable Lorenz 1996 model, and a medium complexity atmospheric general circulation model known as SPEEDY. The results from all three models are encouraging and warrant further exploration of these assimilation techniques.
We discuss the solution theory of operators of the form del(x) + A, acting on smooth sections of a vector bundle with connection del over a manifold M, where X is a vector field having a critical point with positive linearization at some point p is an element of M. As an operator on a suitable space of smooth sections Gamma(infinity)(U, nu), it fulfills a Fredholm alternative, and the same is true for the adjoint operator. Furthermore, we show that the solutions depend smoothly on the data del, X and A.
We investigate nonlinear problems which appear as Euler-Lagrange equations for a variational problem. They include in particular variational boundary value problems for nonlinear elliptic equations studied by F. Browder in the 1960s. We establish a solvability criterion of such problems and elaborate an efficient orthogonal projection method for constructing approximate solutions.
The inverse problem of determining the flow at the Earth's core-mantle boundary according to an outer core magnetic field and secular variation model has been investigated through a Bayesian formalism. To circumvent the issue arising from the truncated nature of the available fields, we combined two modeling methods. In the first step, we applied a filter on the magnetic field to isolate its large scales by reducing the energy contained in its small scales, we then derived the dynamical equation, referred as filtered frozen flux equation, describing the spatiotemporal evolution of the filtered part of the field. In the second step, we proposed a statistical parametrization of the filtered magnetic field in order to account for both its remaining unresolved scales and its large-scale uncertainties. These two modeling techniques were then included in the Bayesian formulation of the inverse problem. To explore the complex posterior distribution of the velocity field resulting from this development, we numerically implemented an algorithm based on Markov chain Monte Carlo methods. After evaluating our approach on synthetic data and comparing it to previously introduced methods, we applied it to a magnetic field model derived from satellite data for the single epoch 2005.0. We could confirm the existence of specific features already observed in previous studies. In particular, we retrieved the planetary scale eccentric gyre characteristic of flow evaluated under the compressible quasi-geostrophy assumption although this hypothesis was not considered in our study. In addition, through the sampling of the velocity field posterior distribution, we could evaluate the reliability, at any spatial location and at any scale, of the flow we calculated. The flow uncertainties we determined are nevertheless conditioned by the choice of the prior constraints we applied to the velocity field.