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Analysis Scheme in The Ensemble Kalman Filter: Errit Urgers
Analysis Scheme in The Ensemble Kalman Filter: Errit Urgers
BURGERS ET AL.
1719
PETER JAN
VAN
LEEUWEN
Institute for Marine and Atmospheric Research Utrecht, Utrecht University, Utrecht, the Netherlands
GEIR EVENSEN
Nansen Environmental and Remote Sensing Center, Bergen, Norway
(Manuscript received 17 January 1997, in final form 10 June 1997)
ABSTRACT
This paper discusses an important issue related to the implementation and interpretation of the analysis scheme
in the ensemble Kalman filter. It is shown that the observations must be treated as random variables at the
analysis steps. That is, one should add random perturbations with the correct statistics to the observations and
generate an ensemble of observations that then is used in updating the ensemble of model states. Traditionally,
this has not been done in previous applications of the ensemble Kalman filter and, as will be shown, this has
resulted in an updated ensemble with a variance that is too low.
This simple modification of the analysis scheme results in a completely consistent approach if the covariance
of the ensemble of model states is interpreted as the prediction error covariance, and there are no further
requirements on the ensemble Kalman filter method, except for the use of an ensemble of sufficient size. Thus,
there is a unique correspondence between the error statistics from the ensemble Kalman filter and the standard
Kalman filter approach.
1. Introduction
The ensemble Kalman filter (EnKF) was introduced
by Evensen (1994b) as an alternative to the traditional
extended Kalman filter (EKF), which has been shown
to be based on a statistical linearization or closure approximation that is too severe to be useful for some
cases with strongly nonlinear dynamics (see Evensen
1992; Miller et al. 1994; Gauthier et al. 1993; Bouttier
1994). If the dynamical model is written as a stochastic
differential equation, one can derive the FokkerPlanck
or Kolmogorovs equation for the time evolution of the
probability density function, which contains all the information about the prediction error statistics. The
EnKF is a sequential data assimilation method, using
Monte Carlo or ensemble integrations. By integrating
an ensemble of model states forward in time, it is pos-
Corresponding author address: Gerrit Burgers, Oceanographic Research Division, Royal Netherlands Meteorological Institute, P.O. Box
201, 3730 AE De Bilt, the Netherlands.
E-mail: burgers@knmi.nl
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VOLUME 126
P f 5 (c f 2 c t )(c f 2 c t )T ,
(1)
c a 5 c f 1 K(d 2 Hc f ).
P 5 (c 2 c )(c 2 c ) ,
(2)
t T
K 5 P f HT (H P f HT 1 W)21 .
(6)
P f . P ef 5 (c f 2 c f )(c f 2 c f )T ,
(3)
d t 5 Hc t ,
P . P 5 (c 2 c )(c 2 c ) ,
(4)
a
e
a T
d 5 Hc t 1 e ,
(7)
(8)
W 5 eeT
5 (d 2 Hc t )(d 2 Hc t )T
5 (d 2 d t )(d 2 d t )T .
(9)
JUNE 1998
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BURGERS ET AL.
P a 5 (c a 2 c t )(c a 2 c t )T
5 [c f 2 c t 1 K(d 2 d t 2 Hc f 1 Hc t )][c f 2 c t 1 K(d 2 d t 2 Hc f 1 Hc t )]T
5 (I 2 KH)(c f 2 c t )(c f 2 c t )T (I 2 KH)T 1 K(d 2 d t )(d 2 d t )T K T
5 (I 2 KH)P f (I 2 H TK T ) 1 KWK T
5 P f 2 KHP f 2 P f H TK T 1 K(HP f H T 1 W)K T
5 (I 2 KH)P f .
(10)
dj 5 d 1 ej ,
(12)
c ja 5 c jf 1 K e (d j 2 Hc jf ).
(13)
P 5 (I 2 KH)P (I 2 KH) .
a
(11)
K e 5 P ef HT(HPef HT 1 W)21 .
(14)
ca 5 c
1 K e (d 2 Hc f ).
(15)
P ea 5 (c a 2 c a )(c a 2 c a )T
5 (I 2 K eH)P ef 1 O (N 21/2 ),
(16)
(17)
(18)
1722
and dq is the stochastic forcing representing model errors from a distribution with zero mean and covariance
Q. The ensemble covariance matrix of the errors in the
model equations, given by
(19)
c k11 5 M (c k )
5 M ( c k ) 1 n.l.,
(20)
(21)
VOLUME 126
P(x1 2 x 2 ) 5 exp 2
(x1 2 x 2 ) 2
.
,2
(22)
This distribution will be called F(c ) where the functions c have been discretized on the numerical grid.
A smooth function representing the true state c t is
picked from the distribution F, and this ensures that the
true state has the correct characteristic length scale ,.
Then a first-guess solution c f is generated by adding
another function drawn from the same distribution to
c t ; that is, we have assumed that the first guess has an
error variance equal to one and covariance functions as
specified by Eq. (22).
An ensemble representing the error variance equal to
one is now generated by adding functions drawn from
F to the first guess. Here 1000 members were used in
the ensemble. Thus we now have a first-guess estimate
of the true state with the error covariance represented
by the ensemble.
Since we will compare the results with the standard
Kalman filter analysis, we also construct the error co-
JUNE 1998
BURGERS ET AL.
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FIG. 1. (Top) The true reference state, the first guess, and the estimates calculated from the
different analysis schemes are given. (Bottom) The corresponding error variance estimates.
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VOLUME 126
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