New bounds on the condition number of the Hessian of the preconditioned variational data assimilation problem

TL;DR

This paper derives new bounds on the condition number of the Hessian in preconditioned variational data assimilation, highlighting the impact of observation error covariance and lengthscales on convergence.

Contribution

It introduces the first analysis of correlated observation error covariance matrices in preconditioned data assimilation, providing new bounds on the Hessian's condition number.

Findings

Condition number minimized when background and observation lengthscales are equal

Eigenvalue clustering explains faster convergence in some cases

Condition number correlates well with conjugate gradient convergence

Abstract

Data assimilation algorithms combine prior and observational information, weighted by their respective uncertainties, to obtain the most likely posterior of a dynamical system. In variational data assimilation the posterior is computed by solving a nonlinear least squares problem. Many numerical weather prediction (NWP) centres use full observation error covariance (OEC) weighting matrices, which can slow convergence of the data assimilation procedure. Previous work revealed the importance of the minimum eigenvalue of the OEC matrix for conditioning and convergence of the unpreconditioned data assimilation problem. In this paper we examine the use of correlated OEC matrices in the preconditioned data assimilation problem for the first time. We consider the case where there are more state variables than observations, which is typical for applications with sparse measurements e.g. NWP and remote sensing. We find that similarly to the unpreconditioned problem, the minimum eigenvalue of the OEC matrix appears in new bounds on the condition number of the Hessian of the preconditioned objective function. Numerical experiments reveal that the condition number of the Hessian is minimised when the background and observation lengthscales are equal. This contrasts with the unpreconditioned case, where decreasing the observation error lengthscale always improves conditioning. Conjugate gradient experiments show that in this framework the condition number of the Hessian is a good proxy for convergence. Eigenvalue clustering explains cases where convergence is faster than expected.