State, global and local parameter estimation using local ensemble Kalman filters: applications to online machine learning of chaotic dynamics

TL;DR

This paper develops and tests local ensemble Kalman filter algorithms for joint estimation of state and both global and local parameters in chaotic dynamical systems, demonstrating effectiveness on Lorenz models.

Contribution

It introduces a family of local EnKF algorithms for simultaneous state and parameter estimation, including rigorous methods for updating global parameters within local frameworks.

Findings

Successful application to 40-variable Lorenz model

Effective learning of chaotic dynamics and local forcings

Demonstration on multi-layer Lorenz model with non-local observations

Abstract

In a recent methodological paper, we showed how to learn chaotic dynamics along with the state trajectory from sequentially acquired observations, using local ensemble Kalman filters. Here, we more systematically investigate the possibility to use a local ensemble Kalman filter with either covariance localisation or local domains, in order to retrieve the state and a mix of key global and local parameters. Global parameters are meant to represent the surrogate dynamical core, for instance through a neural network, which is reminiscent of data-driven machine learning of dynamics, while the local parameters typically stand for the forcings of the model. Aiming at joint state and parameter estimation, a family of algorithms for covariance and local domain localisation is proposed. In particular, we show how to rigorously update global parameters using a local domain ensemble Kalman filter (EnKF) such as the local ensemble transform Kalman filter (LETKF), an inherently local method. The approach is tested with success on the 40-variable Lorenz model using several of the local EnKF flavors. A two-dimensional illustration based on a multi-layer Lorenz model is finally provided. It uses radiance-like non-local observations. It features both local domains and covariance localisation in order to learn the chaotic dynamics and the local forcings. This paper more generally addresses the key question of online estimation of both global and local model parameters.