A low-rank ensemble Kalman filter for elliptic observations

TL;DR

This paper introduces a low-rank regularization method for ensemble Kalman filtering tailored to elliptic observation operators, effectively capturing low-dimensional structures in inverse problems like pressure Poisson equations.

Contribution

It develops a low-rank factorization of the Kalman gain based on spectral analysis, enabling efficient filtering in problems with elliptic PDE observations.

Findings

Effective low-dimensional inference for elliptic inverse problems

Spectral decay enables low-rank approximation of the Kalman gain

Improved estimation of point singularities in dynamical systems

Abstract

We propose a regularization method for ensemble Kalman filtering (EnKF) with elliptic observation operators. Commonly used EnKF regularization methods suppress state correlations at long distances. For observations described by elliptic partial differential equations, such as the pressure Poisson equation (PPE) in incompressible fluid flows, distance localization cannot be applied, as we cannot disentangle slowly decaying physical interactions from spurious long-range correlations. This is particularly true for the PPE, in which distant vortex elements couple nonlinearly to induce pressure. Instead, these inverse problems have a low effective dimension: low-dimensional projections of the observations strongly inform a low-dimensional subspace of the state space. We derive a low-rank factorization of the Kalman gain based on the spectrum of the Jacobian of the observation operator. The identified eigenvectors generalize the source and target modes of the multipole expansion, independently of the underlying spatial distribution of the problem. Given rapid spectral decay, inference can be performed in the low-dimensional subspace spanned by the dominant eigenvectors. This low-rank EnKF is assessed on dynamical systems with Poisson observation operators, where we seek to estimate the positions and strengths of point singularities over time from potential or pressure observations. We also comment on the broader applicability of this approach to elliptic inverse problems outside the context of filtering.