Local Sequential MCMC for Data Assimilation with Applications in Geoscience

TL;DR

This paper introduces a localized sequential MCMC data assimilation method tailored for high-dimensional geoscience models, demonstrating improved efficiency and accuracy over existing ensemble techniques through applications to ocean and shallow water models.

Contribution

A novel localization approach within SMCMC for data assimilation that enhances efficiency and accuracy in high-dimensional, non-linear, and non-Gaussian models.

Findings

Outperforms existing ensemble methods in efficiency and accuracy.

Effectively handles high-dimensional models with $d \,\sim\, 10^4 - 10^5$.

Successfully applied to real and synthetic ocean data, including SWOT mission observations.

Abstract

This paper presents a new data assimilation (DA) scheme based on a sequential Markov Chain Monte Carlo (SMCMC) DA technique [Ruzayqat et al. 2024] which is provably convergent and has been recently used for filtering, particularly for high-dimensional non-linear, and potentially, non-Gaussian state-space models. Unlike particle filters, which can be considered exact methods and can be used for filtering non-linear, non-Gaussian models, SMCMC does not assign weights to the samples/particles, and therefore, the method does not suffer from the issue of weight-degeneracy when a relatively small number of samples is used. We design a localization approach within the SMCMC framework that focuses on regions where observations are located and restricts the transition densities included in the filtering distribution of the state to these regions. This results in immensely reducing the effective degrees of freedom and thus improving the efficiency. We test the new technique on high-dimensional ($d \sim 10^4 - 10^5$) linear Gaussian model and non-linear shallow water models with Gaussian noise with real and synthetic observations. For two of the numerical examples, the observations mimic the data generated by the Surface Water and Ocean Topography (SWOT) mission led by NASA, which is a swath of ocean height observations that changes location at every assimilation time step. We also use a set of ocean drifters' real observations in which the drifters are moving according the ocean kinematics and assumed to have uncertain locations at the time of assimilation. We show that when higher accuracy is required, the proposed algorithm is superior in terms of efficiency and accuracy over competing ensemble methods and the original SMCMC filter.