Model uncertainty estimation using the expectation maximization algorithm and a particle flow filter

Abstract

Model error covariances play a central role in the performance of data assimilation methods applied to nonlinear state-space models. However, these covariances are largely unknown in most of the applications. A misspecification of the model error covariance has a strong impact on the computation of the posterior probability density function, leading to unreliable estimations and even to a total failure of the assimilation procedure. In this work, we propose the combination of the Expectation-Maximization algorithm (EM) with an efficient particle filter to estimate the model error covariance, using a batch of observations. Based on the EM algorithm principles, the proposed method encompasses two stages: the expectation stage, in which a particle filter is used with the present estimate of the model error covariance as given to find the probability density function that maximizes the likelihood, followed by a maximization stage in which the expectation under the probability density function found in the expectation step is maximized as a function of the elements of the model error covariance. This novel algorithm here presented combines the EM with a fixed point algorithm and does not require a particle smoother to approximate the posterior densities. We demonstrate that the new method accurately and efficiently solves the linear model problem. Furthermore, for the chaotic nonlinear Lorenz-96 model the method is stable even for observation error covariance 10 times larger than the estimated model error covariance matrix, and also that it is successful in high-dimensional situations where the dimension of the estimated matrix is 1600.

arXiv comment26 pages, 6 figures

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Cited by in corpus (2)

• Model error covariance estimation in particle and ensemble Kalman filters using an online expectation-maximization algorithm
• An Expectation-Maximization Algorithm for Continuous-time Hidden Markov Models