An anisotropic formulation of the parametric Kalman filter assimilation

Abstract

In geophysics, the direct application of covariance matrix dynamics described by the Kalman filter (KF) is limited by the high dimension of such problems. The parametric Kalman filter (PKF) is a recent alternative to the ensemble Kalman filter, where the covariance matrices are approximated by a covariance model featured by a set of parameters. The covariance dynamics is then described by the time evolution of these parameters during the analysis and forecast cycles. This study focuses on covariance model parametrized by the variance and the local anisotropic tensor fields (VLATcov). The analysis step of the PKF for VLATcov in a 2D/3D domain is first introduced. Then, using 2D univariate numerical investigations, the PKF is shown to be able to provide a low numerical cost approximation of the Kalman filter analysis step, even for anisotropic error correlation functions. Moreover the PKF has been shown able to reproduce the KF over several assimilation cycles in a transport dynamics. An extension toward the multivariate situation is theoretically studied in a 1D domain.

Keywords

• data assimilation
• parametric kalman filter
• univariate analysis
• multivariate analysis