A Robust Non-Gaussian Data Assimilation Method for Highly Non-Linear Models

Abstract

In this paper, we propose an efficient EnKF implementation for non-Gaussian data assimilation based on Gaussian Mixture Models and Markov-Chain-Monte-Carlo (MCMC) methods. The proposed method works as follows: based on an ensemble of model realizations, prior errors are estimated via a Gaussian Mixture density whose parameters are approximated by means of an Expectation Maximization method. Then, by using an iterative method, observation operators are linearized about current solutions and posterior modes are estimated via a MCMC implementation. The acceptance/rejection criterion is similar to that of the Metropolis-Hastings rule. Experimental tests are performed on the Lorenz 96 model. The results show that the proposed method can decrease prior errors by several order of magnitudes in a root-mean-square-error sense for nearly sparse or dense observational networks.

Keywords

• ensemble Kalman filter
• Gaussian Mixture Models
• non-linear observation operator
• Markov-Chain-Monte-Carlo