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A Hybrid Monte‐Carlo sampling smoother for four‐dimensional data assimilation
Author(s) -
Attia Ahmed,
Rao Vishwas,
Sandu Adrian
Publication year - 2016
Publication title -
international journal for numerical methods in fluids
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.938
H-Index - 112
eISSN - 1097-0363
pISSN - 0271-2091
DOI - 10.1002/fld.4259
Subject(s) - data assimilation , monte carlo method , gaussian , hybrid monte carlo , smoothing , mathematics , ensemble kalman filter , algorithm , kalman filter , mathematical optimization , posterior probability , importance sampling , markov chain monte carlo , computer science , statistical physics , extended kalman filter , bayesian probability , statistics , physics , meteorology , quantum mechanics
Summary This paper constructs an ensemble‐based sampling smoother for four‐dimensional data assimilation using a Hybrid/Hamiltonian Monte‐Carlo approach. The smoother samples efficiently from the posterior probability density of the solution at the initial time. Unlike the well‐known ensemble Kalman smoother, which is optimal only in the linear Gaussian case, the proposed methodology naturally accommodates non‐Gaussian errors and nonlinear model dynamics and observation operators. Unlike the four‐dimensional variational method, which only finds a mode of the posterior distribution, the smoother provides an estimate of the posterior uncertainty. One can use the ensemble mean as the minimum variance estimate of the state or can use the ensemble in conjunction with the variational approach to estimate the background errors for subsequent assimilation windows. Numerical results demonstrate the advantages of the proposed method compared to the traditional variational and ensemble‐based smoothing methods. Copyright © 2016 John Wiley & Sons, Ltd.