Interaction of Lyapunov vectors in the formulation of the nonlinear extension of the Kalman filter.

When applied to strongly nonlinear chaotic dynamics the extended Kalman filter (EKF) is prone to divergence due to the difficulty of correctly forecasting the forecast error probability density function. In operational forecasting applications ensemble Kalman filters circumvent this problem with empirical procedures such as covariance inflation. This paper presents an extension of the EKF that includes nonlinear terms in the evolution of the forecast error estimate. This is achieved starting from a particular square-root implementation of the EKF with assimilation confined in the unstable subspace (EKF-AUS), that is, the span of the Lyapunov vectors with non-negative exponents. When the error evolution is nonlinear, the space where it is confined is no more restricted to the unstable and neutral subspace causing filter divergence. The algorithm presented here, denominated EKF-AUS-NL, includes the nonlinear terms in the error dynamics: These result from the nonlinear interaction among the leading Lyapunov vectors and account for all directions where the error growth may take place. Numerical results show that with the nonlinear terms included, filter divergence can be avoided. We test the algorithm on the Lorenz96 model, showing very promising results.

Nonlinear stability of traffic models and the use of Lyapunov vectors for estimating the traffic state.

Valuable information for estimating the traffic flow is obtained with current GPS technology by monitoring position and velocity of vehicles. In this paper, we present a proof of concept study that shows how the traffic state can be estimated using only partial and noisy data by assimilating them in a dynamical model. Our approach is based on a data assimilation algorithm, developed by the authors for chaotic geophysical models, designed to be equivalent but computationally much less demanding than the traditional extended Kalman filter. Here we show that the algorithm is even more efficient if the system is not chaotic and demonstrate by numerical experiments that an accurate reconstruction of the complete traffic state can be obtained at a very low computational cost by monitoring only a small percentage of vehicles.

Data assimilation as a nonlinear dynamical systems problem: stability and convergence of the prediction-assimilation system.

We study prediction-assimilation systems, which have become routine in meteorology and oceanography and are rapidly spreading to other areas of the geosciences and of continuum physics. The long-term, nonlinear stability of such a system leads to the uniqueness of its sequentially estimated solutions and is required for the convergence of these solutions to the system's true, chaotic evolution. The key ideas of our approach are illustrated for a linearized Lorenz system. Stability of two nonlinear prediction-assimilation systems from dynamic meteorology is studied next via the complete spectrum of their Lyapunov exponents; these two systems are governed by a large set of ordinary and of partial differential equations, respectively. The degree of data-induced stabilization is crucial for the performance of such a system. This degree, in turn, depends on two key ingredients: (i) the observational network, either fixed or data-adaptive, and (ii) the assimilation method.