Local Sequential MCMC for Data Assimilation with Applications in Geoscience
<|reference_start|>Local Sequential MCMC for Data Assimilation with Applications in Geoscience: This paper presents a new data assimilation (DA) scheme based on a sequential Markov Chain Monte Carlo (SMCMC) DA technique [Ruzayqat et al. 2024] which is provably convergent and has been recently used for filtering, particularly for high-dimensional non-linear, and potentially, non-Gaussian state-space models. Unlike particle filters, which can be considered exact methods and can be used for filtering non-linear, non-Gaussian models, SMCMC does not assign weights to the samples/particles, and therefore, the method does not suffer from the issue of weight-degeneracy when a relatively small number of samples is used. We design a localization approach within the SMCMC framework that focuses on regions where observations are located and restricts the transition densities included in the filtering distribution of the state to these regions. This results in immensely reducing the effective degrees of freedom and thus improving the efficiency. We test the new technique on high-dimensional ($d \sim 10^4 - 10^5$) linear Gaussian model and non-linear shallow water models with Gaussian noise with real and synthetic observations. For two of the numerical examples, the observations mimic the data generated by the Surface Water and Ocean Topography (SWOT) mission led by NASA, which is a swath of ocean height observations that changes location at every assimilation time step. We also use a set of ocean drifters' real observations in which the drifters are moving according the ocean kinematics and assumed to have uncertain locations at the time of assimilation. We show that when higher accuracy is required, the proposed algorithm is superior in terms of efficiency and accuracy over competing ensemble methods and the original SMCMC filter.<|reference_end|>
@article{ruzayqat2024local,
    title={Local Sequential MCMC for Data Assimilation with Applications in
  Geoscience},
    author={Hamza Ruzayqat and Omar Knio},
    journal={arXiv preprint arXiv:2409.07111},
    year={2024},
    archivePrefix={arXiv},
    eprint={2409.07111},
    primaryClass={stat.CO cs.NA math.NA stat.ME}
}