An iterative ensemble Kalman filter in presence of additive model error

Pavel Sakov (1) , Jean-Matthieu Haussaire (2) , Marc Bocquet (2)

1 BoM - Australian Bureau of Meteorology [Melbourne]
2 CEREA - Centre d'Enseignement et de Recherche en Environnement Atmosphérique

The iterative ensemble Kalman filter (IEnKF) in a deterministic framework was introduced in Sakov et al. (2012) to extend the ensemble Kalman filter (EnKF) and improve its performance in mildly up to strongly nonlinear cases. However, the IEnKF assumes that the model is perfect. This assumption simplified the update of the system at a time different from the observation time, which made it natural to apply the IEnKF for smoothing. In this study, we generalise the IEnKF to the case of imperfect model with additive model error. The new method called IEnKF-Q conducts a Gauss-Newton minimisation in ensemble space. It combines the propagated analysed ensemble anomalies from the previous cycle and model noise ensemble anomalies into a single ensemble of anomalies, and by doing so takes an algebraic form similar to that of the IEnKF. The performance of the IEnKF-Q is tested in a number of experiments with the Lorenz-96 model, which show that the method consistently outperforms both the EnKF and the IEnKF naively modified to accommodate additive model noise.

Mots clés: ensemble Kalman filter; model error; Gauss-Newton minimisation; iterative ensemble Kalman filter

Domaines: Océan, Atmosphère; Optimisation et contrôle [math.OC]

Pavel Sakov, Jean-Matthieu Haussaire, Marc Bocquet. An iterative ensemble Kalman filter in presence of additive model error. 2017. ⟨hal-01632670⟩