Statistical Data Assimilation: Exact Formulation and

Statistical Data Assimilation: Exact Formulation and Variational Approximations

Henry D. I. Abarbanel

Department of Physics and

Marine Physical Laboratory (Scripps Institution of Oceanography)

Center for Theoretical Biological PhysicsUniversity of California, San Diego

habarbanel@ucsd.edu===================

In collaboration with Philip Gill, Elizabeth Wong, Dan Creveling, Mark Kostuk, Jack Quinn, Bryan Toth, William Whartenby, Chris Knowlton

Data assimilation is a unidirectional communications system: data = transmitter model = receiver. Synchronize the model and the data to achieve communication of information from data to model.

We present an exact formula for the probability of the performance of the communications channel. The exact formula is an integral along a path in the space of states and parameters of the receiver = model.

We analyze approximations to the path integral: variational and direct evaluations.

We present an example from a core climate model element: shallow water equations.

Common features in developing predictive models of observed nonlinear systems:

I Few of the many state variables are observable.

II We must estimate the unobserved state variables and the fixed parameters to make predictions, using x(tn+1) = f(x(tn),p).

III Using observations to guide the dynamics to the right sector of phase space can allow prediction in chaos

0 1, ,... ,...,n mt t t t t T

( )1,2,...,

l ny tl L

1( )( ( ), );1,2,...,

a n

a n

x tf x t pa D

( ) ( ( ))l ly n h x nL D

Our general interest is in making models of observed physical systems: These models often have unknown parameters---conductivity, transport coefficients, reaction rates, coupling strengths, ….

These models often have unobservable state variables---gating variables for ion channels, population inversion in lasers, …

1 0

( ) ( ( ), ); need all x(0) and

( ) ( ( ), ); need all x( ) and n n

dx t F x t p pdt

x t f x t p t p

Our discussion starts with the model and the data, and an interest in determining the unknown parameters and unobserved state variables.

Data Assimilation—transfer of information from observations to models: 

Noisy Data, Errors in the Model—low resolution, …., unknown initial states when 

data acquisition begins

Exact Formulation as a Path Integral

( ( ) | ( )) probability distribution for themodel state at time t , given measurements

(0), (1),..., ( ) ( )m

P x m Y m

y y y m Y m

0( , ( ))

1( , ( ))

01

0

=

( ), ( 1),..., (0)

( , ( )) ( ( ), ( )

( ( ) | ( )) ( ( ) | ( ))

( ) ( ( 1) | ( )) ( (0))

( ) A X Y m

mTMI X Y mD

nm

n

D

x

x

TMI Y Z m CMI y

X x x m x

n

m

n z

P x m Y mP x m Y m

d n e P x n x n P x

d n e

Path Integral for :

0| ( 1))

Total Conditional Mutual Information between path and observations ( )

m

nZ n

X Y m

What is different about this path integral: nonlinear “propagators” dissipative dynamics, orbits on strange attractors.

Path

00

1

0

( | ( )) log{ ( ( ), ( ) | ( 1))}

- log{ ( ( 1) | ( ))} log{ ( (0))}

m

nm

n

A X Y m MI x n y n Y n

P x n x n P x

Action for State and Parameter Estimation

0

0

0

- ( | ( ))

-

With the density of paths exp[- ( | ( ))],we are able to evaluate any conditional expectationvalue of a function

( ) ( ( ), ( -1),..., (1), (0), ) as

( ) [ ( ) | ] ( )

A X Y m

A

A X Y m

F X F x m x m x x p

dXe F XE F X Y F X

dXe

( | ( ))

Path is through state variable+parameter space X={x(m),x(m-1),...x(0),p}

X Y m

0

0

- ( | ( ))

- ( | ( ))

( ) [ ( ) | ] ( )

A X Y m

A X Y m

dXe F XE F X Y F X

dXe

We have explored Monte Carlo numerical evaluation of the integral representation of the data assimulation task. We produced the results here using single CPU machines.

This is eminently parallelizable. Same problem on GPUmachines runs 60-300 times faster! Bigger problems utilizemore GPU threads.

This is the source of numerical optimism.

0

0

- ( | ( ))

- ( | ( ))

( ) [ ( ) | ] ( )

A X Y m

A X Y m

dXe F XE F X Y F X

dXe

0

Another approach is expansion about a saddle path( ) | 0 1,2..., ( 1)

This is 4DVar.This is a numerical optimization problem-

Sig-see Gill tomor

nificant problems with this when trrow.

X SA X m D K

X

20

ajectories are chaotic.Path integral representation allows corrections to 4DVar:do Gaussian integral about .

( )This requires |X S

X SA X

X X

1 1 0 1 1

1 1 2

Lorenz96 ModelDynamical variables--longitudinal `activity'--no vertical levelsno latitude variations.y ( ) 1, 2,...,

( ) ( ) ( ) ( ) y ( ) ( )( ) ( )( ( ) ( ))

a

D D D

aa a a

t a D

y t y t y t y t t y tdy t y t y t y t y

dt

( ) Forcinga t

We explored D = 5. Chaotic at Forcing = 7.9; we used Forcing = 8.17

15 2 4 1

21 3 5 2

32 4 1 3

43 5 2 4

24

1 1 1

2 3

1

3

( ) ( )( ( ) ( )) ( )

( ) ( )( ( ) ( )) ( )

( ) ( )( ( ) ( )) ( )

( ) ( )( ( ) ( )) ( )

(

( )( ( ) ( ))

( )( ( ) ( )

(

)

) )( ( )

u t x t y t

u t

dy t y t y t y t y t Fdt

dy t y t y t y t y t Fdt

dy t y t y t y t y t Fdt

dy t

x t

y t y t y t y t Fdt

dy t y t

y t

y t ydt

3 5( )) ( )t y t F

Model does not synchronize with ‘data’ (x(t)) with only one coupling: two positive Conditional Lyapunov Exponents two different couplings for data are required

21 2

0 1

1 1 2 2

2

Calculate the synchronization error or cost function

C(k , ) ( ( ) ( ))

as a function of the couplings (u (t)=k , ( ) ).

Examine the dependence on an initial condition, here y (0)for

N L

l n l nn l

k x t y t

u t k

1 2various regions of (k , ).k

2 (0) 4.9datay

2 (0) 4.9datay

2 (0) 4.9datay

2 (0) 4.9datay

Dynamical State and Parameter Estimation (DSPE)Minimize:

2 21 1

0

1( , , ) {( ( ) ( )) ( ) }2

T

C y u p x t y t u tT

Subject to the equality constraints:

11 1 1 1

1

( ) ( ( ), ( ), ) ( )( ( ) ( ))

( ) ( ( ), ( ), )

R

RR R

dy t F y t y t p u t x t y tdt

dy t F y t y t pdt

Use variational answer, saddle path, from optimization

As a first approximation and use path integral to evaluate fluctuations about this optimal path. We use IPOPT to solve optimization problem via direct method.

0

Saddle path

( ) | 0 1,2..., ( 1)X SA X m D K

X

Shallow Water Equations

x, u(x,y,t)y, v(x,y,t)

z, w(x,y,z,t)

0( , , ) ( , , )H x y t H h x y t

Twin Experiment: Generate ‘data’ from NbyN shallow water equation. Present observed variables: u, v, h. How big must L be to allow estimation of other unobserved state variables? How many measurements must one make to accurately estimate unobserved states?

For 8 by 8 example with 192 state variables, the number is 112 out of 192, about 60%.

2L N

In 8 by 8 shallow water equations, present all measurements of h(x,y,t) as well as 2, 3, 4, .. Columns of data from wind velocities. Columns contain data on shears in the wind fields.

Effective Actions for Path Integrals0 ( )

2

2

( ) ( )

stationary path approximation( ) 1 ( )( ) ( ) ( ) | ( ) ( ) ...

2

( )4DVar is | 0,

1 ( )( ) ( ) ( ) ( ) ...2

(2 )( ) ( )det( ''( )

A X

S

S

D

F X dXF X e

F X F XF X F S X S X S X SX X X

F XX

F XF X F S X S X SX X

F X F SF S

Performing an integral involves an optimization problem

Effective Actions for Path IntegralsGeneralize 4Dvar to another, exact

variational principle

0

0

0

0 0 0

0

( )( )

( )

0 ( )

( ) ( ) ( )2

( )

Generating function for moments along the path

X ( ) | [ ]

X X X X ( )

and similarly for hig

A X K XC K

A X

K A X

A X A X A X

A X

e dX e

dX eC K E XK dX e

dX e dX e dX eC KX X dX e

her moments

0

0

( ) ( )( )

( )( ) ( )

12 2

Now trade in the `current' K for the mean field via

( ) ( )

( ) ( ) implies

( ) ( )

A X K XA

AA X X

A C K K

C K A KK

e dX e

dX e

A C KX X

0

( ) contains all the moment information. It is likethe Free Energy in statistical physics.

( ) 0 gives the `bare' orbit.

( ) 0 gives the complete expected state variable <X>

including all c

A

A XX

A

orrections due to fluctuations in measurements

and model error.

0

1 1/21'' ''2

3 10 01

( )( ) ( )( )

0

( )2 ( ) 2( )( ) ( )

''0

'' 20 0

( ) ( )

(2 )det( ( ))

( ) ( ) (log ( )) ( )2

( ) 0 is the generali

r r r l lll

r ll

AA X XA

ll

l

AU UDA

A AU

e dX e

A A

e dUe eA

A A tr A O

A

zed 4Dvar

Using the integral representation of the Data Assimilation questions, one can ask how many degrees of freedom are actually required to capture the physics---when do we stop improving the resolution ?

By a consideration of the continuum limit in space and time, one can integrate out the high frequency and high wavenumber components and provide a “universal” parametrization of the answer, then evaluate the remaining structure now containing all the Physics on the desired scales.

Summary

Data assimilation is a unidirectional communications system: data = transmitter, model = receiver. Synchronize the model and the data to achieve communication of information from data to model.

We gave an exact integral representation of the solution of the master equation for the conditional probability distribution in state space. It is an integral along a path in the space of states and parameters of the receiver = model.

Evaluation of high dimensional path integral using Monte Carlo methods. Works well in “low” dimensions. Eminently parallelizable, so numerical possibilities for LARGE models are available.