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Ensemble Kalman filter (EnKF) has been widely studied due to its excellent recursive data processing, dependable uncertainty quantification, and real-time update. However, many previous works have shown poor characterization results on channel reservoirs with non-Gaussian permeability distribution, which do not satisfy the Gaussian assumption of EnKF algorithm. To meet the assumption, normal score transformation can be applied to ensemble parameters. Even though this preserves initial permeability distribution of ensembles, it cannot provide reliable results when initial reservoir models are quite different from the reference one. In this study, an ensemble-based history matching scheme is suggested for channel reservoirs using EnKF with continuous update of channel information. We define channel information which consists of the facies ratio and the mean permeability of each rock face. These are added to the ensemble state vector of EnKF and updated recursively with other model parameters. Using the updated channel information, ensemble parameters are retransformed after each assimilation step. The proposed method gives better characterization results in case of using even poorly designed initial ensemble members. The method also alleviates overshooting problem of EnKF without further modifications of EnKF algorithm. The methodology is applied to channel reservoirs with extreme non-Gaussian permeability distribution. The result shows that the updated models can find channel pattern successfully and the uncertainty range is decreased properly to make a reasonable decision. Although initial channel information of the ensemble members shows big difference with the real one, it can be updated to follow the reference.

The ensemble Kalman filter (EnKF) is a widely used methodology for state estimation in partially, noisily observed dynamical systems and for parameter estimation in inverse problems. Despite its widespread use in the geophysical sciences, and its gradual adoption in many other areas of application, analysis of the method is in its infancy. Furthermore, much of the existing analysis deals with the large ensemble limit, far from the regime in which the method is typically used. The goal of this paper is to analyze the method when applied to inverse problems with fixed ensemble size. A continuous time limit is derived and the long-time behavior of the resulting dynamical system is studied. Most of the rigorous analysis is confined to the linear forward problem, where we demonstrate that the continuous time limit of the EnKF corresponds to a set of gradient flows for the data misfit in each ensemble member, coupled through a common preconditioner which is the empirical covariance matrix of the ensemble. Numerical results demonstrate that the conclusions of the analysis extend beyond the linear inverse problem setting. Numerical experiments are also given which demonstrate the benefits of various extensions of the basic methodology.

We examine the perturbation update step of the ensemble Kalman filters which rely on covariance localisation, and hence have the ability to assimilate non-local observations in geophysical models. We show that the updated perturbations of these ensemble filters are not to be identified with the main empirical orthogonal functions of the analysis covariance matrix, in contrast with the updated perturbations of the local ensemble transform Kalman filter (LETKF). Building on that evidence, we propose a new scheme to update the perturbations of a local ensemble square root Kalman filter (LEnSRF) with the goal to minimise the discrepancy between the analysis covariances and the sample covariances regularised by covariance localisation. The scheme has the potential to be more consistent and to generate updated members closer to the model's attractor (showing fewer imbalances). We show how to solve the corresponding optimisation problem and discuss its numerical complexity. The qualitative properties of the perturbations generated from this new scheme are illustrated using a simple one-dimensional covariance model. Moreover, we demonstrate on the discrete Lorenz-96 and continuous Kuramoto-Sivashinsky one-dimensional low-order models that the new scheme requires significantly less, and possibly none, multiplicative inflation needed to counteract imbalance, compared to the LETKF and the LEnSRF without the new scheme. Finally, we notice a gain in accuracy of the new LEnSRF as measured by the analysis and forecast root mean square errors, despite using well-tuned configurations where such gain is very difficult to obtain.

An important step when using some data assimilation methods, such as the ensemble Kalman filter and its variants, is to calibrate its parameters. Also called hyper-parameters, these include the model and observation errors, which have previously been shown to have a strong impact on the performance of the data assimilation method. Many metrics can be used to calibrate these hyper-parameters but may not all yield the same optimal set of values. The current study investigated the importance of the choice of metric used during the hyper-parameter calibration phase and its impact on discharge forecasts. The types of metrics used each focused on discharge accuracy, ensemble spread or observation-minus-background statistics. The calibration was performed for the ensemble square root Kalman filter over two catchments in Canada using two different hydrologic models per catchment. Results show that the optimal set of hyper-parameters depended heavily on the choice of metric used during the calibration phase, where data assimilation was applied. These sets of hyper-parameters in turn produced different hydrologic forecasts. This influence was reduced as the forecast lead time increased, because of not applying data assimilation in the forecast mode, and accordingly, convergence of model state ensembles produced in the calibration phase. However, the influence could remain considerable for a few days up to multiple weeks depending on the catchment and the model. As such, a preliminary analysis would be recommended for future studies to better understand the impact that metrics can have within and outside the bounds of hyper-parameter calibration.

This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.

The purpose of this paper is to provide a comprehensive presentation and interpretation of the Ensemble Kalman Filter (EnKF) and its numerical implementation. The EnKF has a large user group, and numerous publications have discussed applications and theoretical aspects of it. This paper reviews the important results from these studies and also presents new ideas and alternative interpretations which further explain the success of the EnKF. In addition to providing the theoretical framework needed for using the EnKF, there is also a focus on the algorithmic formulation and optimal numerical implementation. A program listing is given for some of the key subroutines. The paper also touches upon specific issues such as the use of nonlinear measurements, in situ profiles of temperature and salinity, and data which are available with high frequency in time. An ensemble based optimal interpolation (EnOI) scheme is presented as a cost-effective approach which may serve as an alternative to the EnKF in some applications. A fairly extensive discussion is devoted to the use of time correlated model errors and the estimation of model bias.

We develop an assimilation method of high horizontal resolution sea surface temperature data, provided from the Moderate Resolution Imaging Spectroradiometer (MODIS-SST) sensors boarded on the Aqua and Terra satellites operated by National Aeronautics and Space Administration (NASA), focusing on the reproducibility of the Kuroshio front variations south of Japan in February 2010. Major concerns associated with the development are (1) negative temperature bias due to the cloud effects, and (2) the representation of error covariance for detection of highly variable phenomena. We treat them by utilizing an advanced data assimilation method allowing use of spatiotemporally varying error covariance: the Local Ensemble Transformation Kalman Filter (LETKF). It is found that the quality control, by comparing the model forecast variable with the MODIS-SST data, is useful to remove the negative temperature bias and results in the mean negative bias within −0.4 °C. The additional assimilation of MODIS-SST enhances spatial variability of analysis SST over 50 km to 25 km scales. The ensemble spread variance is effectively utilized for excluding the erroneous temperature data from the assimilation process.

In this paper, an extended SEIR model with a vaccination compartment is proposed to simulate the novel coronavirus disease (COVID-19) spread in Saudi Arabia. The model considers seven stages of infection: susceptible (S), exposed (E), infectious (I), quarantined (Q), recovered (R), deaths (D), and vaccinated (V). Initially, a mathematical analysis is carried out to illustrate the non-negativity, boundedness, epidemic equilibrium, existence, and uniqueness of the endemic equilibrium, and the basic reproduction number of the proposed model. Such numerical models can be, however, subject to various sources of uncertainties, due to an imperfect description of the biological processes governing the disease spread, which may strongly limit their forecasting skills. A data assimilation method, mainly, the ensemble Kalman filter (EnKF), is then used to constrain the model outputs and its parameters with available data. We conduct joint state-parameters estimation experiments assimilating daily data into the proposed model using the EnKF in order to enhance the model’s forecasting skills. Starting from the estimated set of model parameters, we then conduct short-term predictions in order to assess the predicability range of the model. We apply the proposed assimilation system on real data sets from Saudi Arabia. The numerical results demonstrate the capability of the proposed model in achieving accurate prediction of the epidemic development up to two-week time scales. Finally, we investigate the effect of vaccination on the spread of the pandemic.

Simultaneous state and parameter estimation is essential for control system design and dynamic modeling of physical systems. This capability provides critical real-time insight into system behavior, supports the discovery of underlying mechanisms, and facilitates adaptive control strategies. Surveyed in this review paper are two classes of state and parameter estimation methods: Kalman Filters and Luenberger Observers. The Kalman Filter framework, including its major variants such as the Extended Kalman Filter (EKF), Unscented Kalman Filter (UKF), Cubature Kalman Filter (CKF), and Ensemble Kalman Filter (EnKF), has been widely applied for joint and dual estimation in linear and nonlinear systems under uncertainty. In parallel, Luenberger observers, typically used in deterministic settings, offer alternative approaches through high-gain, sliding mode, and adaptive observer structures. This review focuses on the theoretical foundations, algorithmic developments, and application domains of these methods and provides a comparative analysis of their advantages, limitations, and practical relevance across diverse engineering scenarios.

Data assimilation (DA) aims to optimally combine model forecasts and observations that are both partial and noisy. Multi‐model DA generalizes the variational or Bayesian formulation of the Kalman filter, and we prove that it is also the minimum variance linear unbiased estimator. Here, we formulate and implement a multi‐model ensemble Kalman filter (MM‐EnKF) based on this framework. The MM‐EnKF can combine multiple model ensembles for both DA and forecasting in a flow‐dependent manner; it uses adaptive model error estimation to provide matrix‐valued weights for the separate models and the observations. We apply this methodology to various situations using the Lorenz96 model for illustration purposes. Our numerical experiments include multiple models with parametric error, different resolved scales, and different fidelities. The MM‐EnKF results in significant error reductions compared to the best model, as well as to an unweighted multi‐model ensemble, with respect to both probabilistic and deterministic error metrics. Plain Language Summary Forecasts that combine multiple imperfect models of a system are used in many fields, including the physical, natural and socio‐economic sciences. In particular, data assimilation (DA), the process by which observations are integrated with model forecasts, is critical in the prediction of chaotic systems. Multi‐model DA (MM‐DA) unifies multi‐model forecast combination and DA into a single process. Here, we significantly improve on previous formulations of MM‐DA by accounting for model error, and formulate a multi‐model ensemble Kalman filter appropriate for high‐dimensional systems. Key Points Multiple models and observations can be optimally combined for data assimilation (DA) and forecasting using multi‐model DA We formulate a multi‐model ensemble Kalman filter (MM‐EnKF), which incorporates model error and is appropriate for high‐dimensional models Using numerical experiments, we show that the MM‐EnKF can significantly outperform the best model and an unweighted multi‐model ensemble