ISSN:
1436-3259
Keywords:
Data assimilation
;
Kalman filter
;
Square root filter
Source:
Springer Online Journal Archives 1860-2000
Topics:
Architecture, Civil Engineering, Surveying
,
Energy, Environment Protection, Nuclear Power Engineering
,
Geography
,
Geosciences
Notes:
Abstract The Kalman filter algorithm can be used for many data assimilation problems. For large systems, that arise from discretizing partial differential equations, the standard algorithm has huge computational and storage requirements. This makes direct use infeasible for many applications. In addition numerical difficulties may arise if due to finite precision computations or approximations of the error covariance the requirement that the error covariance should be positive semi-definite is violated. In this paper an approximation to the Kalman filter algorithm is suggested that solves these problems for many applications. The algorithm is based on a reduced rank approximation of the error covariance using a square root factorization. The use of the factorization ensures that the error covariance matrix remains positive semi-definite at all times, while the smaller rank reduces the number of computations and storage requirements. The number of computations and storage required depend on the problem at hand, but will typically be orders of magnitude smaller than for the full Kalman filter without significant loss of accuracy. The algorithm is applied to a model based on a linearized version of the two-dimensional shallow water equations for the prediction of tides and storm surges. For non-linear models the reduced rank square root algorithm can be extended in a similar way as the extended Kalman filter approach. Moreover, by introducing a finite difference approximation to the Reduced Rank Square Root algorithm it is possible to prevent the use of a tangent linear model for the propagation of the error covariance, which poses a large implementational effort in case an extended kalman filter is used.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/BF02427924
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