No Arabic abstract
Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation algorithms designed to update the estimation of the state in a on-line fashion, as data is acquired sequentially. For linear problems subject to Gaussian noise filtering can be performed exactly using the Kalman filter. For nonlinear systems it can be approximated in a systematic way by particle filters. However in high dimensions these particle filtering methods can break down. Hence, for the large nonlinear systems arising in applications such as weather forecasting, various ad hoc filters are used, mostly based on making Gaussian approximations. The purpose of this work is to study the properties of these ad hoc filters, working in the context of the 2D incompressible Navier-Stokes equation. By working in this infinite dimensional setting we provide an analysis which is useful for understanding high dimensional filtering, and is robust to mesh-refinement. We describe theoretical results showing that, in the small observational noise limit, the filters can be tuned to accurately track the signal itself (filter stability), provided the system is observed in a sufficiently large low dimensional space; roughly speaking this space should be large enough to contain the unstable modes of the linearized dynamics. Numerical results are given which illustrate the theory. In a simplified scenario we also derive, and study numerically, a stochastic PDE which determines filter stability in the limit of frequent observations, subject to large observational noise. The positive results herein concerning filter stability complement recent numerical studies which demonstrate that the ad hoc filters perform poorly in reproducing statistical variation about the true signal.
We consider a multi-dimensional model of a compressible fluid in a bounded domain. We want to estimate the density and velocity of the fluid, based on the observations for only velocity. We build an observer exploiting the symmetries of the fluid dynamics laws. Our main result is that for the linearised system with full observations of the velocity field, we can find an observer which converges to the true state of the system at any desired convergence rate for finitely many but arbitrarily large number of Fourier modes. Our one-dimensional numerical results corroborate the results for the linearised, fully observed system, and also show similar convergence for the full nonlinear system and also for the case when the velocity field is observed only over a subdomain.
We investigate theoretically and numerically the use of the Least-Squares Finite-element method (LSFEM) to approach data-assimilation problems for the steady-state, incompressible Navier-Stokes equations. Our LSFEM discretization is based on a stress-velocity-pressure (S-V-P) first-order formulation, using discrete counterparts of the Sobolev spaces $H({rm div}) times H^1 times L^2$ respectively. Resolution of the system is via minimization of a least-squares functional representing the magnitude of the residual of the equations. A simple and immediate approach to extend this solver to data-assimilation is to add a data-discrepancy term to the functional. Whereas most data-assimilation techniques require a large number of evaluations of the forward-simulations and are therefore very expensive, the approach proposed in this work uniquely has the same cost as a single forward run. However, the question arises: what is the statistical model implied by this choice? We answer this within the Bayesian framework, establishing the latent background covariance model and the likelihood. Further we demonstrate that - in the linear case - the method is equivalent to application of the Kalman filter, and derive the posterior covariance. We practically demonstrate the capabilities of our method on a backward-facing step case. Our LSFEM formulation (without data) is shown to have good approximation quality, even on relatively coarse meshes - in particular with respect to mass-conservation and reattachment location. Adding limited velocity measurements from experiment, we show that the method is able to correct for discretization error on very coarse meshes, as well as correct for the influence of unknown and uncertain boundary-conditions.
This paper has been withdrawn by the authors for adding some results.
Data assimilation methodologies are designed to incorporate noisy observations of a physical system into an underlying model in order to infer the properties of the state of the system. Filters refer to a class of data assimilation algorithms designed to update the estimation of the state as data is acquired sequentially. For linear problems subject to Gaussian noise filtering can be performed exactly using the Kalman filter. For nonlinear systems it can be approximated in a systematic way by particle filters. However in high dimensions these particle filtering methods can break down. Hence, for the large nonlinear systems arising in applications such as oceanography and weather forecasting, various ad hoc filters are used, based on Gaussian approximations. In this work, we study the accuracy and stability of these ad hoc filters in the context of the 2D incompressible Navier-Stokes equation. The ideas readily generalize to a range of dissipative partial differential equations (PDEs). By working in this infinite dimensional setting we provide an analysis which is useful for the understanding of high dimensional filtering, and is robust to mesh-refinement. We describe theoretical results showing that, in the small observational noise limit, the filters can be tuned to perform accurately in tracking the signal itself (filter accuracy), provided the system is observed in a sufficiently large low dimensional space; roughly speaking this space should be large enough to contain the unstable modes of the linearized dynamics. The tuning corresponds to what is known as variance inflation in the applied literature. Numerical results are given which illustrate the theory. The positive results herein concerning filter stability complement recent numerical studies which demonstrate that the ad hoc filters can perform poorly in reproducing statistical variation about the true signal.
We prove a weak stability result for the three-dimensional homogeneous incompressible Navier-Stokes system. More precisely, we investigate the following problem : if a sequence $(u_{0, n})_{nin N}$ of initial data, bounded in some scaling invariant space, converges weakly to an initial data $u_0$ which generates a global regular solution, does $u_{0, n}$ generate a global regular solution ? A positive answer in general to this question would imply global regularity for any data, through the following examples $u_{0,n} = n vf_0(ncdot)$ or $u_{0,n} = vf_0(cdot-x_n)$ with $|x_n|to infty$. We therefore introduce a new concept of weak convergence (rescaled weak convergence) under which we are able to give a positive answer. The proof relies on profile decompositions in anisotropic spaces and their propagation by the Navier-Stokes equations.