Technical note: Posterior uncertainty estimation via a Monte Carlo procedure specialized for 4D-Var data assimilation

Author:

Stanley MichaelORCID,Kuusela MikaelORCID,Byrne BrendanORCID,Liu JunjieORCID

Abstract

Abstract. Through the Bayesian lens of four-dimensional variational (4D-Var) data assimilation, uncertainty in model parameters is traditionally quantified through the posterior covariance matrix. However, in modern settings involving high-dimensional and computationally expensive forward models, posterior covariance knowledge must be relaxed to deterministic or stochastic approximations. In the carbon flux inversion literature, (Chevallier et al., 2007) proposed a stochastic method capable of approximating posterior variances of linear functionals of the model parameters that is particularly well suited for large-scale Earth-system 4D-Var data assimilation tasks. This note formalizes this algorithm and clarifies its properties. We provide a formal statement of the algorithm, demonstrate why it converges to the desired posterior variance quantity of interest, and provide additional uncertainty quantification allowing incorporation of the Monte Carlo sampling uncertainty into the method's Bayesian credible intervals. The methodology is demonstrated using toy simulations and a realistic carbon flux inversion observing system simulation experiment.

Funder

National Science Foundation

Jet Propulsion Laboratory

C3.ai Digital Transformation Institute

National Aeronautics and Space Administration

Publisher

Copernicus GmbH

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