Multivariate extensions of the Multilevel Best Linear Unbiased Estimator for ensemble-variational data assimilation
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arXiv
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| Format: | Preprint |
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2023
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| _version_ | 1866910600254193664 |
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| author | Destouches, Mayeul Mycek, Paul Gürol, Selime |
| author_facet | Destouches, Mayeul Mycek, Paul Gürol, Selime |
| contents | Multilevel estimators aim at reducing the variance of Monte Carlo statistical estimators, by combining samples generated with simulators of different costs and accuracies. In particular, the recent work of Schaden and Ullmann (2020) on the multilevel best linear unbiased estimator (MLBLUE) introduces a framework unifying several multilevel and multifidelity techniques. The MLBLUE is reintroduced here using a variance minimization approach rather than the regression approach of Schaden and Ullmann. We then discuss possible extensions of the scalar MLBLUE to a multidimensional setting, i.e. from the expectation of scalar random variables to the expectation of random vectors. Several estimators of increasing complexity are proposed: a) multilevel estimators with scalar weights, b) with element-wise weights, c) with spectral weights and d) with general matrix weights. The computational cost of each method is discussed. We finally extend the MLBLUE to the estimation of second-order moments in the multidimensional case, i.e. to the estimation of covariance matrices. The multilevel estimators proposed are d) a multilevel estimator with scalar weights and e) with element-wise weights. In large-dimension applications such as data assimilation for geosciences, the latter estimator is computationnally unaffordable. As a remedy, we also propose f) a multilevel covariance matrix estimator with optimal multilevel localization, inspired by the optimal localization theory of Ménétrier and Auligné (2015). Some practical details on weighted MLMC estimators of covariance matrices are given in appendix. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2306_07017 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Multivariate extensions of the Multilevel Best Linear Unbiased Estimator for ensemble-variational data assimilation Destouches, Mayeul Mycek, Paul Gürol, Selime Methodology Data Analysis, Statistics and Probability Multilevel estimators aim at reducing the variance of Monte Carlo statistical estimators, by combining samples generated with simulators of different costs and accuracies. In particular, the recent work of Schaden and Ullmann (2020) on the multilevel best linear unbiased estimator (MLBLUE) introduces a framework unifying several multilevel and multifidelity techniques. The MLBLUE is reintroduced here using a variance minimization approach rather than the regression approach of Schaden and Ullmann. We then discuss possible extensions of the scalar MLBLUE to a multidimensional setting, i.e. from the expectation of scalar random variables to the expectation of random vectors. Several estimators of increasing complexity are proposed: a) multilevel estimators with scalar weights, b) with element-wise weights, c) with spectral weights and d) with general matrix weights. The computational cost of each method is discussed. We finally extend the MLBLUE to the estimation of second-order moments in the multidimensional case, i.e. to the estimation of covariance matrices. The multilevel estimators proposed are d) a multilevel estimator with scalar weights and e) with element-wise weights. In large-dimension applications such as data assimilation for geosciences, the latter estimator is computationnally unaffordable. As a remedy, we also propose f) a multilevel covariance matrix estimator with optimal multilevel localization, inspired by the optimal localization theory of Ménétrier and Auligné (2015). Some practical details on weighted MLMC estimators of covariance matrices are given in appendix. |
| title | Multivariate extensions of the Multilevel Best Linear Unbiased Estimator for ensemble-variational data assimilation |
| topic | Methodology Data Analysis, Statistics and Probability |
| url | https://arxiv.org/abs/2306.07017 |