13.8. Calculation algorithm “ExtendedBlue

13.8.1. Description

This algorithm realizes an extended BLUE (Best Linear Unbiased Estimator) type estimation of the state of a system.

This algorithm is a partially non-linear generalization of a Calculation algorithm “Blue”. It is equivalent for a linear observation operator. One can verify the linearity of the observation operator with the help of a Checking algorithm “LinearityTest”.

In case of non-linearity, its results are close to a Calculation algorithm “3DVAR”, without being entirely equivalent.

This mono-objective optimization algorithm is naturally written for a single estimate, without any dynamic or iterative notion (there is no need in this case for an incremental evolution operator, nor for an evolution error covariance). In ADAO, it can also be used on a succession of observations, placing the estimate in a recursive framework partly similar to a Calculation algorithm “KalmanFilter”. A standard estimate is made at each observation step on the state predicted by the incremental evolution model, knowing that the state error covariance remains the background covariance initially provided by the user. To be explicit, unlike Kalman-type filters, the state error covariance is not updated.

13.8.2. Optional and required commands

The general required commands, available in the editing user graphical or textual interface, are the following:

Background

Vector. The variable indicates the background or initial vector used, previously noted as \mathbf{x}^b. Its value is defined as a “Vector” or “VectorSerie” type object. Its availability in output is conditioned by the boolean “Stored” associated with input.

BackgroundError

Matrix. This indicates the background error covariance matrix, previously noted as \mathbf{B}. Its value is defined as a “Matrix” type object, a “ScalarSparseMatrix” type object, or a “DiagonalSparseMatrix” type object, as described in detail in the section Requirements to describe covariance matrices. Its availability in output is conditioned by the boolean “Stored” associated with input.

Observation

List of vectors. The variable indicates the observation vector used for data assimilation or optimization, and usually noted \mathbf{y}^o. Its value is defined as an object of type “Vector” if it is a single observation (temporal or not) or “VectorSeries” if it is a succession of observations. Its availability in output is conditioned by the boolean “Stored” associated in input.

ObservationError

Matrix. The variable indicates the observation error covariance matrix, usually noted as \mathbf{R}. It is defined as a “Matrix” type object, a “ScalarSparseMatrix” type object, or a “DiagonalSparseMatrix” type object, as described in detail in the section Requirements to describe covariance matrices. Its availability in output is conditioned by the boolean “Stored” associated with input.

ObservationOperator

Operator. The variable indicates the observation operator, usually noted as H, which transforms the input parameters \mathbf{x} to results \mathbf{y} to be compared to observations \mathbf{y}^o. Its value is defined as a “Function” type object or a “Matrix” type one. In the case of “Function” type, different functional forms can be used, as described in the section Requirements for functions describing an operator. If there is some control U included in the observation, the operator has to be applied to a pair (X,U).

The general optional commands, available in the editing user graphical or textual interface, are indicated in List of commands and keywords for data assimilation or optimization case. Moreover, the parameters of the command “AlgorithmParameters” allows to choose the specific options, described hereafter, of the algorithm. See Description of options of an algorithm by “AlgorithmParameters” for the good use of this command.

The options are the following:

EstimationOf

Predefined name. This key allows to choose the type of estimation to be performed. It can be either state-estimation, with a value of “State”, or parameter-estimation, with a value of “Parameters”. The default choice is “Parameters”.

Example: {"EstimationOf":"Parameters"}

NumberOfSamplesForQuantiles

Integer value. This key indicates the number of simulation to be done in order to estimate the quantiles. This option is useful only if the supplementary calculation “SimulationQuantiles” has been chosen. The default is 100, which is often sufficient for correct estimation of common quantiles at 5%, 10%, 90% or 95%.

Example: {"NumberOfSamplesForQuantiles":100}

Quantiles

List of real values. This list indicates the values of quantile, between 0 and 1, to be estimated by simulation around the optimal state. The sampling uses a multivariate Gaussian random sampling, directed by the a posteriori covariance matrix. This option is useful only if the supplementary calculation “SimulationQuantiles” has been chosen. The default is a void list.

Example: {"Quantiles":[0.1,0.9]}

SetSeed

Integer value. This key allow to give an integer in order to fix the seed of the random generator used in the algorithm. By default, the seed is left uninitialized, and so use the default initialization from the computer, which then change at each study. To ensure the reproducibility of results involving random samples, it is strongly advised to initialize the seed. A simple convenient value is for example 123456789. It is recommended to put an integer with more than 6 or 7 digits to properly initialize the random generator.

Example: {"SetSeed":123456789}

SimulationForQuantiles

Predefined name. This key indicates the type of simulation, linear (with the tangent observation operator applied to perturbation increments around the optimal state) or non-linear (with standard observation operator applied to perturbed states), one want to do for each perturbation. It changes mainly the time of each elementary calculation, usually longer in non-linear than in linear. This option is useful only if the supplementary calculation “SimulationQuantiles” has been chosen. The default value is “Linear”, and the possible choices are “Linear” and “NonLinear”.

Example: {"SimulationForQuantiles":"Linear"}

StateBoundsForQuantiles

List of pairs of real values. This key allows to define pairs of upper and lower bounds for every state variable used for quantile simulations. Bounds have to be given by a list of list of pairs of lower/upper bounds for each variable, with possibly None every time there is no bound.

If these bounds are not defined for quantile simulation and if optimization bounds are defined, they are used for quantile simulation. If these bounds for quantile simulation are defined, they are used regardless of the optimization bounds defined. If this variable is set to None, then no bounds are used for the states used in the quantile simulation regardless of the optimization bounds defined.

Example : {"StateBoundsForQuantiles":[[2.,5.],[1.e-2,10.],[-30.,None],[None,None]]}

StoreSupplementaryCalculations

List of names. This list indicates the names of the supplementary variables, that can be available during or at the end of the algorithm, if they are initially required by the user. Their availability involves, potentially, costly calculations or memory consumptions. The default is then a void list, none of these variables being calculated and stored by default (excepted the unconditional variables). The possible names are in the following list (the detailed description of each named variable is given in the following part of this specific algorithmic documentation, in the sub-section “Information and variables available at the end of the algorithm”): [ “Analysis”, “APosterioriCorrelations”, “APosterioriCovariance”, “APosterioriStandardDeviations”, “APosterioriVariances”, “BMA”, “CostFunctionJ”, “CostFunctionJAtCurrentOptimum”, “CostFunctionJb”, “CostFunctionJbAtCurrentOptimum”, “CostFunctionJo”, “CostFunctionJoAtCurrentOptimum”, “CurrentOptimum”, “CurrentState”, “CurrentStepNumber”, “ForecastState”, “Innovation”, “InnovationAtCurrentAnalysis”, “MahalanobisConsistency”, “OMA”, “OMB”, “SampledStateForQuantiles”, “SigmaBck2”, “SigmaObs2”, “SimulatedObservationAtBackground”, “SimulatedObservationAtCurrentOptimum”, “SimulatedObservationAtCurrentState”, “SimulatedObservationAtOptimum”, “SimulationQuantiles”, ].

Example : {"StoreSupplementaryCalculations":["CurrentState", "Residu"]}

13.8.3. Information and variables available at the end of the algorithm

At the output, after executing the algorithm, there are information and variables originating from the calculation. The description of Variables and information available at the output show the way to obtain them by the method named get, of the variable “ADD” of the post-processing in graphical interface, or of the case in textual interface. The input variables, available to the user at the output in order to facilitate the writing of post-processing procedures, are described in the Inventory of potentially available information at the output.

Permanent outputs (non conditional)

The unconditional outputs of the algorithm are the following:

Analysis

List of vectors. Each element of this variable is an optimal state \mathbf{x}^* in optimization, an interpolate or an analysis \mathbf{x}^a in data assimilation.

Example: xa = ADD.get("Analysis")[-1]

Set of on-demand outputs (conditional or not)

The whole set of algorithm outputs (conditional or not), sorted by alphabetical order, is the following:

Analysis

List of vectors. Each element of this variable is an optimal state \mathbf{x}^* in optimization, an interpolate or an analysis \mathbf{x}^a in data assimilation.

Example: xa = ADD.get("Analysis")[-1]

APosterioriCorrelations

List of matrices. Each element is an a posteriori error correlations matrix of the optimal state, coming from the \mathbf{A} covariance matrix. In order to get them, this a posteriori error covariances calculation has to be requested at the same time.

Example: apc = ADD.get("APosterioriCorrelations")[-1]

APosterioriCovariance

List of matrices. Each element is an a posteriori error covariance matrix \mathbf{A} of the optimal state.

Example: apc = ADD.get("APosterioriCovariance")[-1]

APosterioriStandardDeviations

List of matrices. Each element is an a posteriori error standard errors diagonal matrix of the optimal state, coming from the \mathbf{A} covariance matrix. In order to get them, this a posteriori error covariances calculation has to be requested at the same time.

Example: aps = ADD.get("APosterioriStandardDeviations")[-1]

APosterioriVariances

List of matrices. Each element is an a posteriori error variance errors diagonal matrix of the optimal state, coming from the \mathbf{A} covariance matrix. In order to get them, this a posteriori error covariances calculation has to be requested at the same time.

Example: apv = ADD.get("APosterioriVariances")[-1]

BMA

List of vectors. Each element is a vector of difference between the background and the optimal state.

Example: bma = ADD.get("BMA")[-1]

CostFunctionJ

List of values. Each element is a value of the chosen error function J.

Example: J = ADD.get("CostFunctionJ")[:]

CostFunctionJAtCurrentOptimum

List of values. Each element is a value of the error function J. At each step, the value corresponds to the optimal state found from the beginning.

Example: JACO = ADD.get("CostFunctionJAtCurrentOptimum")[:]

CostFunctionJb

List of values. Each element is a value of the error function J^b, that is of the background difference part. If this part does not exist in the error function, its value is zero.

Example: Jb = ADD.get("CostFunctionJb")[:]

CostFunctionJbAtCurrentOptimum

List of values. Each element is a value of the error function J^b. At each step, the value corresponds to the optimal state found from the beginning. If this part does not exist in the error function, its value is zero.

Example: JbACO = ADD.get("CostFunctionJbAtCurrentOptimum")[:]

CostFunctionJo

List of values. Each element is a value of the error function J^o, that is of the observation difference part.

Example: Jo = ADD.get("CostFunctionJo")[:]

CostFunctionJoAtCurrentOptimum

List of values. Each element is a value of the error function J^o, that is of the observation difference part. At each step, the value corresponds to the optimal state found from the beginning.

Example: JoACO = ADD.get("CostFunctionJoAtCurrentOptimum")[:]

CurrentOptimum

List of vectors. Each element is the optimal state obtained at the usual step of the iterative algorithm procedure of the optimization algorithm. It is not necessarily the last state.

Example: xo = ADD.get("CurrentOptimum")[:]

CurrentState

List of vectors. Each element is a usual state vector used during the iterative algorithm procedure.

Example: xs = ADD.get("CurrentState")[:]

CurrentStepNumber

List of integers. Each element is the index of the current step in the iterative process, driven by the series of observations, of the algorithm used. This corresponds to the observation step used. Note: it is not the index of the current iteration of the algorithm even if it coincides for non-iterative algorithms.

Example: csn = ADD.get("CurrentStepNumber")[-1]

ForecastState

List of vectors. Each element is a state vector forecasted by the model during the iterative algorithm procedure.

Example: xf = ADD.get("ForecastState")[:]

Innovation

List of vectors. Each element is an innovation vector, which is in static the difference between the optimal and the background, and in dynamic the evolution increment.

Example: d = ADD.get("Innovation")[-1]

InnovationAtCurrentAnalysis

List of vectors. Each element is an innovation vector at current analysis. This quantity is identical to the innovation vector at analysed state in the case of a single-state assimilation.

Example: da = ADD.get("InnovationAtCurrentAnalysis")[-1]

MahalanobisConsistency

List of values. Each element is a value of the Mahalanobis quality indicator.

Example: mc = ADD.get("MahalanobisConsistency")[-1]

OMA

List of vectors. Each element is a vector of difference between the observation and the optimal state in the observation space.

Example: oma = ADD.get("OMA")[-1]

OMB

List of vectors. Each element is a vector of difference between the observation and the background state in the observation space.

Example: omb = ADD.get("OMB")[-1]

SampledStateForQuantiles

List of vector series. Each element is a series of column state vectors, generated to estimate by simulation and/or observation the quantile values required by the user. There are as many states as the number of samples required for this quantile estimate.

Example : xq = ADD.get("SampledStateForQuantiles")[:]

SigmaBck2

List of values. Each element is a value of the quality indicator (\sigma^b)^2 of the background part.

Example: sb2 = ADD.get("SigmaBck")[-1]

SigmaObs2

List of values. Each element is a value of the quality indicator (\sigma^o)^2 of the observation part.

Example: so2 = ADD.get("SigmaObs")[-1]

SimulatedObservationAtBackground

List of vectors. Each element is a vector of observation simulated by the observation operator from the background \mathbf{x}^b. It is the forecast from the background, and it is sometimes called “Dry”.

Example: hxb = ADD.get("SimulatedObservationAtBackground")[-1]

SimulatedObservationAtCurrentOptimum

List of vectors. Each element is a vector of observation simulated from the optimal state obtained at the current step the optimization algorithm, that is, in the observation space.

Example: hxo = ADD.get("SimulatedObservationAtCurrentOptimum")[-1]

SimulatedObservationAtCurrentState

List of vectors. Each element is an observed vector simulated by the observation operator from the current state, that is, in the observation space.

Example: hxs = ADD.get("SimulatedObservationAtCurrentState")[-1]

SimulatedObservationAtOptimum

List of vectors. Each element is a vector of observation obtained by the observation operator from simulation on the analysis or optimal state \mathbf{x}^a. It is the observed forecast from the analysis or the optimal state, and it is sometimes called “Forecast”.

Example: hxa = ADD.get("SimulatedObservationAtOptimum")[-1]

SimulationQuantiles

List of vector series. Each element is a series of observation column vectors, corresponding, for a particular quantile required by the user, to the observed state that achieves the requested quantile. Each observation column vector is rendered in the same order as the quantile values required by the user.

Example: sQuantiles = ADD.get("SimulationQuantiles")[:]

13.8.4. Python (TUI) use examples

Here is one or more very simple examples of the proposed algorithm and its parameters, written in [DocR] Textual User Interface for ADAO (TUI/API). Moreover, when it is possible, the information given as input also allows to define an equivalent case in [DocR] Graphical User Interface for ADAO (GUI/EFICAS).

This example describes the interpolation between two physical states. These two vector fields, of identical discretization, are the observation \mathbf{y}^o and the background state \mathbf{x}^b. The confidence in errors on the two information are considered identical. The H model fully observe the available field, it is a matrix selection operator.

The interpolated resulting field is simply the “middle” between the two fields, with an increased confidence (that is, a smaller variance) on the errors.

# -*- coding: utf-8 -*-
#
from numpy import array, ravel
from adao import adaoBuilder
case = adaoBuilder.New()
case.setBackground( Vector = array([0., 1., 2.]), Stored=True )
case.setBackgroundError( ScalarSparseMatrix = 1. )
case.setObservation( Vector = array([10., 11., 12.]), Stored=True )
case.setObservationError( ScalarSparseMatrix = 1. )
case.setObservationOperator( Matrix = array([[1., 0., 0.],
                                             [0., 1., 0.],
                                             [0., 0., 1.]]), )
case.setAlgorithmParameters(
    Algorithm='ExtendedBlue',
    Parameters={
        'StoreSupplementaryCalculations': [
            'APosterioriCovariance',
            ],
        },
    )
case.execute()
#
#-------------------------------------------------------------------------------
#
print("Interpolation between two vectors, of observation and background")
print("----------------------------------------------------------------")
print("")
print("Observation vector............:", ravel(case.get('Observation')))
print("A priori background vector....:", ravel(case.get('Background')))
print("")
print("Expected theoretical state....:", ravel([5., 6., 7.]))
print("")
print("Interpolation result..........:", ravel(case.get('Analysis')[-1]))
print("A posteriori covariance.......:\n", case.get('APosterioriCovariance')[-1])

The execution result is the following:

Interpolation between two vectors, of observation and background
----------------------------------------------------------------

Observation vector............: [10. 11. 12.]
A priori background vector....: [0. 1. 2.]

Expected theoretical state....: [5. 6. 7.]

Interpolation result..........: [5. 6. 7.]
A posteriori covariance.......:
 [[0.5 0.  0. ]
 [0.  0.5 0. ]
 [0.  0.  0.5]]