On the consistency of the local ensemble square root Kalman filter perturbation update

Abstract

We examine the perturbation update step of the ensemble Kalman filters which rely on covariance localisation, and hence have the ability to assimilate non-local observations in geophysical models. We show that the updated perturbations of these ensemble filters are not to be identified with the main empirical orthogonal functions of the analysis covariance matrix, in contrast with the updated perturbations of the local ensemble transform Kalman filter (LETKF). Building on that evidence, we propose a new scheme to update the perturbations of a local ensemble square root Kalman filter (LEnSRF) with the goal to minimise the discrepancy between the analysis covariances and the sample covariances regularised by covariance localisation. The scheme has the potential to be more consistent and to generate updated members closer to the model’s attractor (showing fewer imbalances). We show how to solve the corresponding optimisation problem and discuss its numerical complexity. The qualitative properties of the perturbations generated from this new scheme are illustrated using a simple one-dimensional covariance model. Moreover, we demonstrate on the discrete Lorenz–96 and continuous Kuramoto–Sivashinsky one-dimensional low-order models that the new scheme requires significantly less, and possibly none, multiplicative inflation needed to counteract imbalance, compared to the LETKF and the LEnSRF without the new scheme. Finally, we notice a gain in accuracy of the new LEnSRF as measured by the analysis and forecast root mean square errors, despite using well-tuned configurations where such gain is very difficult to obtain.