Continuum covariance propagation for understanding variance loss in advective systems

At the heart of modern data assimilation schemes is covariance propagation.Loss of variance experienced in large-scale applications such as numerical weather prediction is problematic, and the development of auxiliary methods to mitigate this issue is an active research area. The focus of this work is to understand the root causes of variance loss and show that for advective dynamics, the covariance propagation by itself typically causes significant, spurious loss of variance, even at full rank.

To demonstrate this, we first study continuum covariance propagation by analyzing the covariance evolution equation for advective dynamics. The behavior of this evolution equation changes abruptly as the correlation length tends to zero, for example in the vicinity of sharp gradients in the advection field. This happens because the diagonal of the kernel of the covariance operator is a characteristic surface for advective dynamics. Our numerical experiments then confirm that the variance lost during numerical propagation greatly exceeds that due to numerical dissipation alone. The variance loss is driven primarily by inaccurate variance propagation resulting from standard, full-rank covariance propagation schemes, which have difficulty capturing the abrupt change in dynamics as the correlation length tends to zero. These results suggest that developing local covariance propagation methods may prove useful in ameliorating the variance loss observed in data assimilation schemes