An adaptive hierarchical ensemble Kalman filter with reduced basis models

Abstract: The use of model order reduction techniques in combination with ensemble-based methods for estimating the state of systems described by nonlinear partial differential equations has been of great interest in recent years in the data assimilation community. Methods such as the multi-fidelity ensemble Kalman filter (MF-EnKF) and the multi-level ensemble Kalman filter (ML-EnKF) are recognized as state-of-the-art techniques. However, in many cases, the construction of low-fidelity models in an offline stage, before solving the data assimilation problem, prevents them from being both accurate and computationally efficient. In our work, we investigate the use of adaptive reduced basis techniques in which the approximation space is modified online based on the information that is extracted from a limited number of full order solutions and that is carried by the past models. This allows to simultaneously ensure good accuracy and low cost for the employed models and thus improve the performance of the multi-fidelity and multi-level methods.