Continuum Covariance Propagation for Understanding Variance Loss in Advective Systems
Motivated by the spurious variance loss encountered during covariance propagation in atmospheric and other large-scale data assimilation systems, we consider the problem for state dynamics governed by the continuity and related hyperbolic partial differential equations. This loss of variance has been attributed to reduced-rank representations of the covariance matrix, as in ensemble methods for example, or else to the use of dissipative numerical methods. Through a combination of analytical work and numerical experiments, we demonstrate that significant variance loss, as well as gain, typically occurs during covariance propagation, even at full rank. The cause of this unusual behavior is a discontinuous change in the continuum covariance dynamics as correlation lengths become small, for instance in the vicinity of sharp gradients in the velocity field. This discontinuity in the covariance dynamics arises from hyperbolicity: the diagonal of the kernel of the covariance operator is a characteristic surface for advective dynamics. Our numerical experiments demonstrate that standard numerical methods for evolving the state are not adequate for propagating the covariance, because16they do not capture the discontinuity in the continuum covariance dynamics as correlations lengths tend to zero. Our analytical and numerical results show that this leads to significant, spurious variance loss in certain regions, and gain in others. The results suggest that developing local covariance propagation methods designed specifically to capture covariance evolution near the diagonal may prove a useful alternative to current methods of covariance propagation.