Sequential Markov Chain Monte Carlo for Lagrangian Data Assimilation with Applications to Unknown Data Locations

Abstract

We consider a class of high-dimensional spatial filtering problems, where the spatial locations of observations are unknown and driven by the partially observed hidden signal. This problem is exceptionally challenging as not only is high-dimensional, but the model for the signal yields longer-range time dependencies through the observation locations. Motivated by this model we revisit a lesser-known and \emph{provably convergent} computational methodology from \cite{berzuini, cent, martin} that uses sequential Markov Chain Monte Carlo (MCMC) chains. We extend this methodology for data filtering problems with unknown observation locations. We benchmark our algorithms on Linear Gaussian state space models against competing ensemble methods and demonstrate a significant improvement in both execution speed and accuracy. Finally, we implement a realistic case study on a high-dimensional rotating shallow water model (of about $10^4-10^5$ dimensions) with real and synthetic data. The data is provided by the National Oceanic and Atmospheric Administration (NOAA) and contains observations from ocean drifters in a domain of the Atlantic Ocean restricted to the longitude and latitude intervals $[-51^{\circ}, -41^{\circ}]$, $[17^{\circ}, 27^{\circ}]$ respectively.