Time-limited Balanced Truncation for Data Assimilation Problems

Balanced truncation is a well-established model order reduction method in system theory that has been applied to a variety of problems. Recently, a connection between linear Gaussian Bayesian inference problems and the system theoretic concept of balanced truncation was drawn for the first time. Although this connection is new, the application of balanced truncation to data assimilation is not a novel concept: It has already been used in four-dimensional variational data assimilation (4D-Var) in its discrete formulation. In this paper, the link between system theory and data assimilation is further strengthened by discussing the application of balanced truncation to standard linear Gaussian Bayesian inference, and, in particular, the 4D-Var method. Similarities between both data assimilation problems allow a discussion of established methods as well as a generalisation of the state-of-the-art approach to arbitrary prior covariances as reachability Gramians. Furthermore, we propose an enhanced approach using time-limited balanced truncation that allows to balance Bayesian inference for unstable systems and in addition improves the numerical results for short observation periods.