Ocean Dynamics (2006) 56: 650–661
DOI 10.1007/s10236-006-0080-3
Pierre Brasseur . Jacques Verron
The SEEK filter method for data assimilation in oceanography:
a synthesis
Received: 26 July 2005 / Accepted: 31 March 2006 / Published online: 1 August 2006
# Springer-Verlag 2006
Abstract This paper reviews the developments of the
singular evolutive extended Kalman (SEEK) filter method
used for data assimilation in oceanography, since the
original paper by Pham et al. (J Mar Syst 16:3–4, 323–
340 1998a). First, a short review is presented of the
context of data assimilation in oceanography and of the
variety of numerical ocean codes and configurations in
which the SEEK filter has been implemented using
different data sets for assimilation. Then, the paper
provides an exposition of the different versions of the
SEEK filter developed during the past 10 years and
discusses their relative merits for scientific or operational
implementations. A classification of the algorithmic
variants is proposed, and several possible improvements
of the generic methodology are mentioned in the
perspective of new assimilation challenges.
Keywords Data assimilation . Statistical estimation .
Kalman filter . Ocean circulation
1 Introduction
The objective of this paper is to synthesize the develop-
ments that have been realized for 10 years with the singular
evolutive extended Kalman (SEEK) filter for solving
several problems of data assimilation in oceanography.
The recent progress of data assimilation in oceanography is
strongly linked to the context of oceanic observations,
more especially of satellite oceanography, and to the
development of ocean modelling, and particularly of eddy-
resolving ocean models.
Responsible editor: Lee-Lueng Fu
P. Brasseur (*) . J. Verron
Laboratoire des Ecoulements Géophysiques et Industriels,
UMR 5519 CNRS/INPG/UJF, BP 53,
Grenoble Cedex 9, 38041, France
e-mail: Pierre.Brasseur@hmg.inpg.fr
Tel.: +33-476825072
Fax: +33-476825271
The arrival of satellite oceanography during the past
decades has drastically changed our perception of the
ocean circulation. Satellite altimetry has been emblematic
in providing oceanographers with the tools needed to
monitor the dynamical properties of the ocean circulation
globally, at scales that are inaccessible by conventional in
situ instruments. The importance of mesoscale processes,
which was first suggested by field campaigns and
numerical models, was confirmed by measuring undula-
tions of the sea-surface topography from space. The
improvement of altimeter measurements provided by the
Topex/Poseidon mission has opened new prospects, with
eddy-resolving ocean circulation models capable of
assimilating observations of sea-level anomalies (SLA).
Other quantities, such as sea-surface temperature (SST)
data and in situ measurements of the temperature and
salinity in the ocean’s interior, broadens the observational
basis required to effectively interface models with data and
envisage operational ocean predictions via data assimila-
tion. Recent missions, which estimate the chlorophyll
content through ocean color remote sensing, enlarge again
the prospects from physical models to biogeochemical
models and of their coupling.
The assimilation problem involves both stochastic and
deterministic aspects. On the one hand, the models are
derived from basic physical principles, which should be
properly accounted for by the assimilation process. On the
other hand, they are subject to uncertainties of various
forms, which can only be described statistically. The
question of the dominant activity of turbulent processes in
the ocean, their nondeterministic nature, and the interac-
tions between mesoscale and large-scale circulation has
been a central issue for ocean data assimilation research
(De Mey 1997). To produce reliable forecasts of the
mesoscale ocean currents, circulation models must be
initialized with conditions that represent as accurately as
possible the actual state of the ocean at eddy-resolving
resolution. Due to the nonlinear properties of ocean
dynamics, the forecast ranges cannot be extended beyond
the limit of system’s predictability and the models must be
reinitialized intermittently by correcting the forecasts with

the most recent observations. Nonlinearity is, thus, a major
obstacle that prevents four-dimensional assimilation to be
treated without dividing the global problem into subprob-
lems along the temporal dimension. Statistical as well as
variational methods can be used to optimally combine data
with model solutions over temporal intervals that are short
enough to permit linearization of the dynamics. Luong et
al. (1998) proposed different temporal strategies to
sequentially assimilate altimeter data in a quasigeostrophic
model of the ocean circulation at midlatitudes using a
variational method.
The conceptual framework, to which the SEEK filter
belongs, is the optimal statistical estimation theory.
Compared with approaches such as the 4D-VAR however,
statistical estimation methods require less initial investment
in terms of coding and are naturally designed to incorporate
gradual developments. This is one of several reasons why
most assimilation methods initially implemented in opera-
tional forecasting systems are inspired by the statistical
approach. Suboptimal methods, like the nudging or the
Optimal Interpolation (OI), have been widely used mainly
because of their simplicity, robustness, and efficiency
properties (Verron 1992). Simplified representations of the
prior error structures are often adopted in OI schemes, for
instance by assuming that the error correlations can be
separated into a product of horizontal and vertical
contributions (De Mey and Benkiran 2002). Two recog-
nized limitations of OI implementations are the need for
external specifications of the error statistics and the
difficulty to conciliate the parameterization of uncertainty
with the model physics. The specification of multivariate
error statistics is a particularly delicate process, which
complicates the generalization of a given OI scheme to new
models and data types. These difficulties have motivated
the developments of more fundamental approaches com-
patible with ocean circulation models of various types, and
more specifically with primitive equation (PE) models.
The SEEK filter is an advanced assimilation method
which has been designed to dynamical systems of very
large dimension. Being derived from the Kalman filter
theory, the scheme is sequential and fully multivariate by
nature. The algorithm can be easily adapted to new data
types and model formulations without the need of complex
developments. A number of implementations have been set
up with different numerical ocean models assimilating a
variety of data types. The essence of the method was
primarily elaborated with an idealized quasigeostrophic
model of the mesoscale ocean circulation at midlatitudes
(Pham et al. 1998a). The dynamics of this model is
imprinted by nonlinear effects, leading to finite predict-
ability time scales. Twin experiments were performed to
demonstrate the capacity of the SEEK filter to control the
nonlinear evolution of the flow field through intermittent
assimilation. The question of nonlinearity in sequential
assimilation schemes was investigated further by Carme et
al. (2001), who studied the properties of the SEEK filter in
even more chaotic conditions using the Lorenz model.
The SEEK filter was then applied to idealized PE models
of the Gulf Stream system to investigate the reconstruction of
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the mesoscale ocean circulation from altimeter data.
Ballabrera et al. (2001) explored the capacity of the SEEK
filter to dynamically propagate the error statistics in twin
experiments, assimilating pseudo-measurements of sea-level
anomalies. Their work emphasized the need to properly
initialize the error statistics propagated by the filter,
especially in the context of turbulent regimes. Using a
similar setup of the Miami Isopycnic Coordinate Ocean
Model (MICOM), Brasseur et al. (1999) developed an
adaptive SEEK filter which was able to learn the structure of
the error from the residual innovation, in situations where the
error statistics was poorly specified at the initial time.
A first realistic application was carried out in the Gent
and Cane (1989) reduced-gravity PE model of the tropical
Pacific Ocean, with the objective to analyse the interannual
variability of the circulation in connection with El Ninõ
events (Verron et al. 1999). The assimilation of Topex/
Poseidon data was shown particularly effective in con-
straining the thermal and velocity profiles in the upper 300
to 400 m of the ocean. A reconstruction of the tropical
Pacific circulation during the 1992–1996 period was
carried out by Gourdeau et al. (1999) using the same
model and assimilation method, investigating the physical
mechanisms responsible for the warm pool replenishment
and depletion.
In parallel to these developments, the SEEK filter was
implemented in the OPA PE model (Testut et al. 2003). In
a regional configuration of the Tropical Pacific ocean,
Parent et al. (2003) assimilated altimeter data during
the 1993–1998 period and investigated the skill of the
assimilation to improve the representation of the 1997/
1998 El Ninõ event. A similar system was used by Durand
et al. (2002) to explore the benefit expected from the
assimilation of sea-surface salinity data simulating the
forthcoming soil moisture and ocean salinity (SMOS)
ESA mission. This work was extended further by taking
advantage of sea-surface temperature and velocity data in
complement to sea-surface salinity data to improve the
reconstruction of the mixed layer characteristics (Durand
et al. 2003).
Testut et al. (2003) developed the prototype of an
operational system based on the SEEK filter and a North
Atlantic OPA model at 1/3o resolution assimilating sea-
level anomalies and sea-surface temperature data simul-
taneously. A reanalysis of the North Atlantic circulation
was performed with this system for the time period
1993–1999, and the dynamics of the Gulf Stream was
studied in detail showing different variability patterns
upstream and downstream of the New England Sea-
mounts (Berline et al. 2006). In a 1/3o model of the
South Atlantic basin, Penduff et al. (2002) used a similar
version of the SEEK filter to perform hindcast assimi-
lation experiments of the 1993–1996 period. The circu-
lation obtained by these experiments showed significant
improvements in the estimation of the mean state of the
circulation and the mesoscale variability, by comparison
with free model simulations.
The adaptation of the SEEK filter to PE models based on
vertical isopycnic coordinates is discussed by Brankart et al.
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(2003). An intercomparison exercise between the SEEK
filter and other ensemble-based assimilation methods was
conducted with an isopycnic MICOM model of the North
Atlantic at eddy-permitting resolution developed in the
E.U. DIADEM project (Brusdal et al. 2003). A hindcast
experiment was performed for the time period from July
until September 1996, when sea-level anomalies and sea-
surface temperature data were assimilated using the SEEK
filter, the ensemble Kalman filter (Evensen 1994, 2003)
and the ensemble Kalman smoother (Evensen and van
Leeuwen 2000). A conclusion of this work was that all
methods performed well enough to participate to the
development of operational ocean forecasting prototypes
and real-time demonstration experiments. In parallel to
those realistic applications, the SEEK filter was also used
with the MICOM model to assimilate measurements into
fluid dynamics laboratory experiments (Galmiche et al.
2006).
A number of applications were set up to conduct impact
studies devoted to new observing systems. In the frame-
work of the E.U. TOPAZ project, the SEEK methodology
was implemented in the HYbrid coordinate ocean model
(HYCOM) which is based on a vertical hybrid coordinate.
Assimilation experiments were performed in a 1/3o
HYCOM configuration of the North Atlantic to explore
the sensitivity of altimeter data assimilation to the mean
dynamic topography adopted for assimilating sea-level
anomalies (Birol et al. 2004). This element of the
assimilation process was shown particularly critical in
terms of the response of the ocean circulation, transport and
thermohaline fields. The TOPAZ prototype was then used
to evaluate the capacity of the system to assimilate absolute
altimetric data referenced to a “state of the art” geoid
derived from the gravimetric Gravity Recovery and
Climate Experiment (GRACE) mission (Birol et al.
2005). Even if the resolution and accuracy of the geoid
models available today are not yet sufficient to meet the
requirements of high-resolution studies, this work showed
the critical importance of future gravimetric programs such
as Gravity Field and Steady-State Ocean Circulation
Explorer (GOCE), in conjunction to altimetric missions.
Other developments of the SEEK filter have been
conducted with coupled physical-biogeochemical models.
The feasibility of assimilating ocean color data was
explored in a marine ecosystem model coupled to the
North Atlantic MICOM model of the DIADEM project
(Carmillet et al. 2001). Another application to coupled
physical-biological modelling was performed by Magri et
al. (2005) who investigated the assimilation of geochem-
ical data to control the seasonal evolution of ecological
conditions in the Ligurian Sea with a 1D vertical model. In
the context of the E.U. MFSPP project, Triantafyllou et al.
(2003) and Hoteit et al. (2004) implemented a SEEK filter
to assimilate oxygen and nitrate data in an ecosystem
model of the Cretan Sea forced by physical conditions
obtained from a general ocean circulation model. It was
found that, by using such an approach, oxygen and nitrate
data could significantly improve the performance of the
ecosystem model in the upper part of the water column.
In spite of a common methodological framework, the
assimilation schemes used in the studies mentioned above
are not identical, and a discussion of their differences is
worthwhile. The objective of this paper is to present the
variants of the SEEK filter using unified notations, and to
discuss some of the practical considerations that motivated
the development of these variants. In Section 2, a general
outline of the Kalman filter extended to nonlinear models is
given. Approaches to reduce the size of the assimilation
problem are described in Section 3. The baseline of the
SEEK filter is exposed in Section 4; we then discuss the
various possible methods to express the error statistics in a
subspace of small dimension, and we describe the
algorithmic reformulation of the forecast and analysis
steps permitted by low-rank covariance matrices. The
concept of adaptive filter is then briefly presented in
Section 5. Finally, a classification of the different variants
of the SEEK filter is proposed in Section 6, before
concluding the paper.
2 Baseline for sequential data assimilation
The search for optimality provides general guidelines for
the development of assimilation methods. Optimal
statistical estimation theories, and more specifically the
filtering approach, are well documented in the literature.
The Kalman filter (KF) provides a rigorous solution to the
best linear unbiased estimation (BLUE) problem in the
linear case. An extension of the KF to weakly nonlinear
problems has been derived (Jazwinski 1970), which is
known as the extended Kalman filter (EKF). The SEEK
filter, which has been developed in the context of ocean
data assimilation, is based on the EKF. In this section, we
introduce the basic assimilation problem in the state space
using the conventional notations proposed by Ide et al.
(1997).
The state vector x represents the minimum set of in-
dependent variables needed to describe the state of the system
at any time. A biological state vector would contain, for
instance, the concentration distributions of nutrients, plank-
ton, dissolved and particulate matter, etc. (Carmillet et al.
2001). In a (physical) numerical model of the primitive
equations, it typically contains the 3D-discretized tempera-
ture, salinity, zonal and meridional velocities, and the 2D sea-
surface height or barotropic streamfunction field computed
prognostically at every gridpoint of a finite-difference mesh.
The size of a PE state vector n is therefore approxi-
mately given by NX
NY
(NZ
4 variables þ 1 variable),
where NX , NY and NZ are the horizontal and vertical grid
dimensions. The length n of the state vector is typically
106 to 108 in scientific or operational applications.
Sequential data assimilation designates recursive
methods which aim at the estimation of the true state
vector at each time ti , using all the observations at

prior and present instants. Let xa ðti1 Þ be an estimate
about the true state of the system xt ðti1 Þ available at
time ti1 . The statistical distribution of the associated
error E a ðti1 Þ ¼ xa ðti1 Þ  xt ðti1 Þ is supposed to be
centered with a covariance noted Pa ðti1 Þ. The physical
system is described by
x ðti Þ ¼ M ðti1 ; ti Þx ðti1 Þ þ ηðti Þ
t t
(1)
where M ðti1 ; ti Þ is the model operator describing its
transition from time ti1 to time ti . Model errors ηðti Þ are
assumed to be centered and have a covariance matrix
Qðti Þ. They originate from the various physical para-
meterizations, the numerical discretizations, the atmo-
spheric forcings etc., and may be characterized by a
wide spectrum of space scales.
In the EKF, the state of the system at time ti is predicted
using the model
xf ðti Þ ¼ M ðti1 ; ti Þxa ðti1 Þ (2)
where xf ðti Þ designates the “forecast” state of the system
and E f ðti Þ ¼ xf ðti Þ  xt ðti Þ is the forecast error. A linear-
ization of the model evolution is performed to propagate the
error covariance as follows
Pf ðti Þ ¼ Mðti1; ti ÞPa ðti1 ÞMðti1; ti ÞT þ Qðti Þ (3)
where Mðti1; ti Þ is the gradient of M ðti1 ; ti Þ about
xa ðti1 Þ and T denotes the transpose. Equation 3 can be
interpreted as follows: the error on the initial state is
transformed during the forecast step by the model dynamics
(the error being amplified by unstable modes, while it is
damped by stable modes) and by the model imperfections
which increase the forecast error covariance.
At time ti, a set of observations is available noted in vector
form as
yoi ¼ Hi xt ðti Þ þ Ei (4)
where Hi is the observation operator and Ei the observation
error. The dimension d of the observational space is in
general much smaller than the dimension of the state vector.
The observation error Ei is assumed to be uncorrelated to
model errors, and to have a covariance matrix Ri . Ob-
servation errors have different possible sources. One is the
instrumental error, which can often be considered as spatially
uncorrelated. Another is the so-called “representativeness
error”, associated to variability described by the data at scales
that cannot be faithfully represented by the model grid. A
third source is the error associated to the mapping between
the model and the observation space. The spectral signature
of all these errors is mainly concentrated on the short scales,
and Ri is often approximated by a diagonal matrix.
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A linear combination of the forecast x f ðti Þ and obser-
vations yoi is performed as follows


xa ðti Þ ¼ xf ðti Þ þ Ki yoi  Hi x f ðti Þ (5)
where xa ðti Þ is the “analysis” state of the system. Ki is the
“Kalman gain” given by
Ki ¼ Pf ðti ÞHTi ½Hi Pf ðti ÞHTi þ Ri 1 (6)
where Hi is the gradient of Hi computed about x f ðti Þ. The
Kalman gain is determined by minimizing the variance of the
analysis error on xa ðti Þ. It can be interpreted as a ratio between
the error covariance of the forecast and the total error
covariance (the sum of the forecast and the observation error
covariance) projected in the observation space: the larger the
forecast errors, the larger the correction to the forecast. One
should note that the Kalman gain provides an optimal
combination of the forecast and observations (in the least-
squares sense) only if the distributions of x f and yo are
Gaussians.
In the limit of perfect observations (Ri  0) of the whole
state vector (Hi  IÞ, the Kalman gain matrix converges
towards the identity and the optimal estimate becomes a
perfect fit of the observations. By contrast, if the forecast is
extremely accurate (P f ðti Þ  0) compared with the ob-
servations, the correction becomes negligible.
The covariance matrix of the resulting analysis error is
given by
Pa ðti Þ ¼ ½I  Ki Hi P f ðti Þ (7)
showing that the uncertainty in the forecast is reduced
during the analysis, according to the amount of new
information assimilated in the system.
Equations 2 to 7 form the basic set of algorithmic
operations involved in a sequential assimilation cycle. The
optimal estimate xa ðti Þ can be used as initial conditions of
a new forecast up to time tiþ1 when new observations
become available, and the process can be repeated
recursively. In summary, the algorithm of an assimilation
cycle contains two main steps: the forecast step for
transitioning the model state and the associated error
covariance between time ti1 and time ti , and the analysis
step for correcting the forecast using the data available at
time ti .
3 Order reduction
The main issue raised by the application of the KF in
oceanography is related to the huge number of degrees of
freedom involved in the models, with consequences on the
654
size of the discretized operators and the quantity of
information to be manipulated. In the KF algorithm,
Eq. 3 can be rewritten as
Pf ðti Þ ¼ Mðti1 ; ti Þ½Mðti1 ; ti ÞPa ðti1 ÞT þQðti1 Þ (8)
showing that the model code is needed to propagate the n
columns of Pa ðti1 Þ and the model state itself. This leads to
computing requirements that even the largest computers in
the world will not meet in a foreseeable future. In addition,
the many imperfections inherent to the representation of the
error covariance matrices that need to be specified
externally in the sequential algorithm (e.g., the R and Q
matrices) would make the explicit computation of this
equation questionable (Cane et al. 1996).
If the flow of assimilated observations is more or less
regular in time, the errors estimated by the assimilation
sequence are expected to fluctuate around some asymptotic
limit after a couple of cycles, reflecting a balance between
the increase of the forecast error within a cycle and the
subsequent analysis error reduction. As a result, the explicit
computation of the forecast error Eq. 3 is often by-passed
using a predetermined “background” error covariance
B that reflects this asymptotic limit rather than an up-
dated Pf ðti Þ. This approach adopted in Optimal Interpo-
lation schemes actually leads to a suboptimal use of the
data.
During the past 10 years, alternative ways have been
explored to make the KF tractable with models of large
dimension. With the concept of order reduction, the aim is
to reduce the computational burden of the KF algorithm
while preserving the essential characteristics of the scheme.
Several arguments support this concept:
– Firstly, the ocean can be considered as a driven/
dissipative dynamical system governed by an “attrac-
tor” of finite dimension. It is therefore expedient to
renounce making corrections in the directions where
the errors eventually die away because of the attractive
nature of the system. The existence of a global attractor
has been proved for the Navier–Stokes equations, with
a dimension bounded by a function of the Reynolds
number (Lions et al. 1997). Geostrophy, for instance, is
one of the dominant properties of the ocean attractor
that should not be ignored during the assimilation
process.
– Secondly, less is probably known about the statistical
behavior of the errors than about the dynamics itself,
especially in the ocean where the flow of observations
accumulates at a fairly slow rate.
– Thirdly, the state vector as it has been defined above is
determined by the number of degrees of freedom
implied by the model discretization, which may be
much larger than the actual number of dynamical
features of interest in the system. In such cases, one can
reasonably assume that the errors associated to the
additional degrees of freedom of the model are “more
or less” independent from the errors on the dynamical
features of interest in the system.
Order reduction can be formulated in terms of state space
or error space with quite different implications (e.g.,
Fukumori and Malanotte-Rizzoli 1995; Chin et al. 1999).
The notion of error subspace Kalman filters (ESKF) which
is discussed by Nerger et al. (2005) relies on the idea that
the error space can be approximated with fewer degrees of
freedom than the model space itself. Error subspaces are
built in such a way as to selectively correct the model state
along the most representative directions of the state error.
The concept fits fairly well with statistical assimilation
schemes because the analysis increment computed by
Eqs. 5 and 6 can only take place within the subspace
represented by the forecast error covariance. The process of
selective corrections can be implemented by the simple use
of an error covariance matrix of low rank. The unknowns
are the coefficients of the increment decomposed into the
multivariate basis vectors of the subspace. Examples of
low-rank filters are the reduced rank square-root
(RRSQRT) algorithm proposed by Verlaan and Heemink
(1997), the error subspace statistical estimation (ESSE)
method introduced by Lermusiaux (1999), and the family
of ensemble Kalman filters (EnKF) originally introduced
by Evensen (1994).
The subspace can be represented using a time invariant
set of error directions. A number of applications have
been conducted successfully in this way in the tropical
oceans, where the dynamics is “slow” and nearly linear
(Verron et al. 1999). The success of the assimilation
depends essentially on the capacity of the subspace to
capture the observed variability of the system. Alter-
natively, the error subspace can also be allowed to evolve
with time using deterministic or stochastic approaches, or
a mixture of both. Evolving subspaces are in general
more suitable to track the nonlinear evolution of “fast”
energetic modes, or to dynamically adjust the unba-
lanced components of the error (Lermusiaux 2001).
Related methods have been introduced in the context of
atmospheric data assimilation by Cohn and Todling
(1996), who proposed approximate schemes for error
covariance propagation in the case of stable and unstable
dynamics.
4 The singular evolutive extended Kalman (SEEK)
filter
The SEEK filter introduced by Pham et al. (1998a,b)
belongs to the more general category of error subspace
Kalman filters (ESKF). The SEEK can be defined as an
extended Kalman filter:
(1) Whose error covariance matrices are constrained to be
of low rank (“singular”). This rank is much smaller
than the dimension of the state vector. The filter is
initialized with a singular error covariance matrix Pð0Þ
built from the system model according to a protocol

that depends on the problem under consideration. In
any case, the motivation is to obtain multivariate error
covariances that are compatible with the model
dynamics. It is worth noting that a clear distinction
has to be made between the equations of the SEEK
algorithm and the “recipes” used to initialize the filter.
(2) Which allows the errors propagation (“evolutive”) to
be computed according to the model dynamics, thus
including possible nonlinearities during the forecast
step.
In addition, the SEEK filter derivation assumes that the
dimension of the reduced space for the error covariance
matrices is preserved over the successive assimilation
stages (this is an approximation because this is strictly true
only with adequate conditioning of the model error).
Inversions can therefore be made in this subspace instead
of the observation space. Because the subspace dimension
is small, computations are much simplified. Moreover, the
SEEK filter can be complemented by adaptative algorithms
which aim at benefiting of all the innovation vector residual
information.
4.1 Error subspaces and low-rank error covariances
A practical way, proposed by Pham et al. (1998a), to
initialize an assimilation sequence with the SEEK filter is
to perform an empirical orthogonal functions (EOF)
analysis of a free model simulation. The mean state of the
free run is taken as a first guess xa ðti Þ, and the associated
initial error covariance matrix is built from the dominant
modes of the simulated variability around the mean. Let
L0 be the r dominant eigenmodes forming the columns
of a n
r matrix, which have been obtained from an
EOF decomposition of a model run. The associated
eigenvalues are stored in a r
r diagonal matrix noted Λ 0.
The initial error covariance pcan ffiffiffiffiffi be approximated by
Pa ðt0 Þ ¼ S0 ST0 with S0 ¼ L0 Λ 0. Thus, the maximum
rank of Pa ðt0 Þ is r. The underlying assumption is that the
model is sufficiently good for its intrinsic variability to be
statistically representative of real ocean variability. In the
context of twin experiments, this approach is fully
consistent with the KF as the model is unbiased and the
simulated variability has the same statistical properties as
the assumed “true” ocean variability. In real data assim-
ilation experiments, however, these ideal conditions are
not verified with a free model simulation and more
complex strategies must be developed. For example, an
assimilation sequence may be carried out in a first stage
with a simplified method which does not require EOFs
(such as an OI or nudging scheme) so as to bring the
model and observations together. An EOF analysis of the
resulting fields is then performed, and a new assimilation
sequence can be obtained in a second stage with a
reduced-rank KF. The process can be iterated several
times to provide an improved EOF basis which combines
the variabilities of the model dynamics and of the
observations.
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A question of practical interest is related to the
dimension of the subspace. A condition of stability of a
reduced-rank KF in idealized conditions (linear model and
autonomous system) is shown to be that r should be larger
than r , where r is the number of eigenvalues of M
having an absolute value larger than or equal to 1 (Pham
et al. 1998a; Carme et al. 2001). As it is difficult to
evaluate this number with large ocean models, this
theoretical criterion is of limited use and other more
pragmatic guidelines must be set up. For example, a
threshold of variance (e.g., 80%) explained by the r
retained EOFs provides an empirical criterion to deter-
mine the minimum dimension of the error subspace for
assimilation experiments. In the majority of the experi-
mental studies conducted with realistic models of the
ocean, this number typically ranges from a few tens to a
few hundreds.
In general, the EOFs in question are fully multivariate,
three-dimensional, and cover the whole model domain: all
the variables of the state vector (SSH, temperature, salinity,
zonal, and meridional velocities) are considered together in
a dynamically consistent manner. The extrapolation of the
data from observed to unobserved variables is performed
along the directions represented by these EOFs which
basically connect any grid point of the numerical domain.
The physical nature of these EOFs was illustrated by Parent
et al. (2003), who studied the variability of the circulation
in the Tropical Pacific ocean during the period 1994–1998
using a SEEK filter to assimilate satellite altimeter data in a
primitive-equation model of the Equatorial basin between
20o N and 20o S.
Other ways to characterize the reduced basis can be
thought of, such as Lyapunov, singular (linear or nonlinear)
or breeding vectors and principal components. However,
this has not been explored extensively so far. The first tests
indicate that it should be of potential benefit, in particular
the use of breeding vectors (Durbiano 2001). The
distinction between the type of modes used (EOFs, others
vectors) provides a first criterion to classify the variants of
the SEEK filter in applicative studies.
An issue of practical interest is the estimation of small
correlations associated with distant variables, which is a
well-known difficulty with error modes covering the whole
model domain as the one described above. Houtekamer and
Mitchell (1998) pointed out that accurate estimations of
small correlation coefficients would necessitate a very
large number of independent model samples to guarantee
the statistical convergence of the computations. In fact, a
SEEK filter with global error modes would require a very
large number of modes to properly constrain the mesoscale
flow field. To keep the number of samples within tractable
limits and prevent the data from exerting a spurious
influence at remote distances through large-scale signa-
tures in the EOFs, a technique based on local EOFs has
been setup, which considers regional subdomains of
adjustable size where the error subspace is defined. This
approach has been developed more specifically for eddy-
resolving ocean assimilation models (e.g., Testut et al.
(2003)) in which the signal dominates in the small scales.
656
Theses local modes reflect to some extent the anisotropic
nature of the multivariate covariances associated with the
local dynamics. The small scales are predominantly
represented by the highest modes. The local representation
of the error subspace has been shown particularly effective
for capturing the mesoscale features of the turbulent ocean.
4.2 Forecast step
The concept of error subspace allows a drastic simplifica-
tion of the forecast step Eq. 3 that governs the evolution of
the error statistics over the assimilation window. Assuming
that the analysis error covariance can be represented as a
low rank matrix at time ti1
 
Pa ðti1 Þ ¼ Sai1 Sai1 T ; (9)
where Sai1 (of dimension n
r ) defines the basis of the
error subspace associated to xa ðti1 Þ, Eq. 3 becomes
efS
Pf ðti Þ ¼ S efT
i i þ Qðti1 Þ
(10)
with S e f ¼ Mðti1 ; ti ÞSa
i i1
The computer load associated with Eq. 10 depends
essentially on the rank r, which determines the number of
model integrations needed to evaluate the forecast error
covariance matrix. The algorithm requires the derivation of
the tangent linear model Mðti1 ; ti Þ to update the error
directions Sai1 , and the temporal evolution of the corre-
sponding error components reflects how the linear model
dynamics affects the uncertainty during the forecast
operation. This “extended evolutive basis” variant of the
algorithm mimics the error propagation scheme of the EKF,
as proposed by Pham et al. (1998a) in their seminal paper
on the SEEK filter.
An alternative scheme to Eq. 10 can be used for
calculating the evolution of the reduced basis as follows:
n o
 
α Se f ¼ M ðti1 ; ti Þ xa ðti1 Þ þ α Sa
i1 j  x ðti Þ
f
i associated to imperfections in the model forcings,
j
(11)
fgj is the jth column of the matrix, and α is an adjustable
parameter that determines the scale of the perturbations
along each error direction. This scheme depicts the natural
dispersion of an ensemble of different model trajectories
initialized in the vicinity of the initial guess, and represents
the amplification of unstable error modes (or the damping
of stable modes) inherent to the system dynamics. Equa-
tion 11 can be interpreted as a finite-difference approxi-
mation of the linear error evolution if α is small. However,
the value of α is usually taken to be of the order of 1 to
simulate the nonlinear evolution of model perturbations
that have an amplitude comparable to the error covariances.
The basis known as “interpolated evolutive basis” has a
twofold benefit: firstly, it avoids the computation of the
tangent linear model, which numerically can be a delicate
task. And secondly, it seems more robust with regard to the
model nonlinearities because the finite difference takes into
account the actual amplitude of the uncertainties, while the
classical linearization does not. An interpretation of the
error propagation scheme in terms of ensemble model
integrations is otherwise proposed by Ballabrera et al.
(2001), while a more exhaustive exploration of the
similarities and differences between the SEEK and
ensemble Kalman filter (EnKF) are discussed in Brusdal
et al. (2003). As pointed out by Nerger et al. (2005), it must
be noted that this “interpolated evolutive basis” variant of
the SEEK filter should not be confused with the SEIK filter
(introduced by Pham (2001)), which is a rather different
algorithm that is not discussed in the present paper.
With respect to Eq. 10, a further simplification of the
error forecast step can be obtained by simply neglecting
the dynamical transformation of the error directions during
the assimilation period ðti1 ; ti Þ, leading to the “fixed basis”
variant:
e f ¼ Mðti1 ; ti ÞSa  ISa
S (12)
i i1 i1
As in the ensemble OI scheme (Evensen 2003), the error
subspace basis is assumed to be temporally persistent in
this variant. Static error subspaces have been used very
efficiently in a variety of assimilation applications (Verron
et al. 1999; Parent et al. 2003; Penduff et al. 2002), being
justified by two basic arguments. The first one is of
practical interest: the cost of a fixed basis assimilation
experiment is of the same order of magnitude as a model
simulation, with only a few additional computations
needed to perform the algebraic operations of the analysis
step. This makes the algorithm extremely useful to evaluate
the overall performances of the system, to test new
parameterizations, to examine the impact of different
observation configurations, etc. The second argument
constitutes a more objective justification in terms of
statistical estimation: it is often impossible to properly
characterize the statistical structure of the model error
discretization schemes, space/time resolution, etc. As a
result, the misspecification of the model error Q is often
very large and it can dominate the approximation made in
replacing MPa MT by IPa IT in the error propagation
Eq. 3. In such situations, it will be a waste of CPU
resources to explicitly compute the error propagation with
the model dynamics because the result will eventually be
polluted by unspecified model error estimates. It is
therefore sensible to by-pass the error propagation equation
and to concentrate on updating the dominant error
directions using, for instance, the adaptivity mechanisms
described in Section 5.
To preserve the advantage of order reduction for the
subsequent assimilation cycles, Pf ðti Þ should keep the
same rank as Pa ðti1 Þ because of the recursive character of

the Kalman filter. The difficulty arises from the fact that the
rank of Pf ðti Þ intimately depends on the structure of Qðti Þ.
A possible method is simply to project the error vector ηðti Þ
on the subspace generated by the columns of S e f. As it is
i
often impossible to specify the model error perfectly, for
the reasons discussed above, a simple parameterization of
the system noise can be introduced as
1
 problem is determined by the error subspace dimension
efS
Qðti Þ ¼ ð1  ρÞ
S efT (13)
ρ i i
where ρ is a scalar quantity called the “forgetting factor”
(0 < ρ < 1) by analogy with the approach used in auto-
matic control algorithms (Pham et al. 1998a,b). The
application of the forgetting factor amplifies the estimation
error isotropically, without changing the basis of the
subspace. With this kind of model error parameterization,
the three possible variants—extended, interpolated, and
fixed basis—lead to a forecast error covariance matrix of
the form:
1efefT 1 ef
Pf ðti Þ ¼ S i Si ¼ S fi Sfi T with Sfi ¼ pffiffiffi S (14)
ρ ρ i
which is singular and has the same rank r as the previous
analysis error covariance. The distinction between the
various propagation modes for the reduced basis (steady,
fixed, interpolated, evolutive) provides the second criterion
to classify the variants of the SEEK filter.
The “forgetting factor” is one of the many possible
options to account for some simple form of model error in
the assimilation scheme, but other approaches could be
e ðti1 ; ti Þ
implemented such as using a perturbed model M
instead of the original model to dynamically update the
error modes through Eq. 10. For instance, in most EnKF
implementations, stochastic perturbations are introduced in
the surface forcings to update each ensemble member,
accounting in this way of the uncertainty in the atmospheric
fluxes. This approach is under testing with the SEEK filter
and it would be of much interest to explore the question of
model errors in more details.
4.3 Analysis step
The linear variance-minimizing analysis Eq. 5 can be
nicely reformulated when the forecast error covariance
used to compute the Kalman gain is of low rank. Using
Eqs. 6, 14, and the matrix equality (e.g., Haykin 1986)
 1
X1 þ X12 X12 X21 ¼ Hamill et al. 2001) which can be avoided by computing
 1
(15)
X1  X 1
X X þ X X 1
X X X1
1 1 12 2 21 1 12 21 1
657
the expression for the Kalman gain can be transformed
after some mathematical manipulations as follows:
f 1
Ki ¼ S if ½I þ ðHi S if ÞT R1 f T 1
i ðHi S i Þ ðHi S i Þ Ri
(16)
Equation 16 shows that the size of the inversion
(as long as the observation error is parameterized with
a diagonal matrix or its inverse is known), while the
original Kalman gain Eq. 6 requires an inversion in the
observation space. As the number of observations is
usually much larger than the dimension of the error
subspace, the inversion step of the SEEK algorithm
becomes less expensive than the corresponding compu-
tation of the original Kalman gain. By combining
Eqs. 5 and 16, the correction of the forecast state can
be written as a weighted combination of the forecast
error directions
xa ðti Þ  xf ðti Þ ¼ Sfi ci (17)
with
f 1
ci ¼ ½I þ ðHi Sfi ÞT R1
i ðHi Si Þ

 (18)
ðHi Sif ÞT R1
i yoi  Hi x f ðti Þ
The vector ci contains the r amplitudes of the error
modes that need to be estimated at each analysis step.
Finally, the scheme evaluates the analysis error and
updates the error subspace according to the following
equation:
Pa ðti Þ ¼ ½I  Ki Hi P f ðti Þ ¼ Sai SaT
i (19)
f 1=2
with Sai ¼ Sfi ½I þ ðHi Sfi ÞT R1
i ðHi Si Þ (20)
showing that, if the rank of P f ðti Þ is r , then the rank
of Pa ðti Þ is equal to r also; therefore, recursivity of
forecast/analysis cycles is allowed. In practice, for
better numerical conditioning, it is possible to reortho-
gonormalize the reduced basis by computing a SVD
decomposition of the Sai matrix after every analysis
step.
There is one additional consideration that should be
mentioned for the practical computation of the Kalman
gain. The robust estimation of small correlations associated
with remote observations is a common difficulty (e.g.,
EOFs with compact support, as mentioned above. Instead
of computing local EOFs, a simplification of the SEEK
658
analysis scheme has been designed by enforcing to zero the
error covariances between distant variables which are
believed to be uncorrelated in nature.
The simplification is implemented by assuming that
distant observations have negligible influence on the
analysis. The global system is split into subsystems and,
for each of these, the traditional analysis is computed. Only
data points located within individual regions, centered on a
subdomain of one or several grid points to be updated,
actually contribute to the gain in Eq. 16. This approach can
also be understood as a tuning of the observation operator
according to the subdomain in question. Intuitively, this
approximation makes sense because only data points
located in the neighborhood of a model grid point should
objectively impact on the analysis for that grid point. The
size of the regions is determined in such a way that the
distribution of the observations available on the model
domain always provides at least a few data points within
each region of influence (if there were no data available
into the region of influence, no correction would apply).
This algorithmic refinement improves the analysis because
the subdivision of the global domain into N subdomains
effectively multiplies by N, the number of degrees of
freedom for the estimation problem. The distinction
between such a local analysis compared to the global one
provides the third criterion to classify the variants of the
SEEK filter.
5 Adaptivity
For a Kalman filter to yield optimal performances, it is
necessary to provide the correct a priori description of the
background, systematic and observation error covariance
matrices. As only guesses of these quantities are available in
real cases, it is necessary to verify the consistency of the
underlying assumptions. The information acquired during
the system’s operations can be used to test the consistency of
the prior error estimates. In case of severe deviations, with
respect to the prior expectation, it is possible to adapt the
error statistics to better fit the optimal conditions. Feedback
mechanisms can be implemented on-line or off-line to adjust
the statistics in such a way as to restore consistency between
the errors diagnosed by the filter and the residual or
innovation information. This is the baseline of adaptive
variants of the SEEK filter developed by Brasseur et al.
(1999) and Testut et al. (2003). Another advantage of these
variants is that they allow the evolution of the error subspace
without incurring the cost of propagating the ensemble of
error directions dynamically. Other adaptive filters based on
parameterized gain matrix (Hoang et al. 2005) have been
developed with similar objectives.
If the covariances are correctly estimated, the innovation
sequence should be close to a white noise process, and the
following norm

1
Ji ¼ dTi Hi Pf ðti ÞHTi þ Ri di (21)
 
with di ¼ yoi  Hi xf ðti Þ , should fit a chi-square variable
with as many degrees of freedom (say, d ) as there are data
(Bennett 1992). After substitution of the forecast error
covariance from the SEEK equations, the norm Eq. 21 writes

1
Ji ¼ dTi ðHi S if ÞðHi S if ÞT þ Ri di (22)
It can be used to objectively evaluate the suitability of the
error subspace Sif . Instead of testing the complete χ2d
behavior of Ji , only the first and second statistical moments
need to be examined. These should show that
Ji ¼ d and VarðJi Þ ¼ d (23)
Significance tests may therefore be used to accept or reject
the covariance estimates. Equation 23 suggests several
possible strategies to adjust the forecast error covariance by
using information from in the innovation vector.
The distinction between the ways adaptativity is
implemented provides the fourth criterion to classify
the variants of the SEEK filter. The algorithm developed
by Brasseur et al. (1999) updates the error subspace Sai
along the geostrophic attractor by extracting information
left in the residual vector after each analysis cycle. This
update of the reduced basis is performed in such a way as
to attenuate the truncation error and to improve the
projection of the next innovations onto the error subspace:
this leads to the concept of adaptive basis. The second
approach recently developed by Brankart et al. (2003) can
be viewed as an adaptive tuning of the model error
parameterization. By adjusting the ρ coefficient according
to the local innovation variance, the method is able to
account for regional properties of the ocean dynamics.
The estimation of the innovation variance is based on a
weighted average of the last innovations, using a weight
that decreases exponentially with the age of the innova-
tion. Despite its simplicity, this method is useful to control
the evolution of the error variance during the assimilation
sequence and preserve the statistical consistency of the
scheme. Several other types of adaptative implementation
may be thought of and are research avenues for ESKF
practitioners.
6 Conclusion
The SEEK filter is a sequential estimation method which
ranges in the category of error subspace Kalman filters
[ESKF, Nerger et al. (2005)], together with the ensemble
Kalman filter (Evensen 1994, 2003), the SEIK filter (Pham
2001), the reduced-rank-square-root filter (Verlaan and
Heemink 1997), and the ESSE method (Lermusiaux 1999)
in particular.
The SEEK filter has been applied in many practical
situations in the fields of mesoscale ocean dynamics,

tropical dynamics, and climate dynamics. It has been
applied also to biogeochemistry and ecosystems. Many
practical developments have been made with the SEEK
filter in the framework of preoperational oceanographic
projects for ocean weather monitoring and prediction
(DIADEM, TOPAZ, MERCATOR). It continues today
for the E. U. MERSEA project within the GMES
framework. It can even be said that those various prac-
tical applications are the main booster of the improve-
ments and adaptations that have been made with the SEEK
filter.
The limited scope of this paper was to review in a
consistent manner all the developments that have been
made in the past 10 years with the SEEK filter. It is
believed that many of the problems encountered—and may
be some of the solutions brought, illustrated by the SEEK
filter variants—are applicable to many ESKF approaches
and perhaps to other data assimilation methods.
It seems useful to conclude by a summary classification
of the different algorithmic variants that have been
presented and implemented into practical case studies.
Table 1 presents these different variants according to the
main criteria that have been evoked earlier (type of basis
used to perform the order reduction, propagation mode for
the P error covariance matrix, projection mode for the
correction made in the analysis, adaptive nature of the
scheme, and the way to implement it).
The development of these variants reflects the various
research avenues that have been explored starting from the
initial SEEK filter concept. The proposed classification is
open and flexible enough to accommodate new applica-
tions and related solutions, as it would be possible for any
new problem to tell exactly what variant or combinations of
variants is the most appropriate. Simple statements can
only be made so far. Quasilinear models will be satisfied
with the simplest variants. Evolutivity is particularly
interesting when the initial error covariance is adequately
known and can therefore be usefully transported in time by
the model. In contrast, adaptativity may be beneficial to
extend the error subspace into directions, which were not
important at the initial time, but could be important at later
Table 1 The SEEK filter variants
659
times according to the continuous data influx. The most
judicious combination of reduced order basis type and
projection is, at our level of practice, only a matter of
experiment and pragmatism as there is no rule that has
emerged so far. A basic practical criterion is the computing
cost: the evolution of the reduced basis adds typically one
order of magnitude to the cost of the filter whereas the cost
of the basic steady filter is approximately the same as the
model integration.
Further developments of the SEEK filter are going on.
But one should keep in mind that an assimilation scheme,
whatever method is used, is only part of an integrated
system made also of a model and an observing system.
There must be a reasonable balance between the complex-
ity of the assimilation algorithm, the data availability, and
the modelling component of the integrated system. From
an optimality point of view, it may be better improving
some physical or biological model parameterization than
deploying energy and CPU time with state-of-the-art data
assimilation. Similar critical improvements in the obser-
vation capability (such as for example the recent
gravimetry missions for the assimilation of altimetric
data) may change the data assimilation effectiveness better
than any subtle implementation detail of the data assim-
ilation method.
Data assimilation progress can therefore benefit from
being carried out within this integrated perspective in close
partnership with modeling and observations. In this regard,
most recent developments with the SEEK filter includes the
implementation of the incremental analysis updating to
smooth out the time discontinuity that is observed in the
solutions resulting from all intermittent correction scheme
(Ourmières et al. 2006) and that avoids spurious data
rejection.
Recent comparison exercise between the SEEK filter
and the four-dimensional variational (4D-VAR) method in
the tropical Pacific Ocean open the way to exciting new
prospects through the mixed use of both methods (Robert
et al. 2005). 4D-VAR optimizes the fit between observa-
tions and model over the full extent of the assimilation
window whereas the SEEK filter proceeds only sequen-
tially. As a drawback, the 4D-VAR does not make use of
an evolving background error statistics as the SEEK filter
can do between successive assimilation windows. Hy-
bridation of both approaches may enhance the overall
assimilation efficiency and it is thought as a fruitful
research avenue.
Acknowledgements Many people have been involved in the SEEK
filter works over years. Thanks are given to all of them and more
especially to D. T. Pham and J. M. Brankart. This work has been
supported by the Centre National d’Etudes Spatiales (CNES) and the
MERSEA project of the European Commission under contract AIP3-
CT-2003-502885.
660
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