Stochastic Modelling of Hydrologic Systems

Harpa Jonsdottir

Kongens Lyngby 2006 IMM-PHD-2006-150

Technical University of Denmark Informatics and Mathematical Modelling Building 321, DK-2800 Kongens Lyngby, Denmark Phone +45 45253351, Fax +45 45882673 reception@imm.dtu.dk www.imm.dtu.dk

IMM-PHD: ISSN 0909-3192

Summary

In this PhD project several stochastic modelling methods are studied and applied on various subjects in hydrology. The research was prepared at the Department of Informatics and Mathematical Modelling at the Technical University of Denmark. The thesis is divided into two parts. The first part contains an introduction and an overview of the papers published. Then an introduction to basic concepts in hydrology along with a description of hydrological data is given. Finally an introduction to stochastic modelling is given. The second part contains the research papers. In the research papers the stochastic methods are described, as at the time of publication these methods represent new contribution to hydrology. The second part also contains additional description of software used and a brief introduction to stiff systems. The system in one of the papers is stiff. In Paper [A] a conditional parametric modelling method is tested. The data originate from a waste water treatment plant in Denmark, and consists of precipitation measurements and flow in a sewage system. The goal is to predict the flow and the predictions are to be used for automatic control in the waste water treatment plant. The conditional parametric modelling method is a black box method. The characteristic of such a model is that the model’s parameters are not constants, but vary as a function of some external variables. In Paper [A] two types of conditional parameter models were tested; a conditional FIR model and a conditional ARX model. The parameter variation is modelled as a local regression and the results are significant improvements compared to the

However.ii traditional linear FIR and ARX models. This can be useful when modelling chemical processes in the water. the non-measured lateral inflow between the two measurement stations is modelled as a state variable and thus a dynamic estimate of the flow is achieved. These investigations might then be used for further (more global or even more physical) modelling development. In Paper [C] the topic is a drought analysis in a reservoir related to a hydropower plant. In Paper [B] the grey box modelling approach is used. The rainfall-runoff relationship is thus both non-linear and non-stationary. In general. and advanced statistical and numerical methods must be used for parameter estimation. by using Stochastic Differential Equations. measured in the valley. Since the available data are used to design the hydropower plant. In Paper [D] the data originate from a small creek in Denmark with two measurement stations. The method of conditional parameter modelling is also good for sensitivity analysis since it can be used to investigate how parameters change when external variables/circumstances change. The case study is from a 1132 km2 mountainous area in northern Iceland with altitude range of about 1000 m. The model formulation is a linear reservoir model. The model structure is kept simple in order to be able to identify all the model parameters. The model performs well. the system is stiff. the grey box modelling approach is used. close to the river mouth. As in Paper [B]. A stochastic model is developed and the model is used to simulate a time series of discharge data which is long enough to achieve a stable estimate for risk assessment of water shortage. the papers show the advantages of stochastic modelling for describing both non-linearities and non-stationaries in hydrological systems. it is demonstrated that the only way to estimate the risk of water shortage during a hydropower’s lifetime is by using a stochastic simulation. The field of study is the traditional rainfall-runoff relationship in a large watershed with one precipitation measurement station. . by using Stochastic Differential Equations and the parameter estimation is performed by use of the program CTSM. Furthermore. despite of the fact that the input series is only one single series of temperature and one single series of precipitation. The parameter estimation is performed by use of the program CTSM (Continuous Time Stochastic Modelling). The subject is flow routing where the upstream flow is used as an input for modelling the downstream flow. one discharge measurement station and snow accumulation during winter.

og resultaterne er en markant forbedring i forhold til de traditionelle lineære FIR og . og især hvordan disse metoder yder nye bidrag til den hydrologiske videnskab. Den første del indeholder en indledning og en oversigt over fire artikler. De data. Til slut er der en introduktion til stokastisk modellering. Dernæst kommer en introduktion til grundlæggende begreber i hydrologi samt en beskrivelse af hydrologiske data. Anden del indeholder ogs˚ en nærmere beskrivelse af software samt indledning a til den matematiske analyse af stive systemer. hvor de stokastiske metoder. er beskrevet. projekt er forskellige stokastiske modelleringsmetoder studeret og afprøvet inden for forskellige omr˚ ader i hydrologi. DTU. som bruges. I Artikel [A] er betinget parametrisk modellering afprøvet. Anden del indeholder de 4 artikler.D. I Artikel [A] er afprøvet to typer af betingede parametriske modeller: Betingede FIR modeller og betingede ARX modeller. Den betingede parametriske modelleringsmetode er en black box metode. Afhandlingem er delt i to dele. Parametrenes dynamik er modelleret ved lokal regression. stammer fra et rensningsanlæg i Danmark. men ændrer sig som funktioner af ydre forhold. Disse data best˚ af nedbør i et ar afstrømningsomr˚ og afstrømningsm˚ ade alinger i omr˚ adets kloaksystem. Form˚ er en forudsigelse af afstrømningen med de form˚ at bruge forudsialet al gelserne i automatisk kontrol i rensningsanlæggets driftsystem.Resume I dette Ph. Kendetegnet ved denne type af modeller er. Forskningen har været udført ved Informatik og Matamatisk Modellering. at modellens parametre ikke er konstante. skrevet som en del af forskningsarbejdet.

Populære ingeniørmæssige metoder som f. s˚ aledes at alle modelles parametre kan identificeres. Selvom a modellen kun bruger ´n nedbørsserie og ´n temperaturserie som input. at resultaterne kan bruges. Det har den fordel. En stokastisk model er udviklet. hvilket gør avancerede statistiske og numeriske metoder nødvendige. som stammer fra en lille ˚ i Danmark med to m˚ a alestationer i ˚ aen. Modellens struktur er enkelt formuleret. Det er vist. virker e e modellen overordenlig tilfredsstillende. Emnet i Arikel [C] er en analyse af risikoen for tømning af et vandmagasin i en flod i Island. sumkurvemetoden kan ikke h˚ andtere hændelser med længere gentagelsesperioder end m˚ aleseriens længde. n˚ kemiske prosesser skal modelleres. Modellens formulering er en lineær reservoir model. da den kan bruges til at undersøge. I Artikel [D] bruges data. Sneen samles op som vand i elven om for˚ ade aret. Oplandet er 1132 km2 med en højdeforskel p˚ 1000 m. Data stammer fra en elv i det nordlige Island. Desuden er systemet stift. eks. . som vil for˚ arsage elsvigt fra det tilsluttede vandkraftværk. at indstrømningen mellem de to stationer er estimeret dynamisk. Dette medfører. at den eneste tilfredsstillende m˚ til at estimere ade risikoen for tømning af vandmagasinet i vandkraftværkets økonomiske levetid. hvordan parametrene ændrer sig efter ændringer i de ydre forhold. Sammenhængen mellem nedbør og afstrømning fra et stort opland er studeret. I Artikel [B] er grey box modelleringsmetoden brugt. ved at bruge Stokastiske Differential Ligninger. eventuelt til udvikling af mere fysisk udformede modeller. Denne type af undersøgelse kan bruges til videre modeludvikling. og den er brugt for at simulere en afstrømningsdataserie. da alle de eksisterende data er brugt til at designe vandkraftværket og magasinet. Afhængigheden mellem nedbør og afstrømning er derfor ikke lineær og ikke stationær. som er lang nok til at opn˚ et stabilt estimat for risiko for tømning af a vandmagasinet. brugning af stokastisk simulation.iv ARX modeller. Om vinteren falder nedbør b˚ som regn og sne i bjergene. at den ikke m˚ indstrømning imellem de to stationer er alte indført som en tilstandsvariabel. Parameterestimationen er udført ved at bruge programmet CTSM (Continuous Time Stochastic Modelling). Lige som i Artikel [B] er grey box modelleringsmetoden brugt ved at bruge Stokastiske Differentialligninger. Emnet er at forudsige vandhøjden ved nedstrømspunktet i systemet p˚ basis af m˚ a alinger ved opstrømspunktet i systemet samt nedbørsm˚ alinger. og parameterne er estimeret i programmet CTSM. der kan bruges til at analysere b˚ ikke linearitet og ikke stationaritet i hydrologiske ade systemer. Den betingede parametriske modelleringsmetode er ogs˚ nyta tig i følsomhedsanalyser. dog med den utraditionelle tilføjelse. ar Generelt viser artiklerne fordele ved at bruge stokastisk modellering.

The main focus is on the modelling methodology. a description of software and introduction to stiff system can be be found in appendices.Preface This thesis is a part of the fulfillment in completion of the PhD degree in engineering at the Department of Informatics and Mathematical Modelling (IMM) at the Technical University of Denmark. The thesis consists of a summary report. along with a collection of four research papers. The projects where carried out at the IMM and at the National Energy Authority in Iceland. June 2006 Harpa Jonsdottir . already published or to be published. the parameter identification and the importance of stochastic modelling in general. Different stochastic models have been developed and tested on different hydrological problems. Reykjavik. a short introduction to hydrology. as well as an introduction to stochastic modelling. Furthermore.

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Jacobsen and Henrik Madsen. Henrik Madsen. Accepted. Jonas Eliasson. [B] Harpa Jonsdottir.Papers included in the thesis [A] Harpa Jonsdottir. 347356. 2005. Olafur P Palsson and Henrik Madsen. Physics and Chemistry of the Earth . Vol 326. 420-425. 2001. [C] Harpa Jonsdottir. p. Parameter estimation in a stochastic rainfall-runoff model Journal of hydrology. . Vol 30. Assessment of serious water shortage in the Icelandic water resource system. Environmetrics. Conditional parametric models for storm sewer runoff Water Resources Research.. Olafur Petur Palsson and Marinus K Nielsen. p. 2006. A grey box model describing the hydraulic in a creek. [D] Harpa Jonsdottir. p. Henrik Aalborg Nielssen. Judith L. Jonas Eliasson and Henrik Madsen. 379-393.

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both at the Faculty of Engineering. It involved a numerical task not quite seen on before. Jacobsen PhD. The project of parameter estimation in a rainfall-runoff model. El´ ıasson in the field of hydrology and Madsen and Palsson in the fields of statistics and mathematical modelling. published in Environmetrics. some for inspiring conversations. Professor Sven Sigurdsson.Acknowledgements This PhD project is carried out at the Department of Informatics and Mathematical Modelling (IMM) at the Technical University of Denmark. was a great support. PhD Judith J. and at the Hydrological Service division at the National Energy Authority in Iceland. others for making me laugh. Associate Professor Olafur P´tur P´lsson and professor J´nas El´ e a o ıasson. I would like to thank them all. They are both experts in numerical analysis. provided a o valuable advise related to numerical methods and stiff systems. the results of which were published in Journal of Hydrology. and Associate Professor Kristj´n J´nasson. I have been in contact with many interesting and competent people while working on this project. Thus. Professor Henrik Madsen at IMM ´ DTU. at the University of Iceland (UI). I want to thank my supervisors. They have been both supportive and patient and I have been very lucky to have had the opportunity to work with such experienced and qualified people. While working on the different projects I have cooperated with various people: While working on my first paper. turned out to be a challenging project. DTU. both at UI. First of all. PhD Niels Rode Kristensen who implemented the .

PhD Marinus K. I also want ıa o o ´ to thank the departments heads. To all others not mentioned: Thanks. and I am very grateful to my mother and to my sister for all their babysitting. P´ll J´nsson and Kristinn a o Einarsson for professional assistance and for providing me with such good facilities. particularly. Stefan´ G. Halld´rsd´ttir.x latest version of the program CTSM used for parameter estimation in stochastic differential equations also gave qualified advises. Furthermore. provided assistance related to the LFLM software package in S-PLUS. Nielsen provided valuable information about the system and Associate Professor Henrik Aalborg Nielsen at IMM. Arni Snorrason. I want to thank the staff at the Hydrological Service for allowing me to be one of them. I cannot complete this acknowledgement without thanking my two daughters Katrin and Freyja who during the last months often had to put of with a tired and irritated mom. . The project concerning the waste water in a sewage system also involved many people.

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xii Contents .

. . . . . . . . 2 Introduction to hydrology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Why stochastic modelling? . . .2 1. . . . . . . . . .4 Overview of papers included . .Contents Summary Resume Preface Papers included in the thesis Acknowledgements 1 The theme 1. . Comparison of the models . . . i iii v vii ix 1 1 9 12 13 19 Conclusion and discussion .1 1. . . . . . . . . .3 1. . . . . . . . . . . . . .

2 4. . . . . . . . . . . Surface water hydrology . . The family of linear stochastic models . . .5 4. . . . . . . . . .7 Model categorization . . . . . . . . . 19 23 24 25 32 3 Hydrological data 3.4 2. The hydrological cycle . . . . . . . .2 2.6 4. . . . . . . . . . . . . Overview of the statistical methods .3 2. . . .1 3. . .1 4. . . . . . . . . . . . . . . . . Subsurface water and groundwater . . . . . . . . . . . . . . . .1 2. . . . . . . . . . . . . . . . . . . River ice . . . . . . .3 4. . . Non-linear models in discrete time . . . . . . . . A Conditional parametric models for storm sewer runoff 69 B Parameter estimation in a stochastic rainfall-runoff model 79 C Assessment of serious water shortage . . . . . . . The storage effect . Non-linear models in general . . . . . . . . . . . . . .4 4. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 33 33 35 39 4 The stochastic dynamic modelling 4. . . . . . . . . . . . . . .5 CONTENTS The history of water resources . . . . . . . . . .xiv 2. . . . . . . . . . . . . . . . . . . . . . . . 45 45 46 48 53 57 62 65 Stochastic differential equations and parameter estimation . . . . . . . . . . . . . . . . . . . . . Discharge . . . . . Motivation for using grey box modelling . . . . .2 3. . . . . . . . . . . .3 Precipitation . .

. . . . . . . . . . . . . . . . . . .2 The stiffness of the non-linear system in Paper [B] . . . . .CONTENTS in the Icelandic water resource system D A grey box model describing the hydraulics in a creek E The program CTSM xv 97 105 117 E. . . . . . . . . . .3 Optimization routine . . . . . . . . . . . . . . . . . 121 F Stiff systems 123 F. . . . . . . . 118 E. . . . . . . . . . . . . . . . . . . . . . . . . . 124 F. . . . . . . . .2 Filtering methods . . . . . . .1 Introduction . . . . . . . . . . . . . . . . 119 E.1 Introduction . . 126 . . . . .

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1.1 Overview of papers included The hydrological subjects are on very different scales and with different aspects. empirical measurements are used to estimate unknown parameters. The treatment plant is the outlet of a sewage system with a watershed of 10.Chapter 1 The theme This thesis is a compilation of a PhD project at the Institute of Informatics and Mathematical Modelling. A description of statistical/numerical methods and the results of the applications are found in the papers [A]-[D]. The field of research is stochastic modelling in hydrology. The research is within the field of statistics as well as within hydrology and in all of the research projects. at the Technical University of Denmark.89 .1 Paper [A] Conditional parametric models for storm sewer runoff In Paper[A]. the data originates from a waste water treatment plant in Denmark.1. 1. New methods are tested and applied to different hydrological problems.

Because of seasonal variations of temperature. The non-linear effects are mainly due to two factors. the base flow is subtracted from the flow data and the resulting flow. Linear FIR and linear ARX models were unsatisfactory and thus non-linear methods were used. Similarly. (1998) and thus such methods were tested. also known as dry weather flow. Large parts of the measured precipitation do not enter the sewage system but evaporate or infiltrate into the ground. Consequently. Carstensen et al.1: The sewage system The input data is precipitation.1 The goal is to predict the flow in the last pumping station and use the predictions for on-line automatic control in the waste water treatment plant.g. seasonality in the balance and saturation/threshold in the pipe system. The output data is excess flow data from the last pumping station before the treatment plant. The infiltration rate depends on several factors and the wetness of the root zone plays an important role. many factors affect the evaporation and especially the temperature plays a major role.2 The theme km2 . Pump station Pump station Pump station Waste water Treatment plant Pump station Pump station Figure 1. The sewage system is built in the traditional manner with pipes and node points for pumping stations. . the saturation/threshold is 1 The base flow in the sewage system. does not originate from rainfall. Figure 1. the excess flow is used in the modelling approach.1 shows a sketch of a sewage system. Black box models have proven to provide good predictions in hydrological systems e. plant growth and other physical factors. The other non-linear effect. measured at the waste water treatment plant. the variation of infiltration and evaporation varies seasonally and consequently the water balance does too..

The method of conditional parametric modelling is a significant improvement compared to traditional linear modelling. It shows the valley Fnjoskadalur and the river Fnjoska. When a large amount of water enters the system the pump stations in the node points cannot serve all the water. Thus. stretching from 44 m to 1083 m.2 Paper [B] Parameter estimation in a stochastic rainfall-runoff model The subject in Paper[B] is a classic topic in hydrology.1. Figure 1.2: Fnjoskadalur. Conditional parametric models are models where the parameters change as a function (conditioned) of some external variables.2 shows a part of the watershed. In this case the parameters changed as a function of seasonality and as a function of water quantity in the system.1. More than 50% of the watershed is above 800 . as compared to a normal rain storm. These two factors were taken into account in a conditional parametric model. water accumulates behind the pumping stations waiting to be served.1 Overview of papers included 3 Figure 1. the rainfall-runoff relationship. The altitude range is about 1000 meters. During a very heavy rain storm the water enters the treatment plant with a delay. (Photo Oddur Sigurdsson) a consequence of limited capacity of the pumps in the sewage system. The data originates from a 1132 km2 mountainous watershed in Iceland. 1.

the weather condition in the watershed can be very different depending on location in the watershed.1) where T is temperature.4 the modelling principle is illustrated. It was chosen to develop a stochastic conceptual model.6 0. a rainfall-runoff relationship was required. The water level gauge is down in the valley. The rain enters the first . during winter.4 1 0.3: A sigmoid function with center 4 and scale parameter 1. meters. Furthermore. It can be rain only. The constant b0 is the center of the sigmoid function and b1 controls the steepness. and melts in spring. snow accumulates.2 0 −4 The theme −2 0 2 4 6 8 10 Figure 1. using positive degree day method. The stochastic differential equations describe a reservoir model with a snow routine. The model structure is kept as simple as possible and with as few parameters as possible in order to be able to use the data to estimate the parameter values. Figure 1. In Figure 1.4 0. but a smooth threshold function is used in the snow routine both for accumulation and melting.3 shows a sigmoid function with center b0 = 4 and scale b1 = 1. Precipitation enters the system and is divided into snow and rain. Because the watershed is large. especially in mountainous areas. and it is found necessary to use a stochastic model since too many effects are unknown and/or not measured. One meteorological observatory is in the watershed and it is located in the valley. φ(T ) = 1 1 + exp(b0 − b1 T ) (1. The smooth threshold function is the sigmoid function. The scarcity of meteorological observatories is well known in sparsely populated areas around the world. close to the river mouth.8 0. depending on the temperature. The system is modelled in a continuous time by using stochastic differential equations. snow only and partly snow and rain. resulting in large spring floods in the river. b0 and b1 are constants. The watershed is not divided into elevation zones. and with a large altitude range. Despite of limited data. Thus no meteorological observatory is located in the highlands nor close to the watershed in the highlands.

This works well. enters the snow container and stays in the snow container until it melts.4: The modelling principles. The parameters are estimated by using the program CTSM (Continuous Time . During the winter the snow container. As mentioned earlier. base flow Figure 1. time contant infiltration Reservoir k2 Σ Runoff Constant repr. The snow. difficult to cope with numerically. therefore. This modelling method computes precipitation division and melting on an average basis. swallows the snow and accumulates it until the temperature rises and the snow begins to melt. Consequently. reservoir which delivers water partly directly into the river and partly into the second reservoir that finally delivers the water into the river. at a same time a precipitation can be divided into partly rain and partly snow while some ratio of the snow is melting. Thus.1 Overview of papers included 5 Precipiation Snow φ Rain φ : The sigmoid function Snow φ Melt Reservoir k1. because of its nature. however.1. the snow container delivers water into the system until the snow container is emptied. and is then delivered into the first container. particulary since no meteorological observatory is located in higher altitudes so that temperature lapse rate and precipitation lapse rate can be estimated and used as a basis for elevation division. the same smooth threshold function is used for precipitation division and snow melting. the snow routine causes the system to be both non-linear and stiff and. During summer. the snow container is inactive. During the melting.

it is possible to choose to optimize the parameters with or without the traditional Kalman filter updating.5 illustrates the optimization principles. optimization without Kalman filter updating results in parameter Set B which is optimal for making model simulations if the true model exists. Contrarily. Figure 1. 2003). Furthermore. Three different filtering methods or ODE solvers are implemented and it depends on the system’s stiffness which one is the ”optimal” to use.5: The input and output for different optimization principles.6 Data: Input/Output The theme Optimize with updating Parameters A Model Output=prediction Data: Input Optimize without updating Paramters B Model Output=simulation Figure 1. Optimization with Kalman filter updating results in a parameter Set A and those parameters are optimal for making model prediction. . The optimized parameter values will not be the same we call them A and B. Stochastic Modelling) (Kristensen et al. The estimation method is the maximum likelihood method and the principle of extended Kalman filter is used.

V . The relationship (Qreg . located in the mountain.6 shows a hydropower plant and the corresponding reservoir. of daily values of discharge over a period of 50 years.1.3 Paper [C] Assessment of serious water shortage in the Icelandic water resource system. The largest possible Qreg which can be served without any water shortage is the mean value of the discharge. and if necessary bypass flow is led into the canyon which is on left side of the reservoir. The other quantity is the size of the reservoir. One is the regulated flow. measured a at Mariufossar. which is the flow of water delivered into the hydropower plant for electricity production.1. Figure 1. The topic in Paper[C] is a risk assessment of a water shortage in a hydropower plant.7 shows the regulation curve for the discharge series at Mariufossar. of which 555 km2 is glacier. a volume V exists. The data consist. .6: The hydropower plant Burfell and its reservoir. two major quantities are taken into consideration.1 Overview of papers included 7 1. (Photo: Oddur Sigurdsson) When a hydropower plant is designed. The watershed is 3470 km2 . which is the smallest volume that can secure regulated flow Qreg . For a given regulated flow Qreg and for a given discharge series. Figure 1. The data originates from the river Tungna´ in southern Iceland. The water in the reservoir is led to the hydropower plant in pipes. Figure 1.V) is known as the regulation curve. Qreg .

7: The regulation curve. water shortage might occur.5 1 0. V ). It is very important to have an estimation of the risk of water shortage in the lifetime of the hydropower plants. However. even though the distribution of the water shortage probabilities is known. Using the simulated data it was concluded that the water shortage probabilities can be described by the Weibull distribution. A stochastic periodic model in the spirit of Yevjevich. thus. Thus.5 0 40 50 60 Regulated flow m3/s 70 80 Figure 1. V ) on the regulation curve. the future discharge series will not be exactly the same as the past discharge series and. a stochastic model must be developed in order to construct a simulated discharge series to be used for risk assessment. the risk of a water shortage is zero using the data series which was used to construct the regulation curve.8 Regulation curve The theme 2. (Yevjevich 1976) was developed and the available data were used to estimate the parameters in the stochastic model. The goal is to estimate probabilities of rare events and it turned out that it was necessary to simulate the daily flow for 50000 years in order to achieve a stable estimate of the risk of water shortage. . when the hydropower plant has been designed by choosing (Qreg . All available data are used to construct the regulation curve. Consequently. However. The stochastic model is then used to simulate flow series in order to estimate the water shortage probabilities. for a given point (Qreg . and using a different discharge series will lead to another regulation curve. simulations are required in order to estimate the parameters in the distribution. about 30-60 years.5 x 10 9 2 3 Volume m 1.

i. see Figure 1. all the projects are within the theory of hydrology.1. The available L = 2191m R A R B B: Station B Nive mølle A: Station A Kokkedal R: Rainfall runoff outlet Figure 1.e. This can be very valuable in an environmental analysis. Thus the physical law.9. data are precipitation and depth at two locations in the creek. The goal is to find a relationship between the depth at the upstream station and the depth at the downstream station and to predict the output depth at the downstream station. However. The Saint Venant equation of mass balance is used as a basis and the lateral inflow between the two measuring stations is modelled as a first order process with precipitation as input. This can be used in an environmental context so that it might be possible to estimate the concentration of chemical concentrations in the lateral inflow if the corresponding chemical concentrations are estimated both upstream and downstream. The resulting model is a stochastic linear reservoir model described in continuous time by stochastic differential equations.8: A sketch of the area in Usserod river. however.4 Paper [D] A grey box model describing the hydraulic in a creek. The exact size of the watershed is not known. in Northern Zealand in Denmark. what comes in is either stored or comes out. different from the traditional reservoir model in that the lateral inflow of water between the two measuring stations is a state variable in the model and estimated by use of the Kalman filtering technique.2 Comparison of the models 9 1. There are two measuring stations in the creek. .1. The model is.2 Comparison of the models The hydrological subjects in this PhD project are on very different scales and with different aspects. 1. In Paper[D] the subject is flow routing in a creek in a small watershed. conservation of mass is the fundamental law. In hydrology this can be referred to as the storage effect. see Figure 1..8. The program CTSM was used to estimate the parameters.

e.. The input data is discharge series and the output is risk assessment.10 The theme I S Q Figure 1. a balance between input and output exists. The input is precipitation and the output is excess flow. only the ”up-scaling” of the precipitation measurements is underestimated due to the amount of evaporation/transpiration and groundwater contribution. the risk of emptying the reservoir. Q(t) is the output and S(t) is the storage.10.2) where I(t) is the input. the input is precipitation and the output is discharge. The different storage interpretations can be seen graphically in Figure 1.. All the projects/papers have to do with the storage but in different aspects. Part of the water evaporates and some is permeated by plants.e. The subject in Paper[B] is also a rainfall-runoff relationship. and since the input is precipitation and not effective precipitation the mass balance is not conserved in the model. However. It is a short-term time delay between rain and discharge during the summer and because of the snow storage it is a long-term time delay during winter time. i. the storage is the long term storage. The storage is twofold Firstly the storage is the time lag between input and output and. i. However in this project there is no swallowing. secondly. The topic in Paper[C] is in a different category. The model is an input-output model or a black box model. The topic is a risk assessment of a water shortage in a hydropower plant. The model is not a mass balance model. This can be interpreted so that the storage container either swallows the rain or stores it on a long term basis. In this project the storage is time delay.9: The storage effect The storage equation is written dS = I(t) − Q(t) dt (1. However. . water comes out of the system eventually. In the following the different storage effects are summarized whereas an overview of the included papers are given in section 1. large part infiltrates into the root zone and becomes groundwater and can eventually be observed in creeks and rivers. and the base flow is represented by a constant.1 The subject of Paper[A] is a rainfall-runoff relationship in a sewage system. since evaporation/transpiration are not taken into account. The change in storage is the difference of input and output.

a storage of water in a reservoir.1. and in fact this might be the most obvious form of storage. long-term storage of water from year to year. The water level at the downstream station is modelled as a function of the water level at the upstream station and precipitation. Finally the subject in Paper [D] is a flow routing in a creek.10: Overview of the storage effect.S the storage is mostly the retention time between the two measuring stations. This subject certainly involves storage. Consequently. probabilities versus volume of water shortage. Hence. This is a small creek with short distance between the stations and no sub-creek merging in between. measured in giga-liters.2 Comparison of the models Rainfall−runoff in Iceland Discharge Precipitation 11 Precipitation Sewage system Discharge [A] Time dealy Swallowing [B] Time delay Snow contatiner Storage Retention time Volume in reservoir waterlevel− upstream Precipitation [D] waterlevel− downstream Discharge [C] Risk of water shortage Flow routing in a creek Reservoir in a hydropower plant Figure 1. the input is both a precipitation and the upstream depth. the upstream water level has the largest impact on the downstream water level. .

both in the input data and output data.3 Why stochastic modelling? In an ideal world. Moreover. the difference of the mass of inflow into the volume minus the mass of outflow out of the volume.. errors exist due to the transformation from the measured values to the values requested e. transpiration.g. it is well known that the hydrological data are corrupted by errors due to measurement errors. this is not the reality in our world. In hydrology the control volume unit is a watershed.g. many of these processes are highly non-linear and cannot be described perfectly with mathematical equations. use of a stochastic model can provide information about uncertainties in prediction (extrapolation) of the future. These model uncertainties reflect the inability to represent the physical process by use of deterministic equations and thus provide evidence for the stochastic modelling approach. The black box models are built up in such a way that statistical methods are used to find relation between input and output not necessarily based on physical processes. Last but not the least.. The change of mass within a volume equals net outflow of the volume. Additionally. the infiltration (Viessman & Lewis 1996). The stochastic models can be grouped into grey box models and black box models. Information must be available in the whole watershed. However. (2. where all phenomena have been bought in the supermarket of physics. have a stochastic behaviour. use of stochastic models can be a useful option. surface runoff and groundwater runoff must be known. indeed. The noise factor is an extra term which is due to factors that are not described by the physical factors. and particulary not in the field of hydrology. transformation from water level measurements to . The basic physical equation in hydrology is the equation of conservation of mass Eq. In addition it can be argued that both geophysical factors like the soil and many of the meteorological factors. The total volume is found by integrating over the entire watershed. The grey box models are described by physical equations and a noise factor. therefore necessary to introduce stochastic terms in the models.. In general such information does not exist and it is. evaporation. The net outflow is found by inflow and outflow through the watershed’s boundary.12 The theme 1. Consequently. Models described by deterministic physical equation are often referred to as white box models. and the change of mass is found by the time derivative of the water inside the volume (watershed). infiltration. i.e. all occurrence can be described completely by physical equations. e. Presently not enough is known about the processes to describe the perfectly. To carry out these calculations detailed information about precipitation. Moreover.1).

distributed models. interception. which are semi-physical models. (Abbott et al. black box models have also been used in rainfall-runoff modelling. momentum and energy conservation. and in some cases they provide acceptable results. 1986a). the application of a distributed. the ideal situation where field measurements are available for all parameters rarely occurs. All the physical processes are captured in the model. the statistical methods are of different types. These types of models are often referred to as white box models. evapotranspiration. which is a black box type of model. Nevertheless the rainfall-runoff process is believed to be highly non-linear. Two papers present a parameter estimation in models described by stochastic differential equations. However.e. However. the problem of model calibration (parameter estimation) arises (Refsgaard et al. as stated in (Refsgaard & Storm 1995).4 Conclusion and discussion discharge. Spatial distribution of catchment parameters such as rainfall input and hydrological response is achieved in a grid network. The topic of the rainfall-runoff relationship has been a study of interest for centuries. time-varying and . etc. 1986b).. or grey box models. and/or by empirical equations derived from independent experimental research. i. One paper presents conditional parametric modelling. Moreover. Black box models are completely data based. Hence. physically based model like MIKE SHE requires the provision of large amounts of parametric and input data. Contrarily. or possible to use. 13 1. parameters are estimated by using data. such as. In a physically based model the hydrological processes of water movement are modelled either by finite difference representation of the partial differential equations of mass. Numerous models of the rainfall-runoff relationship exist and it depends on the circumstances what kind of model is good to use. the model structure is determined by statistical methods and the data is used to estimate the parameters of the model.1. one paper presents results which can be achieved by stochastic simulations only. Models like SHE (Abbott et al.4 Conclusion and discussion The topic of this PhD project is stochastic modelling in hydrology and in all of the papers. Sometimes detailed information about the watershed is available while in other cases the information is scarce. In the 1970’ies linear black box models such as FIR and ARMAX models were quite popular. 1992) and also a decision of optimization criteria (Madsen 2000). Finally. MIKE-SHE (Refsgaard & Storm 1995) and WATFLOOD (Singh & Woolhiser 2002) are physically based.

based on Kalman filter technique. 1997). (State Dependent Parameter approach). (Shamseldin 1997) or (Hsu et al. a mixture of a non-parametric. the parameters depend on the season and on the volume of water in the sewage system.. (Todini 1978) presented a threshold ARMAX model in a state space form.14 The theme spatially distributed. In recent years. In Paper [A] and Paper [B] several models are mentioned and (Singh & Woolhiser 2002) provides an overview of mathematical modelling of watershed hydrology. that might provide understanding of the system studied. fuzzy methods. Hence the estimated parameters can be directly physically interpreted. usable in a grey box model interpretation. the approach is also valuable as a tool for an analysis. 2003). see (Nielsen 1997). which in the case of a non-linearity results in a two stage DBM approach. The principle is to develop a simple model. By studying how the parameters vary as the conditional variables changes. 1994). This is implemented in a software package called CTSM (Continuous Time Stochastic Modelling). (Iorgulescu & Beven 2004). The parameter estimation is a Maximum likelihood method. (Kristensen et al. This approach turns out to provide improvements compared to linear modelling. various types of non-linear models have been developed such as neural networks e. In Paper [A] the basic modelling formulation are FIR and ARX models. One advantage of the stochastic state space approach .g. and (Anderson et al... which is an S-PLUS library package. (Hastie & Tibshirani 1993). then the model is an ordinary linear model. The name of the model originates from the fact that if the arguments of the conditional variables are fixed. (Chang et al. The estimation is accomplished by using a software package LFLM (Locally weighted Fitting of Linear Models). Bayesian methods like (Campbell et al.g.g. 1999). In Paper [A] the method of conditional parametric models is introduced in hydrological modelling. (H¨rdle 1990) and a parametric black a box model. e. However. The model is formulated in a continuous-discrete time state space form.g. The system equations consist of stochastic differential equations. 2002). This approach can also be used in a search for a more global modelling or structure identification. The conditional variation is estimated by use of local polynomials as described in (Nielsen et al. 2005) and non-parametric models e. (Singh 1964). except that the models parameters are non-parametrically described as a function of external variables. so that the parameters have at least a semi-physical or average-physical interpretation. the model is kept simple enough so that the available data can be used for parameter estimation. A conditional parametric model is a semi parametric model. but still physically based in some sense. In Paper [B] the modelling principle of white box modelling and black box modelling is combined in the grey box modelling approach. for evaluating the likelihood function. e. (Young 2002) model time variations by introducing the SDP approach.. Hence. In the actual case. With increased computer power nonlinear models have become more popular.

Furthermore. The watershed is 1132 km2 . which. whether the model is to be used for prediction or simulation. the model is kept more simple in structure than many of the existing conceptual models. which is about the number of physical parameters estimated in Paper[B].7. (Bergstr¨m 1975) o and (Bergstr¨m 1995) or the Tank model (Sugawara 1995). additionally the initial states and the states variances are estimated. The management of these reservoirs are human interventions in the natural flow. in (Burnash et al. but due to the model’s complexity only some of the parameters are estimated. calibrating the initial states manually. is modified and formulated in a state space form. The topic in Paper [C] is a risk assessment of electrical power shortage in a hydropower plant. 1973). might result in locally optimal parameter values. while the validation period is 2 years (not used in calibration). with an altitude range of about 1000 m. The number of physical parameter estimated is 8. The parameterization can be controlled in the software CTSM depending on. (Kristensen et al. such as the HBV model. The input series. and 50% of the watershed is located above 800 m. A water shortage is met by flow augmentation from reservoirs. By using a smooth threshold function for separating the precipitation into snow and rain instead of elevation division keeps down the number of parameters. The only data required for estimating the parameters of the model is two input series. (Lee & V.4 Conclusion and discussion 15 is that the model structure can be used for both prediction and simulation. The structure of the model presented in Paper[B] is simpler than in the two models mentioned above. One of the major questions in a simulation analysis of the Icelandic power system is the performance of the reservoirs as the electrical power system is hydropower based . the available water storage in the reservoir may not be sufficient to fulfill the demand . Some attempts have o been made for parameter estimation in a state space models of similar type as the model in Paper [B]. the discharge. 1988) the Sacramento model. very satisfactory how well the model performs in the case study. 2004a) showed that the stochastic state space model formulation gives significantly less biased parameter estimate than parameter estimates obtained by the optimization method based on deterministic model formulation. This modelling approach provides a promising tool for further modelling in hydrology. in indeed. Physically this can be interpreted as some kind of averaging.Singh 1999) applied an on-line estimation to the Tank model. In order to be able to estimate all the parameters. The calibration period is 6 years. It is. 1995) it is stated that a number of studies have suggested that there is only enough information in a set of rainfall-runoff observations to calibrate 4 or 5 parameters. In (Georgakakos et al. close to the river mouth. indeed. See also Section 4. org. precipitation and temperature and one output series.P. In the light of limited data compared to the size and altitude range of the watershed. temperature and precipitation are measured down in the valley. In (Beven et al. but only for one storm at a time. During a heavy drought. This is the same as risk assessment of a water shortage in the corresponding water resource system.1.

The principle of linear reservoir model was proposed by (Nash 1957) and the concept was first introduced by (Zoch 1934. The parameters are estimated by using the program CTSM (Kristensen et al.16 The theme and. The topic in Paper [D] is flow routing. All the available data are used for design of the hydropower plant. Furthermore. see (Medova & Kyriacou 2000). 1937) in an analysis of the rainfall-runoff relationship. the method cannot predict the risk of water shortage. the subject is to estimate small probabilities. 2003). Stochastic methods in hydraulic design have been known for quite some time. consequently.g. A water shortage of this magnitude means that the power station is out of order for about 3 weeks. If the economical lifetime of the hydropower station is 50 years. e. (Plate 1992).g. given the input. the probability that a large drought like that will occur is 25%. e. The method of using all available flow series in order to design a reservoir. Consequently. the model differs from the traditional reservoir model since the non-measured lateral inflow of water between the two measuring stations is a state variable in the model and estimated by use of the Kalman filtering technique.. there will be a shortage of electrical power.5% and thus the recurrence time is 200 years. when searching for management methods.. (Chow et al. (Chow et al. The fact that the model in Paper [D] is stochastic allows for data to be used for parameter estimation including the parameters related to the system and observation errors. large enough to sustain a predefined flow output is well known in hydraulic engineering. In Paper [D] a lumped stochastic model is developed to describe the downstream water level as a function of the upstream water level and precipitation. Using this in an environmental context means that it might be possible to estimate concentration of chemical concentrations in the lateral inflow if the corresponding chemical concentrations . Thus it is clear that the recurrence time of a drought in the reservoir is large. 1988). is used for deriving a stochastic linear reservoir model. The case study is the river Tungna´ in southern Iceland. The graphical version of the method can be seen in (Crawford & Linsley 1964) and this principle is still widely used. probabilities which are in the tail of the corresponding distribution. e. It is demonstrated that the only way to obtain a discharge series long enough for calculating a stable estimate of the drought risk is to produce a series by stochastic simulation. It is therefore very important to have mathematical tools to estimate the risk of water shortage. but they are not yet extensively used in risk assessment. A stochastic formulation of water shortage is a peak below threshold study.7 m3 /s. The mean value of the flow is 80.g. the results in the case study showed that the probability of a water shortage of 155 million m3 is 0. As an example. Numerous routing techniques exist.. In a broad sense the flow routing may be considered as an analysis to trace the flow through a hydrologic system. However. 1936. The data series consist of daily flow a values over a period of 50 years. 1988) and (Viessman & Lewis 1996). represented as a state space model in continuous time by using stochastic differential equations. The Saint-Venant equation.

It enables an estimation of non-measured variables and the stochastic approach makes it possible to provide uncertainty bounds on predictions and on parameter estimates. The possibility to combine the physical knowledge with data information valuable. Hence. it bridges the modelling gap between the statistician and the physical expert. This can be useful in an environmental analysis. the grey box modelling approach provides a strong modelling approach which opens up to possibility for combine prior physical knowledge with data information. It is found that the grey box modelling approach provides a strong modelling framework in flow routing. Furthermore.4 Conclusion and discussion 17 are measured both upstream and downstream.1. . In general it has been concluded that stochastic modelling in hydrology has the advantages of describing both non-linearities and non-stationaries.

18 The theme .

an integrated set of systems. This chapter provides a brief introduction to the concepts in hydrology used in this project. Water is the key factor in the progress of civilization and the history of water resources cannot be studied without studying humanity. and the plant and animal kingdom.Chapter 2 Introduction to hydrology Water is the most vital substance on the Earth. land masses. (Burnash 1995).1 The history of water resources The book (Mays 1996) gives an excellent overview of the history of water resources and human interaction with water up to 18th century. 2. (Viessman & Lewis 1996). atmosphere. the principal ingredient of all living things and a major force constantly shaping the surface of the earth. (McCuen 1989) and (Singh & Woolhiser 2002). Humans have spent . The following paragraphs are mostly based on this book. (Chow 1964) (Chow et al. oceans. as seen from the moon over two decades ago helped visualizing the Earth as a unit. The first images of the surface of the Earth. The chapter is mostly based on the books (Mays 1996). 1988).

The Hellenistic kings began to build public bath houses. This method of irrigation spread over the Near East into North Africa over the centuries and is still used. One of the first duties of provincial governors was the digging and repair of canals. Flooding problems were more serious in Mesopotamia than in Egypt because the Tigris and Euphrates carried several times more silt per unit volume of water than the Nile. .000 to 7. permanent villages took the place of a wandering existence. In ancient Egypt the construction of canals was a major endeavor of the Pharaohs.20 Introduction to hydrology most of their history as hunting and food gathering beings. During very high flows the dikes were washed away and the villages were flooded. including how to transport and manage water for irrigation. invented several things e. powered by an undershot water wheel. The Greeks were the first to show the connection between engineering and science. the force pump. the water clock. The building of canals continued in Egypt throughout the centuries. farming villages of the Near and Middle East became cities. This resulted in rivers rising faster and changing their courses more often. The Sumerians in southern Mesopotamia built city walls and temples and dug canals that were the world’s first engineering work. The Assyrians developed extensive public works. It is only during the last 9000 to 10000 years that human beings have discovered how to raise crops and tame animals.-247). Probably the greatest Hellenistic engineer.. One application of the water wheel was a bucket-chain water hoist. The first successful efforts to control the flow of water were made in Egypt and Mesopotamia. About 6. This is a tunnel used to bring water from an underground source in the hills down to the foothills. one of which was the water wheel. drowning thousands. the hydraulic pipe. Farmers learned to raise more food than they needed. Sargon II invaded Armenia in -714. allowing others to spend time making things useful to their civilization. which were used to flood large tracts of land while the Nile was flowing high.g. Shortly after Ktesibius. Ktesibius (-285 . This water hoist may have been the first recorded case of using the energy of running water for practical use. During low flow the land did not receive water and no crops could grow. Problems of the uncertainty of the Nile flows were recognized. People began to invent and develop technologies. Philen of Byzantium invented several things. although they borrowed ideas from the Egyptians. During this agricultural evolution.000 years ago. was Archimedes (-287 to -212). discovering the ganat (Arabic name). From Iraq and Syria the agricultural evolution spread to the Nile and Indus valleys. He founded the ideas of hydrostatics and buoyancy. the Babylonians and Phoenicians.

Concepts of hydrology advanced during the nineteenth century. Gradually. water and sanitation in Europe declined. baths. Reynolds and Boussinesq. harbor works. such as the Bernoulli (17001782) equation for forces present in a moving fluid and Chezy’s (1718-1798) formula for the velocity in an open channel flow. hydrologists did combine empirical methods with rational analysis . Knowledge of pipe making was in its infancy and the difficulty of making good large pipes was a hindrance. The French naturalist Pierre Perrault (1608-1680) measured runoff. sewers etc. with Louis Marie Henry Navier (1785-1836) extending the equations of motion to include molecular forces. Most Roman piping was made of lead. such as Poiseulle. Leonardo da Vinci (1452-1519) made the first systematic studies of velocity distribution in streams. and even the Romans recognized that water transported by lead pipes is a health hazard. thus refuting an age old theory that streams were supplied directly by the sea. baths and gardens. They also realized that water transported from springs was better for their health than river water. Kelvin. resulting in worse public health. During the Renaissance. The French scientist Bernard Palissy (1510-1589) showed that rivers and springs originate from rainfall. Blaise Pascal (1623-1662) clarified principles of the barometer. Weisbach. and found it to be only a fraction of rainfall. advanced the knowledge of fluid flow and hydraulics during the nineteenth century. The Romans and Helenes needed extensive aqueduct systems for their fountains. Dalton (1802) established a principle for evaporation. The fall of the Roman Empire in 476 extended over a 1000 year transition period called the Dark Ages.1 The history of water resources 21 The early Romans devoted much of their time to useful public projects. They built roads. a gradual change occurred for purely philosophical concepts toward observational science. Leonard Euler (1707-1783) first explained the role of pressure in fluid flow and formulated the basic equation of motion. At the beginning of the twentieth century quantitative hydrology was basically the application of empirical approaches to solve practical hydrological problems. Hydraulic measurements and experiments flourished during the eighteenth century. also better instruments were developed. Kirchoff. After the fall of the Roman Empire. New hydraulic principles were discovered. Darcy (1856) developed the law of porous media flow and Manning (1891) proposed an open channel flow formula. Others.2. hydraulic press. Hydraulics research continued in the nineteenth century. viscosity and waves). and pressure transmissibility. Isaac Newton (1642-1727) explored various aspects of fluid resistance (inertia. Froude. Stokes. aqueducts. Jean-Claude Barre de Saint-Venant wrote in many fields on hydraulics.

a function relating excess rainfall to direct runoff. In the years 1934 to 1944 Lowdermilk.. In 1933 Horton developed a theory of infiltration to estimate rainfall excess and improved hydrograph separation techniques. . N. observed that subsurface water movement constituted one component of storm flow hydrographs in humid regions. The models are of different types and developed for different purposes.e. for flood forecasting warning systems and for environmental managements. as the unit impulse response function of a linear hydrologic system i. Subsequently. The development of hydrological modelling will proceed on and on. although many of the models share structural similarities. Paper [B]. Hoover and Hursh reported significant storm flow generation caused by a dynamic form of subsurface flow.g. The underground phase of the hydrologic cycle was investigated by Fair and Hatch in 1933. who developed a physically based model for infiltration and in 1914 Hazen introduced frequency analysis of flood peaks. In 1951 Kohler and Linsley developed the Antecedent index approach. McCarthy and others developed the Muskingum method of flow routing in the 1934-1935 and the concept of linear reservoirs was first introduced by Zoch in the years 1934-1947. Sherman defined the unit hydrograph in 1932. mostly because of constantly improving modelling techniques.Y. now known as Horton’s laws. in an analysis of the rainfall and runoff relationship. there exists conceptual and models and detailed physically based distributed models. In Papers [A] and [B] several watershed models are mentioned and a fine overview of watershed models can be found in (Singh & Woolhiser 2002). In 1945 Horton developed a set of ”laws” that are indicators of the geomorphologic characteristics of watersheds. e. which have been used in various models. The principle is that weighted summation of past daily precipitation amounts. is used as an index of soil moisture. One of the earliest attempts to develop a theory of infiltration was by Green and Ampt in 1911. who derived a formula for computing the permeability of soil and in 1944 Jacob correlated groundwater levels and precipitation on the long Island. The type of models are different. because their underlying assumptions are the same. There exists numerous black box models and also grey box models.22 Introduction to hydrology of observed data. In 1960’ the digital revolution broke out and since then numerous mathematical models have been developed. Hursh and Brater.. There exists models for simulation of watershed hydrology. The study of groundwater and infiltration led to the development of techniques for separation of base flow and interflow in a hydrograph.

The cycle has no beginning or end. the phenomenon is enormously complex and intricate.1: The hydrologic cycle.2. (Chow et al. Precipitated water may be intercepted by vegetation. Much of the intercepted water and surface runoff returns to the atmosphere through evaporation. become overland flow infiltrates into the ground. It is not just one large cycle but rather is composed of many interrelated cycles of continental. regional and local extents. and finally flowing into the sea or evaporating into the atmosphere as the hydrologic cycle continues.2 The hydrological cycle Water on earth exists in a space called the hydrosphere which extends about 15 km up into the atmosphere and about 1 km down into the lithosphere. The . 1988). later emerging in springs or seeping into streams to form surface runoff. the water evaporates from oceans and land surface to become part of the atmosphere. Figure 2. water vapor is transported and lifted in the atmosphere until it condenses and precipitates on the land or the ocean. the crust of the earth. flows through the soil as subsurface flow and discharge into streams as surface runoff. Although the concept of the hydrologic cycle is simple.2 The hydrological cycle 23 2. The infiltrated water may percolate deeper to recharge groundwater.1 illustrates the hydrological cycle. Figure 2.

that accepts water and other inputs. surrounded by a boundary. the surface to be integrated over. the density ρ can be divided out of both terms of Eq.2 demonstrates this principle. operates on them and produces outputs. (2. (2. (2. mass cannot be created or destroyed. 2.2) The integral V dV is the volume of fluid stored in the control volume.3 The storage effect By analogy.2) is the time rate of change of the storage . Also as civilization progresses. v is the velocity of the fluid. i. (2. human activities gradually encroach on the natural water environment. Figure 2. i.1) leaving d dt V dV = − ∂V vdA. This is known as the integral equation of continuity for an unsteady. thus the first term in Eq. altering the dynamic equilibrium of the hydrologic cycle and initiating new processes and events. is the law of conservation of mass. v v v Figure 2. A is the area vector and ∂V is the surface of the control volume.2: Flow in a control volume. the net rate of flow of mass into the region is equal to the rate of increase of the mass within the surface. for a fixed time independent region V .e. The velocity of the flow is defined positive out of the surface. The basic physical law. a hydrologic system is defined as a structure or volume in space. Thus. If the flow has a constant density. ρ is the density. Mathematically this is can be written: d dt V ρdV = − ∂V ρvdA.1) where the d stands for the total derivative V stands for the volume.. variable-density flow. geology and vegetation.e.24 Introduction to hydrology hydrology of a region is determined by its weather patterns and by physical factors such as topography.. denoted by S.

caused by rain storms. The shaded area of Figure 2.4.e. The land area over which rain falls is called the catchment while the land area that contributes surface runoff to any point of interest is called a watershed. and outflow.4 Surface water hydrology 25 dS/dt.3) dt which is the integral equation of continuity for an unsteady. dS/dt = 0. In a systematic representation the operation function is often referred to as impulse response function. see Section 4. The spikes. [B] and [D] is surface water hydrology. The hydrological subject in Papers [A]. The resulting equation is the storage equation dS = I(t) − Q(t) (2. are .4 Surface water hydrology Surface hydrology is the theory of movement of water along the surface or the Earth as a result of precipitation and snow melt. the system operates Figure 2. Runoff occurs when precipitation or snowmelt moves across the land surface. I(t). When the flow is steady. Figure 2. Big watersheds are made up of many smaller watersheds and thus it is necessary to define the watershed in term of a point.4 represents the watershed with outlet at point A whereas the watershed for point B is the small area enclosed within the dashed lines.2. The system considered in hydrologic analysis is the watershed. 2.3: A system operation on the input and delivers an output. all points enclosed within an area from which rain is falling at these points will contribute to the outlet.. The relationship between precipitation and runoff has been studied for decades. Input enters the system. constant density flow. A streamflow hydrograph is a graph (or table) showing the flow rate as a function of time at a given location in a stream.3 shows a schematic representation of the storage equation.2. Q(t). The watershed is defined as all the land area that sheds water to the outlet during a rainstorm i. The second term is the net outflow and it can be split into inflow.

which the concentration curve begins until the direct runoff component reaches .5: Storage flow relationship. called direct runoff or quickflow. The graph of excess rainfall vs. Figure 2. (Viessman 1996). or effective rainfall. excess rainfall becomes direct runoff at the watershed outlet. time is a key component in the study of rainfall runoff relationships.26 Introduction to hydrology Figure 2. After flowing across the watershed. is the rainfall which is neither retained on the land surface nor infiltrated into the soil. while the slowly varying flow in rainless periods is called base flow.5 shows a hydrograph and some of the hydrographs components. (McCuen 1989). The time base of a hydrograph is considered to be the time from Figure 2. Excess rainfall.4: Delineation of a watershed boundary.

Huggin-Monke model and Holtan model (Viessman & Lewis 1996) and calculations of infiltration. the portions nearest the outlet contribute to runoff at the outlet almost immediately. This fact is used in Paper [A]. (Chow et al. Several methods for base flow separation are used. Thus. First proposed by (Sherman 1932). These calculations may be interpreted as data processing and not as an integral part of hydrograph theory. Methods for infiltration calculations might be the Horton’s equation. the fixed base method or the variable slope method. the Philip’s equation.. for a description of these methods see e.4. the unit hydrograph of a watershed is defined as a direct runoff hydrograph resulting from 1 cm of excess rainfall generated uniformly of the drainage area at a constant rate for an effective duration. the depth of excess on the surface grows and discharge rates increase throughout. For all the above reasons it is clear that the identification of a hydrograph very much depends on calculations earlier.2 . Green-Ampt’s method (Chow et al. As rain continues. see Section 3. to mention some. 2. (Singh 1988) argues that the time of concentration tc is 1. The topics in Paper [A] and 1 In general only the water level is measured and not the discharge. the combination method and e. for calculations of effective rainfall and total runoff many methods are used. the straight line method. is defined as the time required. normal depletion curve. It fulfills the equation of continuity and thus the mass balance is conserved. but the water level. Methods for evaporation calculations might be the energy balance method. The discharge is calculated from the water level data by use of rating curves. If a uniform rain is applied on a tract. Watershed lag time or basin lag time. it cannot be identified from the measured precipitation.1 The theory of unit hydrograph The unit hydrograph is the unit pulse response function of a linear hydrologic system. such as. In practice the total rainfall and the total runoff (the discharge) are measured 1 . Likewise. aerodynamic method. is defined as the time from the center of mass of effective rainfall to the center of mass of direct runoff. A unit hydrograph is basically an impulse response function between excess rainfall to direct runoff. A time of concentration. Priestlay-Taylor’s method. 1988). for hydrograph calculations effective rainfall must be calculated and the runoff must be divided into baseflow and direct runoff.2. with uniform rain. The discharge is not measured in general.g. so that 100 percent of watershed (all portions of the drainage basin) is able to contribute to the direct runoff at the outlet. 1988). These are methods for calculations of evaporation and infiltration..42 times the basin lag time.g. tc .4 Surface water hydrology 27 zero.

the peak outflow. Thus given the input. The linear modelling approach is only an approximation of the relationship between effective rainfall and direct runoff. Hence. However. since a perfectly quantified general formula for separating the effective precipitation from the total precipitation does not exists (Viessman & Lewis 1996). The topic in Paper [D] is flow routing. i. Q.1 Lumped flow routing Lumped flow routing techniques are all founded on the equation of continuity represented in the operational form as Eq. .3) In general. Q(t) and their time derivatives S=f I.6. coincide. 2.2 Flow routing In a broad sense the flow routing may be considered as an analysis to trace the flow through a hydrologic system. 2. when the flow is steady. . Particularly. This is shown in Figure 2. .. Routing by use of lumped methods is sometimes referred to as hydrologic routing. (2. . The flow routing techniques are divided into lumped flow routing and distributed flow routing. the flow routing is a procedure to determine the time and magnitude of the flow at a given point downstream. 2 . because the maximum storage occurs when dS/dt = I − Q = 0.4. dt dt dt dt2 (2.28 Introduction to hydrology [B] are related to the theory of unit hydrograph as the flow is modelled as a function of precipitation. R and the point denoting the maximum outflow P . single-valued storage function S = f (Q) as shown in Figure 2.4. When the reservoir is long and narrow like open channels or streams the storage-outflow relationship .6. and the storage and outflow are related by S = f (Q).2. When distributed flow routing methods are used.e. a single-value storage function always exists. the input variable is total precipitation as it has proven advantage to develop models which do not rely on earlier calculations. a hydrograph at an upstream location. dQ d2 Q dI d2 I . the flow is calculated as a function of space and time through the system whereas if lumped routing methods are used the flow is calculated as function of time alone at a particular location.4) Sometimes it is possible to describe the storage as a function of only Q as. the point denoting the maximum storage. and routing by distributed methods is sometimes referred to as hydraulic routing. occurs when the outflow hydrograph intersects the inflow hydrograph. For such reservoirs (control volumes). the storage function may be written as an arbitrary function of I(t). .

the peak outflow usually occurs later than the time when the inflow and outflow hydrographs intersects.e. see Section 3. The Muskingum method is a well known method in a variable dischargestorage relationship.6 shows the relationship between the discharge and the system storage in a variable storage-outflow relationship. is variable. Figure 2. 1988) and (Viessman & Lewis 1996). The level pool method is an analytical method and can be used in situations where the storage function is single valued.2. Furthermore. MuskingumChunge method and multiple storage method. The amount of storage due to backwater depends on the time rate of change of flow through the system. as indicated in Figure 2. The variable storage outflow relationship is one of the factors. Because of retarding effect due to backwater. Several other methods for variable discharge-storage relationship are commonly used. Several lumped flow routing exists. For details see (Chow et al. 1988).6.2. such as the SCS convex method. which contributes to error in the Q − h rating curve which is used to calculate the discharge form water level data. the points R and P do not coincide. i. The relationship is no longer a single-valued function but exhibits a curve. the linear reservoir routing model will be described as the principles of the linear reservoir model is used in the flow routing model in Paper [D]. (Chow et al. Finally.6: Storage flow relationship. the modelling principle in the rainfall runoff model in Paper [B] is a reservoir model even though the model in Paper [B] is a non-linear threshold .4 Surface water hydrology 29 Figure 2..

7) The impulse response function in this system. A deterministic state space representation of this system is:       Q  1/k Q1 1 −1/k  0   Q2     Q2  1/k −1/k     . Chow et al.6) (1 + kD).  =   . (1988). Figure 2.7 demonstrates this principle. .   1/k −1/k  .  .8) kΓ(n) k which is the gamma distribution function. A transfer function (in continuous time) of the n linear reservoir model with storage constant k is 1 Q(t) = I(t) (2. . representing the outflow from the n-th reservoir is n−1 1 t h(t) = Qn (t) = e−t/k (2.   .   . S = kQ (2.5) (Nash 1957) stated that a watershed may be represented by a series of n linear identical linear reservoirs. .  Idt d . (1 + kD) n times where D is the differential operator.   . Introduction to hydrology A linear reservoir is a reservoir where the storage is linearly related to its output by a storage constant k. .30 model. each having the same storage constant k. Figure 2. 1/k −1/k 0 Qn Qn (2.7: Linear reservoirs in series.  dt +  . . which has the dimension time.

4. depth and velocity vary only in the longitudinal direction of the channel. The average crosssectional is denoted A and q is the lateral inflow between the upstream location and downstream location. • The longitudinal axis of the channel is approximated as a straight line.9) ∂x ∂t Where Q is the flow. and depth vary in space throughout the watershed. Hence.2. • Resistance coefficients for steady uniform turbulent flow are applicable so that relations such as Manning’s equation can be used to describe resistance effects • the Fluid is incompressible and of constant density throughout the flow. that is the scour effects and deposition are negligible. ∂Q/∂x is the rate of change of the flow along the channel. the flow process can be approximated as varying in one space dimension along the flow channel. The Saint-Venant equations. describe one-dimensional unsteady open channel flow.2. Hence. if following assumptions are true: • The flow is one-dimensional.4 Surface water hydrology 2. (2. • The flow is assumed to vary gradually along the channel so that hydrostatic pressure prevails and vertical accelerations can be neglected. first developed by Barre de Saint-Venant in 1871. x is the geometrical variable along the channel. This implies that the velocity is constant and the water surface is horizontal across any section perpendicular to the longitudinal axis.2 Distributed flow routing 31 The flow of water through the soil and stream channels of a watershed is a distributed process because the flow rate.1) For a description of flow routing in a channel the spatial variation in velocity across the channel can often be ignored. • The bottom slope of the channel is small and the channel bed is fixed. The Saint-Venant equation for mass balance is: ∂Q ∂A + −q =0 (2. The Saint-Venant equation for mass balance can be derived from the continuity equation. velocity. . This is described in a three dimensional space and time by the continuity equation Eq.

This rate affects the proportions of rainfall that appears as surface runoff and groundwater losses. The rate at which the infiltration occurs depends on the infiltration capacity of the soil. plants. subsurface flow (unsaturated flow) through the soil and groundwater flow (saturated flow) through soil or rock strata. to a large extent depends on the wetness of the soil. thus perfectly quantified general relation does not exits. grass and other structures. infiltration is a very complex process and mathematical equations can only describe it approximately (Chow et al. Soil properties control the rate at which water infiltrates into the soil. which i. The water in excess of interception capacity then begins to fill surface depressions. . and a film of water is also built up above the ground surface. 1988). As a result of great spatial variation and the time variations in soil properties occurring as the soil moisture content changes. Infiltration is the process of water penetrating from the ground surface into the soil. and. percolates through the subsurface and travels through the soil to surface water bodies. Subsurface and groundwater outflow occur when subsurface water emerges to become surface flow in a stream or spring.5 Subsurface water and groundwater Surface water infiltrates into the soil and becomes soil moisture. (Viessman & Lewis 1996). such as trees. recharges the aquifers that again support base flow during dry periods.. Then some proportion of the water infiltrates downward through the surface of the earth and becomes soil moisture.32 Introduction to hydrology 2. When precipitation reaches the ground it hits the intercepting surfaces.e.

Evaporation and transpiration data have not been available in the projects of this PhD program and therefore they will not be described here. The meteorological institute in Iceland uses rain gauge with a Nipher wind shield. 3.1 Precipitation Precipitation data is the main factor in hydrological models. evaporation and transpiration. The gauges are located at 1. The data used in this PhD project are both from Iceland and Denmark. stream flow. and good precipitation data are very important for the quality of the model simulations (Sælthun & Killingtveit 1995). . Many types of rain gauges exist. Figure 3. Two countries use different rain gauges. and even higher at some few locations because of the snow.Chapter 3 Hydrological data Hydrological data are the basis for hydrological analysis.1 shows a sketch of a gauge with a Nipher wind shield. The precipitation data determine the total amount of water input into the model. The essential data are precipitation.5 m height above ground.

The water drops 1: Filter 2: Syphon 3: Bucket assembly with two buckets Figure 3.34 Hydrological data Figure 3. it tips over.2 shows a sketch of a tipping bucket.2 mm of rain. the bucket tips over again. When this box has collected 0.2 mm.1: A rain gauge with a Nipher wind shield. ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡ ¡  ¡  ¡  ¡  ¡  ¡  ¡  ¡  ¡                                                                 1 2 3 . Consequently. through a filter down to a syphon and then into a bucket with two boxes. Figure 3. the rain gauges used were tipping buckets. Rain drops into the gauge in a bottle. and the water starts to enter the second box. When the second box has collected 0. the precipitation data have values which are a multiplication of 0.2: A tipping bucket rain gauge. The bottle is emptied by manual labour twice within 24 hours. The water enters only one box at a time.2 mm of rain. In the projects where data originated from Denmark.

In 1987 a complete experimental field in Jokioinen in Finland was put up in order to develop models for operational correction of nordic precipitation data. The Swedish. During a summer period. Several models were developed. More about Sigurdsson experiment and results can be seen in (Sigbjarnarson 1990). integrated over the 1 Hveravellir is located between Hofsj¨kull and Langj¨kull in middle of Iceland at a 646 m o o height. mainly the weather condition and the type of rain gauge used. the models need to be extrapolated extensively. Danish and Norwegian countries included their national gauges in the experimental field. 1996). not disturbed by wind. Unfortunately the accuracy of the models can be questioned since the average wind speed at Jokioinen is about 4 m/s whereas in the other Nordic countries the average wind speed is much higher. located in a hole in the ground with the gauges opening located at ground level. This type of gauge can only be used for measuring rain. having the unit [m3 /s]. for practical purposes. Based on the ground level measurements and some other data. However such models depend on many factors. Flosi assumes that average wind correction for snow is 80% in Reykjavik and 100% in Hveravellir. 3. Hence. .5 m height. the wind speed data must be available which often is not the case.7% more rain than the nipher gauge at 1.1. Flosi assumes that an average correction caused by wind for rain is 28% in Reykjavik and 32% in Hveravellir1 The difference is mainly caused by stronger wind in Hveravellir. Experiments have been made in order to develop models to correct the underestimate. The meteorologist Flosi Hrafn Sigurdsson states that measurements. see (Førland et al.3. All of them included wind speed as a factor in the correction model.1 The error It is a well known fact that the amount of precipitation measured is an underestimate of the ”ground true” precipitation. can be achieved by using a precipitation gauge. The main precipitation measurement error in Iceland is caused by aerodynamical effects near the rim of the gauges. Furthermore. No scientific experiments have been performed in Iceland in order to achieve a model to correct the underestimate.2 Discharge The discharge is a flow of water. Considering a cross sectional area across a river the discharge is the velocity.2 Discharge 35 3. May September the ground level gauge in Reykjavik measured 21. at least not in Iceland. Furthermore.

The transducer has a membrane and the pressure on the membrane is measured.36 Hydrological data cross sectional area. The most commonly used methods for measuring water level are the floating principle and pressure measurements.3 shows a sketch of the floating Cross section profile Floating matter Pipe Surface Bottom indicates that water is flowing from the viewpoint Figure 3. the discharge is not measured on-line but the water level is measured. parallel to the bottom.) and the water level can be measured.3: The floating principle principle. One part of the pipe is in the river. This is done by using a floating device in the pipe.4 shows an outline pressure measured Bottom Figure 3. An L shaped pipe (open in both ends) is installed in the river. Then a tube is led into the river and small quantity of gas is put in the tube continuously. In general. The pressure in the tube depends on the pressure at the tubes opening in the river. The water remains undisturbed in the pipe (no wind disturbance etc. By using the one to one relationship of pressure and depth. Conse- . The measured dept is used to calculate the discharge by using the fact that the flow equals the velocity intergrated over the cross sectional area. of a pressure transducer instrument. The water level inside the pipe is the same as outside the pipe.) The pressure is sometimes measured by using bubbles. (The measured pressure is corrected due to air pressure. so that the stream is at the same level as the open area. Figure 3.4: Sketch of a pressure transducer. pressure measurements are also used to construct water level data. The other part stands perpendicular to the river’s surface. Figure 3.

velocity measurements are required.5: Outline of a screw velocity-measurement instrument into sections as shown in Figure 3. and then an approximative velocity map can be drawn. This method is commonly used in Iceland Another commonly used method is the use of magnetic flow meter. . The last mentioned method is the laser Doppler velocity meter. is to use a screw.6.8. Several methods and instruments for velocity measurements exist. The cross section is divided Figure 3. and probably the oldest one. According to the Doppler effect the waves emitted from a source moving toward an observer are squeezed.6: Principles of the velocity-area method. The first mentioned method. It sends a monochromatic laser beam toward the target and collects the reflected radiation. as shown in Figure 3.5.3.2 Discharge 37 quently. This method is also quite commonly used in Iceland. Hence. However it is not convenient when the velocity is very large as the rocks in the bottom then move along the river. The operation of a magnetic flow meter is based upon Faraday’s Law. The screw is used to measure the velocity Cross section profile velocity mesured Surface Bottom Figure 3. in each section.7 shows a magnetic flow meter. Figure 3. as shown in Figure 3. which states that the voltage induced across any conductor as it moves at right angle through a magnetic field is proportional to the velocity of that conductor. the velocity of the object can be obtained by measuring the change in wavelength of the reflected laser light.

38

Hydrological data

Figure 3.7: Magnetic flow meter (Figure is from http://www.omega.com/prodinfo/magmeter.html).

3.2.1

The rating curve

Using velocity/flow measurements the relation between water level and discharge is found. This relation is known as the rating curve, or the Q − h relationship (Q for discharge and h for depth/stage). The most commonly used formula is Q = k(h − h0 )N (3.1)

where h0 is the stage at which discharge is zero. Figure 3.9 shows water level and flow data.

3.2.2

The error

It is clear that the discharge data are far from being without a noise. The water level has to be measured and this process incorporates measurement errors as no instruments are perfect. Furthermore, the velocity has to be measured for corresponding measurement errors. Last but not the least, the Q − h relation has to be found and this relationship is not perfectly described. Additionally the Q − h relationship is dynamic since the cross section can change in time. Furthermore, in most real cases the Q − h relationship is not unique. When Q varies with time it makes a loop, similar to the variable storage flow relationship Q − S, as shown in Figure 2.6. The hysteresis (i.e. loop-rating) in the Q − h graph is created as for a fixed depth (h) the velocity is larger when the flow is increasing and smaller when flow is decreasing. Thus two points on each side of the top of a hydrograph will have different flow velocities and discharge (Q) even though the depth is the same. Usually the time variation of the flow is slow

3.3 River ice

39

Figure 3.8: Laser Doppler velocity meter (Figure is from http://www.efunda.com/designstandards/sensors /laser doppler/laser doppler effect theory.cfm).

Q

h0

h

Figure 3.9: Water level data, flow data and a rating curve.

enough so this difference is negligible. But when that is not the case, enough data is usually not available to determine the complete loop.

3.3

River ice

In a colder climate icing in rivers disturbs water level measurements. The following section is based on; (Bengtson 1988), (Chow 1964), and (Rist 1962).

40

Hydrological data

3.3.1

Construction of river ice

When the temperature of the surface water has dropped to the freezing point, net heat loss due to the atmosphere will cause ice production. Ice formation frequently starts with the development of many tiny disk formed crystals called frazil as shown in Figure 3.10, left. Frazil ice particles, frequently collected by

Figure 3.10: To left frazil ice and to right is ice pan. (http://www.clarkson.edu/ htshen)

adhesion, form larger masses which move along with the current. As the ice content of the water increases, the water becomes oily or milky in appearance and the viscosity of the water increases. Ice rapidly forms on the surface of most flowing rivers. At first this consists of agglomeration of broken surface crystals and frazil ice which unite to form round pans. Figure 3.10, right shows an ice pan. These pans grow by accretion and the open water between them becomes smaller. When the ice cover on the surface is complete, the river regime changes from open water flow to flow beneath the ice cover. However, the same flow is to be carried and as a consequence the water level is increased. Ice can also form on underwater objects. This is called anchor ice, shown in Figure 3.11. The coating of anchor ice may be several inches thick and may then grow more rapidly on sharp corners. This anchor ice may eventually dam up the stream. Thus, it is possible to develop a staircase of a series of small ice dams with some still water trapped behind them. The increased viscosity due to the ice content, the damping of turbulent eddies, and the rise of the river bed due to the formation of anchor ice also cause an increase in the river stage.

11: Anchor ice.2 Melting of river ice The melting of ice in an icecovered river causes the river stage to rise in the spring.3. (http://www.3 River ice 41 Figure 3.edu/ htshen) 3. If the water rises fast the ice cover can be fragmented and forced to move while it still has almost its full strength. This initiates a chain reaction so that a complete ice cover can be removed in a matter of hours. At one point the ice cover begins to break and to move with the stream.clarkson. At particular locations depending on river morphology ice jams are formed. . Very high water levels are caused by ice jams present during break-ups.3.

but before the rivers are frozen the temperature rises. The winter period in Iceland is rather long and the weather is changing.42 Hydrological data 3. the ice is broken up without any intervening ice cover period and an ice free period may then follow. Breaking-up period in early spring 4. In this case the expertise of the hydrologist working on ice correction is the only thing to rely on. Freezing-over may start during a cold period in early winter. Consequently. and it is up to the operator to detect the period.3. Freezing-over period 2. the usual situation is that no information from local sources on potential ice problems is available. All series are treated manually. At most gauging stations in Iceland. Each winter this may be repeated several times. the Hydrological Service (HS) does not employ a local observer to follow and report on the building-up of ice jams in the river. In countries with a predominantly continental climate. In Iceland. The difference between the water level with ice present and the water level during summer conditions at the same discharge. The usual procedure is to use weather data from a nearby meteorological station showing both temperature and precipitation. Ice cover period from early to late winter and 3. The water level data is compared with the meteorological data and usually backwater effects are identified as an .3 Ice reduction The term ice reduction is used for the complete process of correcting the observed water levels so that these reach the levels that would have been observed if there were no ice present in the entire river system. Ice free summer season In some countries this cycle is so stable that the beginning and the end of each of its phases or periods may be predicted with an error of a few days only. It is sometimes very hard to detect when an icing begins and if there is still ice in the river after a thawing period. this regularity is more or less absent. The Hydrological Service (HS) has no automatic procedures for detecting suspicious periods. the river state can be catagorized into following phases: 1. In such circumstance a wintertime rating curve can be made and used during the winter. is referred to as backwater from ice formation.

3 River ice 43 abrupt increase in water level during periods where this would not be expected due to cold and dry weather. The temperature in January is cold and at the beginning of February the water level rises drastically and stays high until a long warm period in March sets in.12 shows a graph of ice corrupted water level data in the River Fnjoska in northern Iceland in late winter 1996. also in northern Iceland. Then the water level falls.3.12: Ice disturbance. Temperature (°C) . Also. one of the reasons for applying stochastic models in hydrology. is shown. Akureyri 1996 40 35 Precipitation (mm/d) 30 25 20 15 10 5 0 23 27 31 4 January 1996 8 12 16 20 24 28 February 1996 3 7 11 15 March 1996 ← Precipitation ← Temperature 10 8 6 4 2 0 −2 −4 −6 −8 −10 −12 240 Water Level (cm) 220 200 180 160 140 120 100 23 27 31 4 January 1996 8 12 16 20 24 28 February 1996 3 7 11 15 March 1996 ← Water Level Fnjóská 1996 Figure 3. indeed. Furthermore. the temperature and precipitation at Akureyri. but ice problems due to these types of ice formation are quite common in Icelandic rivers. Finally. the effects of frazil ice and in particular anchor ice can be very difficult to detect. Figure 3. The problem of river ice is. Sometimes this could be very difficult procedure especially if the backwater effects are not very remarkable and only last for short periods of time. Discharge measurements during winter conditions are performed once every winter.

44 Hydrological data .

4. Journal papers are often written in a compact form as only a limited number of pages are allowed. The internal of the system is fully known. In this section the modelling approaches will be further described. white box models and grey box models. They approach the system in terms of input and output with the internals hidden in a black box.Chapter 4 The stochastic dynamic modelling This PhD thesis consists of stochastic modelling of hydrological systems. Black box models. White box models are the opposite of the black box ones. [B] [C] and [D]. In order the develop a white box the modeller must know . Four projects have been studied and the results are illustrated in Papers [A]. Black box models are purely data based model.1 Model categorization Modelling approach may be grouped into three categories.

Later. A proper mathematical description of a non-linear system involves the Volterra series. the data are sampled in discrete time and occasionally it is more convenient to describe the model in discrete time. . . . The systems. y(1) and past values of input (if necessary) u(t). . 4.2 Non-linear models in general Broadly speaking. A model is viewed as grey box if physical knowledge about the system is used along with the data. . Thus the model is not completely described by physical equations but the equations and the parameters are physically interpretable. As the time is continuous all the physical systems studied are defined in continuous time. yt−1 . For model described in continuous time it is referred to as linear if the differential equations used to describe the system are linear. The dynamical data series studied are called the time series. or the models. The choice of model depends on the aim and on the available knowledge in each situation. Models can be developed in continuous time and discrete time. Furthermore the linearity can also be studied in the frequency domain. who first published his ideas nearly a century ago. . y(t − 1). the way a modeller often prefers to think about a non-linear system is a system where non-linear equations are used for describing it. . The aim of the modelling effort may be generally expressed as. ) = t (4. can be grouped into linear models and non-linear models. Wiener. Varrett and Kalman took up the theme but from different standpoints (Tong 1990). In a discrete time a system is linear if the output.box modelling approaches. u(1) and a white noise residuals.and white. Grey box models are placed in between black.1) . In this project both grey box models and black box models have been used. finding a function h such that { t } defined by h(yt . . . is described as a linear function of past values of y. y(t). . However. . black box systems can be both linear and non-linear.46 The stochastic dynamic modelling the system in details and occasionally the model becomes over-specified. a linear system will respond to a single harmonic input with a single harmonic output.

However. .. For linear systems the following is true: gkl = gklm = gklmn = · · · = 0 Hence. an infinite sequence of generalized transfer functions may be defined as: ∞ (4. t−l (4. are called the kernels of the Volterra series. . ω3 ) = = gk e−iω1 k k=0 ∞ ∞ gkl e−i(ω1 k+ω2 l) k=0 l=0 ∞ ∞ ∞ = k=0 l=0 m=0 gklm e−i(ω1 k+ω2 l+ω3 m) . . etc. . . . {gkl }. . Suppose that the model is causally invertible. (4. .2 Non-linear models in general 47 where t is a sequence of independent random variables.4) are called the Volterra series for the process {X}.2) Suppose that h is sufficiently well-behaved so that it can be expanded in a Taylor series: ∞ ∞ ∞ yt = µ+ + gk t−k + k=0 l=0 ∞ gkl t−k t−l k=0 ∞ ∞ gklm k=0 l=0 m=0 t−k t−l t−m + . i..4. ).5) H1 (ω1 ) H2 (ω1 . (4. The sequences {gk }.. ω2 ) H3 (ω1 . the equation above may be ’solved’ such yt = h ( t . gk = ( ∂h ∂2h ). ω2 .3) The functions: µ = h (0). t−1 .e. gkl = ( ∂ t−k ∂ t−k ∂ ). . the system is completely characterized by either {gk } : Impulse response function or H(ω) : Frequency response function In general there is no such thing as a transfer function for non-linear systems.

(frequency multiplication). respectively. . e. (Stochastic Differential Equations). ω1 . L2 The principle of superposition is valid. The advantages of modelling in a continuous time is that the continuous time is a realization of the physical world and thus the models parameters are directly interpretable. 3ω0 . The modelling approach in papers [B] and [D] is by use of SDE’s. however. also contain components at the frequencies 2ω0 .g. More specifically: NL1 For an input with frequency ω0 . .48 The stochastic dynamic modelling Let ut and yt denote the input and the output of a non-linear system. .3 Stochastic differential equations and parameter estimation One of the most successful approach of grey box modelling is to use SDE. and the total output is the sum of the outputs corresponding to the individual frequency components of the input.. • For linear systems it is well known that: L1 If the input is a single harmonic ut = A0 eiω0 t then the output is a single harmonic of the same frequency but with the amplitude scaled by |H(ω0 )| and the phase shifted by arg H(ω0 ). in general. . NL2 For two inputs with frequencies ω0 and ω1 . Further description can be found in. the output will contain components at frequencies ω0 . (Tong 1990) and (Madsen & Holst 2000). (Hence. • For non-linear systems. (ω0 + ω1 ) and all harmonics of the frequencies (inter-modulation distortion). the output will. the system can be completely described if the response to all frequencies is known – that is what the transfer function supplies). neither of the properties (L1) or (L2) holds. 4.

θ) + ek (4. ut . ut . The vector ω t is a q-dimensional standard Wiener process and ek ∈ N (0. It is a well known fact that the likelihood function for time series is a product of conditional densities N (θ . uk . tk . tk . t. representing. tk . ut . The equations in Paper [B] can thus be written as: dxt yk = = f (xt . xk = xt=tk and uk = ut=tk . The vector y k ∈ Rl is a vector of measurements.4. uk . This is performed by using the software CTSM which is based on the principle of maximum likelihood method (ML) for parameter estimation. dxt yk = = f (xt . θ)dω t h(xk . The functions f (·) ∈ Rn and σ(·) ∈ Rn×q are general non-linear function. In order for this to work out it is necessary to assume that the function σ(·) is independent of the state variable xt . the function h(·) is linear and independent of the input and the function σ is a constant. xt ∈ Rn is a vector of state variables. YN ) = k=1 p(y k | Yk . t. a general formulation of a continuous-discrete stochastic state space model of which parameters can be estimated by use of CTSM is: dxt yk = = f (xt . θ)dt + σ(xt . ut . t.1 Continuous-discrete state space models A general formulation of a continuous-discrete stochastic state space model is written as.7) In Paper [B]. t. The function h(·) ∈ Rl is a non-linear function. S(uk . θ) + ek (4.3 Stochastic differential equations and parameter estimation 49 4. Measurements can be used to estimate the parameter vector θ. θ) p(y 0 |θ).9) The measurements y k are used to estimate the parameter vector θ. ut ∈ Rm is a vector of input variables and θ ∈ Rp is a vector of parameters.3. t. θ)dt + σ(θ)dω t C(θ)xt + ek (4. a standard deviation of the increments. (4.10) . and is written as dxt yk = = A(θ)xt dt + B(θ)ut dt + σ(θ)dω t C(θ)xt + ek (4. the function f (·) is non-linear. θ)) is an l-dimensional white noise process. θ)dω t h(xk .6) where t ∈ R+ is time. θ)dt + σ(ut . Thus.8) Contrarily. in the Paper [D] the model is a linear time invariant model.

Thus the transition from one time to another involves integration. the initial probability density p(y 0 |θ) must be known and all subsequent conditional densities must be determined. E[xt |Yt ].(4.11) are based on the Kalman filter equations. It is clear that for calculation of the output prediction y k|k−1 and its variance Rk|k−1 the variables xk|k−1 and P k|k−1 must be known. However. The continuousdiscrete Kalman filter equations can be seen in (Jazwinski 1970).(4.1. YN ) ≈ with mean k T −1 1 exp( k Rk|k−1 k ) 2π l/2 det(Rk|k−1 )1/2 k=1 N (4. uk|k−1 . tk−1 . V [xt |Yt ]. The fifth one is the state updating.11) is approximative.8) is LTI (Linear Time Invariant) or LTV (Linear Time Variant) the result in Eq.50 The stochastic dynamic modelling In order to obtain an exact evaluation of the likelihood function. YN )) ≈ 1 2 N ln(det(Rk|k−1 ) + k=1 T −1 k Rk|k−1 k ) 1 + N l ln(2π) (4. and with the right assumptions this can be approximated with the Normal distribution L(θ . and variance Conditioning on y 0 and taking the negative logarithm gives: − ln(L(θ . This can in theory be determined by Kolmogorov’s forward equation (Jazwinski 1970). The seventh one is the one-step state prediction and the eight one is the state prediction’s variance. whereafter the assumptions and perquisites are discussed. (4. the second one is the one-step prediction error/innovation. this is not very suitable in practice. The third one is the covariance of the prediction error. the continuous-discrete Kalman filter equations are written in Table 4.(4. Thus. . θ) Rk|k−1 = V (y k − y k|k−1 ). and the sixth one is the updating’s variance. When the stochastic differential equation in Eq. The change in time of xt|k−1 and P t|k−1 is described in continuous time.11) = y k − y k|k−1 = y k − h(xk|k−1 .12) 2 which involves calculating a sum rather than a product. The calculations which lead to Eq. The fourth one is known as the Kalman gain.11) is exact while in the case of a non-linear stochastic differential equation the result in Eq. The first equation is the output prediction.

xtk+1 = eA(tk+1 −tk ) xtk + tk+1 tk t ∈ [tk .4.13) eA(tk+1 −s) Bus ds + tk+1 tk eA(tk+1 −s) σdω s . C = C(θ) .9) the stochastic differential equation is dxt = Axt dt + But dt + σdω t and then the solution is. tk+1 [ Non − linear SDE h(xk|k−1 .1: The Kalman filter equations Linear SDE C xk|k−1 + Duk y k − y k|k−1 CP k|k−1 C T + S t P k|k−1 C T R−1 k|k−1 xk|k−1 + K k P k|k−1 − K k Rk|k−1 K T k Axt|k + But t ∈ [tk .θ σ = σ(ut . (4. tk . θ) A fundamental assumption before integrating is to define the stochastic integral. tk+1 [ y k|k−1 = k = Rk|k−1 = Kk = xk|k = P k|k = dxt|k dt = dP t|k dt y k|k−1 = k = Rk|k−1 = Kk = xk|k = P k|k = dxt|k dt = dP t|k dt = = Shorthand notation A = A(θ) . t. and and and B = B(θ) D = D(θ) S = S(θ) A= C= Shorthand notation ∂f ∂xt ∂h ∂xt x=xk|k−1 . In the case of a linear time invariant model like Eq.14) The prediction is the expectation value xk+1|k = E{xtk+1 |xtk }.3 Stochastic differential equations and parameter estimation 51 Table 4.θ x=xk|k−1 . θ) t ∈ [tk .u=uk . uk . tk+1 [ AP t|k + P t|k AT + σσ T t ∈ [tk . θ) y k − y k|k−1 CP k|k−1 C T + S t P k|k−1 C T R−1 k|k−1 xk|k−1 + K k P k|k−1 − K k Rk|k−1 K T k f (xt|k . tk+1 [ AP t|k + P t|k AT + σσ T t ∈ [tk . tk+1 [ (4. S = S(uk .t=tk . uk . Because of the fact that the stochastic process is an Ito process it follows that tk+1 E{ tk eA(tk+1 −s) σdω s } = 0 . tk . θ) . (4.t=tk . The stochastic process must be defined as an Ito process and then the stochastic integral is an Ito integral. see (Øksendal 1995) for details.u=uk . σ = σ(θ) . tk .

because of the fact that the noise term in Eq.52 The stochastic dynamic modelling which actually is not true for all stochastic integrals e. Given xk|k the first two terms in Eq. =E b g 2 (s)ds . the conditional distribution also becomes a normal distribution.16) (4. While the second term tk+1 V tk eA(tk+1 −s) Bus ds = 0. the Ito process assumption is fundamental.15) eA(tk+1 −s) Bus ds (4.19) because no stochastic part is involved. Thus. Finally. The first term is V eA(tk+1 −tk ) xtk = = eA(tk+1 −tk ) V [xk|k ] eA(tk+1 −tk ) eA(tk+1 −tk ) P k|k eA(tk+1 −tk ) T T (4.(4.8) is independent of the state variables tk+1 V tk eA(tk+1 −s) σdω s tk+1 = = E tk tk+1 eA(tk+1 −s) σdω s tk+1 tk eA(tk+1 −s) σdω s T E tk eA(tk+1 −s) σσ T eA(tk+1 −s) ds (4.20) since for an Ito integral the following is true   E b 2 g(s)dω s a Again.(4. a (4.18) (using V [Ax] = AV [x]AT and V [xk|k ] = P k|k ).. because of the normal distribution assumption of the measurements noise term e k . the Ito process assumption is fundamental. and the Wiener process assumption for the state space variables.14) do not include a stochastic part. Furthermore. the Statonovich integral (Øksendal 1995). (4.17) +V tk eA(tk+1 −s) σdω s .21) . It follows that xk+1|k = E{xtk+1 |xtk } = eA(tk+1 −tk ) xtk + The state predictions covariance is P k+1|k = = V {xtk+1 xTk+1 |xtk } t V eA(tk+1 −tk ) xtk + V tk+1 tk+1 tk tk+1 tk eA(tk+1 −s) Bus ds (4.g.

(4. transfer functions is also frequently called the Box-Jenkins transfer functions. Furthermore.4 The family of linear stochastic models For the non-linear systems like Eq.4 The family of linear stochastic models In this thesis it is argued that grey box modelling constitutes a very powerful modelling framework.(4. Finally. The relation between the discrete state space form and the transfer form is as follows: Consider the following well known formulation of a discrete time state space model with constant coefficients: x(t + 1) y = φx(t) + Γu(t) + v(t) = Cx(t) + e(t) (4. s. The evaluation of the integral can be calculated by linearizing the function f () and then use methods for linear models.23) . it is reasonable to believe that the conditional distribution can be well approximated by the normal distribution whether or not the function f () is linearized.22) The state prediction xk+1|k = E{xtk+1 |xtk } is the evaluation of the first integral as the expectation value of the latter integral is zero due to the Ito process assumptions.1 The transfer function form The form of the linear. see more about this in Appendix E. if attention is restricted to linear and time-invariant models. In this section the family of linear stochastic models are described.4. (4. since (Box & Jenkins 1976) are responsible for the great popularity of this class of models. allowing modelling for both non-linear and non-stationary systems. us . 4. as can be seen in the Kalman filter equations. or numerical methods can be applied. discrete time. θ)ds + tk σ(θ)dω s .4. or numerical methods for integration are applied. based on the general formulation of linear time invariant SDE’s as in Eq.8) then tk+1 tk+1 53 xtk+1 = tk f (xs . then a rich family of well-known linear stochastic models are obtained as a special case.9) 4. For calculation of the covariance matrix P k+1|k = V {xtk+1 xTk+1 |xtk } the non-linear function f () is approximated t by its first derivative.

. and H 1 (z) and H 2 (z) are rational polynomials in z: H 1 (z) H 2 (z) = = C(zI − φ)−1 Γ C(zI − φ)−1 K + I (4. Then φ(τ ) = eAτ .30) (4.(4. (4. (4. t + τ [ then t+τ τ Γ(τ ) = t eA(t+τ −s) Bds = 0 eAs Bds (4. τ ) the variance R1 of the white noise process is R1 = The z-transformation of the state space equations in Eq.32) .31) (4.14). y(z) = H 1 (z)u(z) + H 2 (z) (z) (4.28) (4. (Goodwin & Payne 1977) y(z) = C(zI − φ)−1 Γu(z) + [C(zI − φ)−1 K + I] (z) or alternatively in the transfer function form. the notation in Eq. where τ = tk+1 − tk .26) φ(τ )σσ T φ(τ )T v(t. τ ) = t eA(t+τ −s) σdω s t+τ t (4.9) as shown in Eq.29) (4.27) yields y(z) = C(zI − φ)−1 Γu(z) + C(zI − φ)−1 v(z) + e(z) The rational polynomials in u(z) are found ahead of z and v(z). (4.54 The stochastic dynamic modelling where {u(t)} is the input and {v(t)} and {e(t)} are mutual uncorrelated white noise processes with variance R1 and R2 . If {y t } is a stationary process (the matrix A is stable) the noise processes in Eq. (4. (4. Finally.27) where { t } is white noise with variance R.23) zx(z) = φx(z) + Γu(z) + v(z) y(z) = Cx(z) + e(z) Elimination of x(z) in the system of linear equations Eq. This state space model might the solution of the linear time invariant SDE in Eq.25) where the last equation is true because of the time-invariant assumption.28) can be combined into one stationary noise process only. (4. respectively.23) implies τ = 1. Denote the constant sampling time as τ .24) By assuming that the input us is constant in the time interval [t. t+τ v(t.

4.4 The family of linear stochastic models

55

The function H 1 (z) is referred to as the transfer function (Box & Jenkins 1976). The matrix K is the stationary Kalman gain. R is determined from the values of R1 , R2 , φ and C, since K R = = φP C T (CP C T + R2 )−1 CP C + R2
T

(4.33) (4.34)

where P is determined by the stationary Ricatti equation P = φP φT + R1 − φP C(CP C T + R2 )CP φT (4.35)

The ARMAX class of models are obtained in cases where the denominators in (4.30) for H 1 and H 2 are equal. Hence, the models are written: A(z)y(z) = B(z)u(z) + C(z) (z) (4.36)

where A, B, and C are polynomials in z. In the time domain this is written as A(q −1 )y(t) = B(q −1 )u(t) + C(q −1 ) (t)
−1

(4.37)

where q y(t) = y(t − 1). In the case A(z) = 1, the model is a FIR model (Final Impulse Response model). As shown above a transfer function can be found from the state space form by eliminating the state vector. In contrast, for a given transfer function model a whole continuum of state space models exists. The most frequently used solution is to choose a canonical state space model - see, e.g., (Goodwin & Payne 1977). Eventually, physical knowledge can be used to state a proper connection between desirable state variables, to be introduced for the state space form. Note that compared to the discrete time state space model: • The decomposition of the noise into system and measurement noise is lost. • The state variable is lost, i.e., the possibility for physical interpretation is further reduced.

4.4.2

Impulse response function models

A non-parametric description of the linear system is obtained by polynomial division, i.e.,

y(t) =
i=0

hi u(t − i) + N (t)

(4.38)

56

The stochastic dynamic modelling

where Ni is a correlated noise sequence. The sequence {hi } is the impulse response (matrix) function. In the frequency (or z-) domain: y(z) = H(z)u(z) + N (z) (4.39)

where H(z) is the transfer function, and for z = eiω the frequency response function (gain and phase) is obtained. Comparing a state space model with a transfer function model the following is observed: • The description of the noise process is lost. • The non-parametric model hides the number of time constants, etc.

4.4.3

Periodic models

Periodic models can be linear in the stochastic terms. In Paper [C] the measurements are discharge and, as in all Icelandic rivers the discharge is periodic. The model is written as Q(t) y(t) = = P (t) + S(t)y(t) a y(t − 1) + (t) (t) ∈ N (0, σ 2 ) (4.40) (4.41)

In order to ensure non-negative flow in the stochastic simulations, the discharge series was transformed by using the logarithm. Q(t) denotes the log transformed discharge, P (t) denotes the periodic mean and S(t) denotes periodic standard deviation. The estimations of P (t) and S(t) were based on the log transformed discharge data. By inserting Eq. (4.41) into Eq.(4.40) it becomes Q(t) = P (t) + S(t)[a y(t − 1) (t)] and by induction
t

(4.42)

Q(t) = P (t) + S(t)[
i=1

at−i (i)]

(4.43)

(the term at S(t)y(0) can be neglected as |a| < 1). Thus, the Volterra series, defined in Eq.(4.3) and Eq.(4.4), does not include more than a single sum, i.e., µ = P (t) and gk = S(t)at−k and gkl = gklm = gklmn = · · · = 0. This proves that the system is linear in the stochastic terms.

4.5 Non-linear models in discrete time

57

The periodic mean P (t) is subtracted from the data Q(t) and this difference is scaled by the periodic standard deviation S(t). The resulting process, y(t) in Eq. (4.40) is an AR(1) process as denoted from Eq. (4.41) Hence, the transfer function is y(z) = (z − 1)−1 (z). (4.44)

4.5
4.5.1

Non-linear models in discrete time
Parametric models

A discrete time system is said to be non-linear if its present output is not a linear combination of past input and output signal elements (Cadzow 1973). An example of a non-linear discrete time series models are ARCH models, Autoregressive Conditional Heteroskedasticity models. An ARCH(2) is written as: 2 2 et ∈ N (0, σ) (4.45) yt = et γ + φ1 yt−1 + φ2 yt−2 φ1 , φ2 , and γ are parameters. The ARCH models are commonly used in finance modelling to model asset price volatility over time. A wide class of non-linear models are so called threshold models. The presence of a threshold, r specifies an operating mode of the system, i.e., there are different models in different regimes, where the regimes are defined by the threshold value r. Examples of threshold models are the SET AR models, Self-Exciting Threshold Auto-regressive models and the T ARSO models (Open-loop Threshold AutoRegressive System). The SET AR models are extensions of the AR models whereas the T ARSO models are extensions of the ARX models. A SET AR model consists of k AR parts, one part for each different regime. A SET AR model is often referred to as a SET AR(k, p) model where k is the number of regimes and p is the order of the autoregressive parts. If the auto regressive parts have different orders it is referred to as SET AR(k, p1 , . . . pk ). The regimes are defined by values related to the output values and the shift from one regime to another depends on the past values of the output series y t (hence the Self-Exciting part of the name). An example of a SET AR(2, 1) is: yt = 0 0.9 − 0.9yt−1 + 0.9yt−1 + + eat ebt yt−1 < 0, yt−1 ≥ 0, eat , ∈ N (0, σa ) ebt , ∈ N (0, σb ) (4.46)

the regimes are defined by values r related to the input. the response is denoted as y. . 4. Denoting the regressor variable as x as it can be a vector. However. The class of non-linear discrete time models is enormous and extensive literature on the topic exists. more than single regression variable. In the case of time series analysis. an estimation of m reduces to the point estimation of location. The results can also be seen in (Tong 1990).58 The stochastic dynamic modelling A T ARSO model consists of k ARX parts. . . since average over the response variables y yields an estimate of m. In the trivial case when m(xt ) is a constant.. i. However the model is defined in continuous time and by using a smooth threshold. Rather the assumed curve is modelled as a smooth continuous function of a particular structure which is ’nearly constant’ in small neighborhoods around x. Smoothing of a data set {xt . in practical studies it is unlikely that the regression curve is constant. in the majority of cases repeated responses at a given point cannot be obtained and only a single response variable y and a single predictor variable x exists. past values of the output.e. This local average should be constructed in such a way that it is defined only from observations in a small neighborhood around . the predictor can be an input variable (external variable). and/or past values of the error. N (4.e.2 Non-parametric regression The non-parametric regression analysis traces the dependence of a response variable without specifying the function that relates the predictor to the response. yt } involves the approximation of the mean response curve m in the regression relationship yt = m(xt ) + et t = 1. one part for each different regime and it is often referred to as a T ARSO(k. However.. The idea is to find a curve which relates x and y. p).5. i. However. In (Gudmundsson 1970) and (Gudmundsson 1975) both SET AR and T ARSO models are tested for modelling river flow discharge in Icelandic rivers. The switch from one regime to another depends on past values of the input series xt . The threshold modelling principle is used in Paper [B]. This is often referred to as smoothing.47) If repeated observations at a fixed point x are available the estimation of m(x) can be done by using the average of the corresponding y-values. shift between regimes is defined by a smooth function.

More formally this procedure can be defined as m(x) = 1 N N wt (x)yt . A simple approach to a definition of the weight sequence wt (x). A local average over too large a neighborhood would cast away the good with the bad. resulting in a biased estimate. the basic idea of local averaging is equivalent to the procedure of finding local least squares estimate. in general. Thus. N is to describe the shape of the weight function by a density function with a scale parameter that adjusts the size and the form of the weights near x. Commonly used kernel a functions are a Gauss bell. This local averaging procedure can be viewed as the basic idea of smoothing.5 Non-linear models in discrete time 59 x. A kernel has a shape parameter and scale parameter. the scale parameter is also referred to as the bandwidth (H¨rdle 1990). Finding the choice of the smoothing parameter that balances the trade-off between over-smoothing and under-smoothing is called the smoothing parameter selection problem. In this situation an extremely “over-smooth” curve would be produced. It is a weighted average a of the response yt in a neighborhood around x. The amount of averaging is controlled by the weight sequence {w(x)N } which is tuned with a smoothing t=1 parameter. have very different mean values.4. Only a small number of observations would contribute to the estimate. A kernel a is a continuous. t=1 (4. . If the weights wt (x) are positive and if the sum of the weights is one for all x then m(x) is a least squares estimate at point x since 1 arg min θ N N wt (x)(yt − θ)2 t=1 (4. which makes the non-parametric regression curve rough and wiggly. defining the smoothing parameter so that it corresponds to a very small neighborhood would not sift the chaff from the wheat. The choice of weight function does not have a large impact (Silverman 1986). It is common to refer to the shape function as a kernel (H¨rdle 1990). . in kernel smoothing the choice of the bandwidth is the smoothing parameter selection problem.48) The estimator m(x) is called smoother (H¨rdle 1990). . bounded and symmetric real function k which integrates to one. since y-observations from points far away will. .49) Thus. a tricube function and an Epanecnikov kernel (H¨rdle a 1990). On the other hand. This smoothing parameter regulates the size of the neighborhood around x. t = 1.

orthogonal polynomials. Note that the kernel is more biased in the boundaries.4 2 Locally linear Traditional Kernel 1.5 1 0.5 2 Figure 4. Several other smoothing techniques exists.. The fitted values are produced by locally weighted regression rather than by locally weighted averaging.5 0 0.5 −1 −0. Using local lines instead of local constant allows a larger bandwidth without at bias problem. (4. a . particularly on the boundary.5 0 −0.1 shows a kernel estimate and a local-line regression.5 −2 −2 −1. spile smoothing and others.g. Figure 4. Kernel estimate and Locally weighted linear model.5 1 1.1: A comparison of the kernel estimated and locally linear models.60 The stochastic dynamic modelling An extension of the kernel estimation is local-polynomial regression. A local linear regression can be formulated as 1 N N arg min θ wt (x)(yt − (θ0 + θ1 (X t − x))2 t=1 (4.5 −1 −1.50) where Xt denote the regressor at time t and x is a grid point and thus wt (x) defines a neighborhood of points around x and the local linear estimate of m(x) is ˆ m(x) = θ0 . e. For more see (H¨rdle 1990) or (Burden & Faires 1989).51) Local polynomial regression tends to be less biased than kernel regression. bandwidth 0.

.. This can be accomplished by using kernels and local polynomials In a linear regression model the parameters θ1 . . θ T ]T . + zkt θk0 + zkt θ T x 11 k1 (4. . . in line with the method introduced by (Cleveland & Develin 1988). When the functional relationship θ(x t ) is unknown (i. z1t x1t . zkt xrt )]       (4. If z j = 1 for all j this becomes a local polynomial regression. t = 1. estimated locally. Using a linear function this results in: θj (x) = θj0 + θ T x j1 Hence.54) where θ is estimated locally with respect to x.5 Non-linear models in discrete time 61 4. zkt x1t . If θ(·) is also a local constant. yt = z1t θ10 + z1t θ T x + . be modelled by the principle of local estimation.e. .55) and a new column vector as:   θ jx =   θj0 θj1 .3 Conditional parametric models A generalization of linear models are varying-coefficient models (Hastie & Tibshirani 1993). k is modelled as a smooth function.. referred to as the explanatory variable. In practice a new design matrix is defined as: sT t = [(z1t . . . . . .57) . . . θ T . . When all the coefficients depend on the same variable the model is denoted as a conditional parametric model. . . i. t et ∈ N (0. . θk are constants. . cannot not be parameterized) the relationship. . . . . 1x jx kx (4. In a conditional parameter model each of the θj j = 1. . .4. . . . . The general formulation is yt = zT θ(xt ) + et . θjr (4. . σ 2 ) (4. zt ∈ Rk is the traditional predictor variable and xt ∈ Rr is a predictor variable which affects the variation of the coefficients. . (zkt .5. the method is reduced to traditional kernel estimation. . A varying-coefficient model is formulated as a linear model where the coefficients are assumed to change smoothly as an unknown function of other variables.56) and θ x = [θ T . see (H¨rdle 1990) a or (Hastie & Loader 1993). the method of estimation reduced n ˆ ˆ to determining the scalar θj (x) so that t=1 wt (x)(yt − θ(x))2 is minimized. z1t xrt ). .e. . N.53) (4. . .52) The variables z and x are predictors.

61) where m is the time delay in the explanatory variable x if any. .59) where ||xt − x|| is the Euclidean distance between xt and x and d(x) is the bandwidth.6) with time delay 2 as in Paper [A] yt = a1 (xt−m )yt−1 + a1 (xt−m )yt−2 b2 (xt−m )ut−2 + . An ARX(2.63) (4. . + b7 (xt−m )u7 et ∈ N (0. This is accomplished by using the traditional weighted least squares. (4. . . . .62 The vector y t can then be written as yt = s T θ x + e t t The stochastic dynamic modelling t = 1. σ) (4. . for each. where the weight on observation t is related to the distance from x to xt .65) 4. the elements of θ(x) ˆ θ j (xt ) = [1. yt .64) et ∈ N (0. σ) (4. so that wt (x) = W (||xt − x||/d(x)). This section provides an overview of the methods and the model relations are shown. In time series notation this is written as Axt−m (q −1 )yt = Bxt−m (q −1 )ut + et where Axt−m (q −1 ) Bxt−m (q −1 ) = = 1 − a1 (xt−m )q −1 − a2 (xt−m )q −2 b2 (xt−m )q −2 + .6 Overview of the statistical methods The statistical methods used in this PhD project have been described. N. . k). x2t ]θ jx (j = 1.58) The parameter vector θ x is fitted locally to x. . . + b7 (xt−m )q −7 (4. When the local estimate in Eq. . (4. (4. (4. fixed value of the explanatory variable xt−m the transfer function form in the z domain is y(z) = Axt−m (z) −1 Bxt−m (z)u(z) + Axt−m (z) −1 et . .62) Thus. it is clear that the fitted values yt are a linear combination of the measurements y1 . Hence. (4.60) In case of an ARX model as in Paper [A] the vector z consists of lagged values of the output y and lagged values of the input u. . .58) θ x is obtained. x1t . .

which can be rewritten in the well known transfer function form. Figure 4. The non-linear differential equation can in each time step t be written as a discrete state space equation. Finally. Two models are black box models. The other model is a conditional black box model (Paper [A]). or a numerical solution to the non-linear equation can be found and thereby relate x(t + 1) and x(t) in a discrete state space equation. .2 shows an overview of the models and demonstrates how the models are related. The periodic model can also be rewritten in a transfer function form.4. either by using a 1st order Taylor approximation and derive the discrete state space equation from the linearized equation. the conditional parametric model can be written on the transfer function form for each fixed value of the conditional variable.6 Overview of the statistical methods 63 Two models are grey box models. A linear time invariant stationary differential equation can be written in a discrete state space form. formulated by SDE’s: one model is linear (Paper [D]) and the other is a non-linear threshold model (Paper [B]). This can then be simplified further and written as a transfer function model. of which one model is periodic model but linear in the stochastic terms (Paper [C]).

t.θ)dt +σ(t.u.θ)dω y = h(x.t.64 The stochastic dynamic modelling Paper [D] Grey box dx = Axdt+Budt+dω y = Cx + Du + e Linearization − 1st order Taylor at time t Paper [B] Grey box dx=f(x. Integration x(t+1) = Φx(t)+ Γu(t)+v(t) y(t+1) = Cx(t+1)+e(t) z transformation zx(z) =Φx(z)+ Γu(z)+ v(z) y(z) = Cx(z) + e(z) Delete x in the equations −1 y(z) = C(zI− Φ)−1 Γu(z)+ C(zI− Φ) v(t) + e(t) ~ ~ x(t+1) = Φx(t) + Γu(t) + v(t) y(t+1) = Cx(t+1)+e(t) Stationary process − noise in single comp.B. Transfer function form y(t) = H 1 (z)u(z)+ H2 (z) ε (t) y(z) = (Ax (z))−1 (Bx (z)) u(z)+ (Ax (z))−1 ε(t) y(z) = (z−a)−1 e(z) z transformation y(t) = ay(t−1)+e(t) y(t) = (Q(t)−P(t))/S(t) Given fixed value of x z transformation Ax (q−1)y(t)=Bx(q−1 ) u(t) + ε(t) Paper [A] Conditional ARX and FIR Q(t): Measurements Paper [C] Periodic model Figure 4.θ) + e ODE solver at time t Time invariant system: A. between samples.C and D const.2: An overview of the statistical methods and their relations . u const.u.u.

e. the dynamical part in Eq. In conclusion a situation as sketched in Figure 4. It is quite common that physical models are formulated as: dxt yk = = f (xt . θ)dt h(xk . Hence. This calls for some form of calibration or estimation from data. the grey box approach delivers a strong modelling framework. the possibility of combining prior physical knowledge with data information. 1992). the ideal situation of knowing all the parameters of the model is often absent. ut . White box models often tend to be over specified and in hydrology sometimes the physical processes are so complicated that true physical equations have not yet be proposed (Viessman & Lewis 1996).3: The line demonstrates a dynamic process modelled with differential equations without system noise. tk . Furthermore. θ) + ek (4.4. Hence.66). However. 2004a) it is shown that in cases where true system contains noise in the system equation (the system is not perfectly described by the system equation) a calibration method which does not take this . indicates that the physical dynamics is perfectly described in the model used. especially in hydrology (Refsgaard et al.66) Compared to Eq. because if no system noise is present for the true system then the prediction errors must be independent.7 Motivation for using grey box modelling 65 4. whereas the dots denote typical observations related to such a system. i.3 calls for using stochastic differential equations (SDEs) as an alternative to ordinary differential equations (ODEs). in most cases it will be almost impossible to establish an exact model of all the subprocess needed for describing the true system. This autocorrelation in the model errors calls for a dynamic model which includes system noise. (4. t.7) there is no noise in the system equation. uk .7 Motivation for using grey box modelling The advantage of the grey box modelling approach in continuous time is that it combines the benefits of both the white box and black box modelling principles. in (Kristensen et al. A physical modelling typically results in deviations between the output predicted by the model and observations as indicated in Figure 4.. Furthermore. the model error is serial correlated. Figure 4.(4.3.

For statistical modelling discrete time stochastic state space models are often . might affect the time evolution of the states. The modelling approach can be used for a further analysis of the system which. This implies that large elements in the diagonal of the covariance matrix indicate that the relevant dynamic part of the model calls for some improvement.66 The stochastic dynamic modelling into account will lead to biased estimates. The SDE contains. whereas parameter estimation methods which account for the system noise. If the SDE provides a perfect description of the system then the diffusion part vanishes. The influence of the diffusion part is described by the incremental covariances (typically of a Wiener process). Consider a given model based on a dynamic description provided by a SDE. Some variables. as mentioned previously. occasionally. sufficient knowledge about the system so that grey box model can be developed does not exist. not directly considered in the model. This might provide an understanding which can then be used for formulating a grey box model. • Unrecognized inputs. 2004b) a systematic approach for modelling extension is proposed. a drift term and a diffusion term. Some black box modelling approaches can be used as a first step in the modelling development. In (Kristensen et al. will provide the true values of the parameters. • The measurements of the input to the system are encumbered with measurement noise. and then to extend the state space with extra equations to enable a random walk variation of some of the parameters in the original equation. The direct arguments for including the noise part of the system equation are the following: • The ODE or drift part of the model contains only an approximation of the true system. as the method implemented in CTSM. In Paper [A] conditional parameter modelling approach is used for flow prediction in a sewage system. The idea is to locate the dynamic equations with large incremental covariances. However. Above it has been argued that the SDE based modelling approach contains many advantages compared to the traditionally ODE approach with observation noise. A modelling framework based on SDE’s also provides useful techniques for finding the most adequate proposal for an extension of a given model. The model performs well and significantly better than the traditional linear black box models. and hence the diffusion terms describe the part of the dynamics which is not adequately described by the drift part of the model.

Thus.7 Motivation for using grey box modelling 67 considered. Box-Jenkins. • The models parameters are directly physically interpretable.4. in general. the statistical models (ARMA. but the physical expert most often are not able to interpret the parameters and the results. the physical expert is able to formulate a model describing the dynamics. etc. • Non-equidistant data can be used directly for estimation – hence missing data can be dealt with by using the SDE based approach directly. • Prior physical knowledge can be directly incorporated into the model. Traditionally. but the statistician. . is not able to estimate the all the model parameters. • The model in continuous time contains less parameters than equivalent models in discrete time.) are rather easy to deal with for the statistician. On the other hand. The fact that the direct formulation of the dynamics in continuous time creates a background for a direct collaboration between the expert and the statistician. GLM. for white box models. the grey box approach based on stochastic differential equations bridge the modelling gap between the statistician and the physical expert. • The framework enables a direct collaboration between the physical expert and the statistician. is most likely one of the most important aspects of the grey box modelling approach. Compared to this modelling class the continuous time based modelling offered by the SDE approach offers several advantages: • Non-linearity and non-stationary systems are easily modelled.

68 The stochastic dynamic modelling .

Appendix A Conditional parametric models for storm sewer runoff Accepted in Water Resources Research. .

70 Appendix A .

3 W a ste W a te r C o n tro l a p s .W W C . how ev er. [2 0 0 1 ] 1 . H ja rd a rh a g a 2-6 . T hese m odels a re sim p le a nd ea sy to u se a nd in m a ny ca ses p rov ide a ccep ta b le resu lts.2 O. [1 9 9 5 ]. Th e in c re a se in th e c o e ffi c ie n t o f d e te rm in a tio n is su b sta n tia l.g. Cam p bell et al. tra nsfer fu nctions. Th e re su lts a ch ie v e d in th is stu d y w e re c o m p a re d to re su lts fro m th e c o n v e n tio n a l lin e a r m e th o d s. th e m e th o d m ig h t b e re fe rre d to a s a n e a re st n e ig h b o r m e th o d .1 H. T he goa l of the p resent w ork is to a chiev e good p redictions of fl ow in a sew a ge system . Io rg u lesc u and B ev en [2 0 0 4 ] u sed nonp a ra m etric techniq u es for the identifica tion of ra infa ll-ru noff rela tionship u sing direct m a p p ing from the inp u t sp a ce to the ou tp u t sp a ce w ith good resu lts. B oth the F IR m odels a nd the A R M A X m odels a re linea r tim e-inv a ria nt m odels. [2 0 0 2 ]. [2 0 0 2 ]. n o n lin e a r in p u t-o u tp u t m o d e ls a re n e e d e d . Introduction Hydrology is one of the oldest fields of interest in science a nd ha s b een stu died on b oth sm a ll a nd la rge sca les for a b ou t 6 0 0 0 yea rs. u sin g k e rn e ls fo r lo c a l lin e a r re g re ssio n . Th e p a ra m e te r v a ria tio n is m o d e le d b y lo c a l lin e s. S ing h [1 9 6 4 ]. 2 F a c u lty o f E n g in e e rin g .g. P . the fl ow is m odeled a s la gged v a lu es of p recip ita tion. H o rto n [1 9 3 5 ] or P hilip ’s eq u a tion. D K -28 30 . T his m ea ns tha t the fl ow is m odeled not only a s a fu nction of p recip ita tion. S h am seld in [1 9 9 7 ] a nd m ore recently the S O L O -A N N m odel b y H su et al. [2 0 0 1 ] ha ndle the nonlinea rity b y u sing a n A R X m odel a nd b y m odeling the v a ria nce a s a fu nction of p a st ra infa ll. [1 9 9 9 ] u sed su ch a p rocedu re for p a ra m eter estim a tion in their nonlinea r fl ood ev ent m odel. p a rticu la rly w hen the v olu m e of the fl ood is la rge com p a red to the infiltra ted v olu m e. D K -28 0 0 L y n g b y .1. the ra infa ll ru noff p rocess is b eliev ed to b e highly nonlinea r. V iru m . Th e m o d e l fo rm u la tio n d e sc rib e d in th is p a p e r is sim ila r to th e tra d itio n a l lin e a r m o d e ls lik e F IR (F in a l Im p u lse Re sp o n se ) a n d ARX (Au to Re g re ssiv e e Xo g e n o u s) e x c e p t th a t th e p a ra m e te rs v a ry a s a fu n c tio n o f so m e e x te rn a l v a ria b le s. J o n sd o ttir. N ie lse n 3 A b stract. e. D e n m a rk . Horton’s infiltra tion form u la . P a lsso n 2 a n d M . P rev d i and L o v era [2 0 0 4 ] ta ck le the nonlinea rity b y u sing tim e-v a rying A R X m odels. VOL. F IR a n d ARX. or P ilg rim [1 9 7 6 ]. S h erm an [1 9 3 2 ] p resented the first b la ck b ox m odel b y introdu cing the theory of u nit hydrogra p h. i. they do not distingu ish b etw een the A R M A X a nd the nea rest neighb or m odels. Hence. w hich they refer to a s N on-L inea r P a ra m eter V a rying M odels (N L P V ). D e n m a rk C o p y rig h t 20 0 6 b y th e A m e ric a n G e o p h y sic a l U n io n . In P o rp o rato and R id o lfi [2 0 0 1 ] these m ethodologies a re follow ed u p for m u ltiv a ria te system s. T o d ini [1 9 7 8 ] u sed a n 1 D e p a rtm e n t o f In fo rm a tic s a n d M a th e m a tic a l M o d e llin g . N ev ertheless.1029/. a b a se fl ow sep a ra tion m u st b e p erform ed a nd the eff ectiv e p recip ita tion m u st b e ca lcu la ted from the p recip ita tion da ta . 0 0 4 3-139 7 / 0 6 / $ 9 . tim e-v a rying a nd sp a tia lly distrib u ted.g. Q u ite often p hysica l eq u a tions a re u sed for eff ectiv e p recip ita tion ca lcu la tions. for the fl ow da ta . e. B a yesia n m ethods ha v e a lso b een a p p lied. In Y o u ng et al. A R M A X a nd nea rest neighb or m odels. U n iv e rsity o f Ic e la n d . Ic e la n d . XXXX. 10 7 R e y k ja v ik . [1 9 9 8 ] show ed tha t da ta driv en m odels a re m ore relia b le for on-line a p p lica tions in sew ers tha n sta tiona ry determ inistic m odels. th is n e w a p p ro a ch lo o k s p ro m isin g fo r v a rio u s h y d ro lo g ic a l m o d e ls a n d a n a ly sis. P h ilip [1 9 6 9 ]. T hey com p a re F IR . As su ch . E ff ectiv e ra in identifica tion ca n a lso b e incorp ora ted in the hydrogra p h m odeling p rocess itself. A R X a nd A R M A X (A u to R egressiv e M ov ing A v era ge eX ogenou s) m odels a re in m ost ca ses m ore su ccessfu l tha n F IR m odels. B la ck b ox m odels ha v e b een u sed in hydrology for deca des. T heir resu lts fa v or the nea rest neighb or a nd the A R M A X m odels. It is a w e ll k n o w n fa c t th a t in h y d ro lo g ic a l m o d e lin g th e re sp o n se (ru n o ff ) to in p u t (p re c ip ita tio n ) v a rie s d e p e n d in g o n so il m o istu re a n d se v e ra l o th e r fa c to rs. a nd then u sed nonlinea r p rediction (N L P ) w ith good resu lts. K o lle m o se v e j 4 7 . H su et al. D u ring the la st deca de neu ra l netw ork s ha v e b een p op u la r a s in H su et al. w hich they refer to a s the nea rest neighb or m ethod. K . e. 321 D T U . b u t a lso b y u sing p a st fl ow v a lu es a nd in tha t ca se a ll the a v a ila b le inform a tion is a p p lied.0 0 A R M A X m odel for on-line fl ow p redictions a nd N o v o tny and Z h eng [1 9 9 0 ] u sed a n A R M A X m odel for deriv ing w a tershed resp onse fu nction a nd their p a p er p rov ides a n ov erv iew of how A R M A X m odels. F u rth e rm o re . 1 . Carstensen et al. Cap k u n et al. W ith increa sed com p u ter p ow er. often m u ch b etter tha n concep tu a l or p hysica l m odels. M a d se n . DOI:10.e. Th e m e th o d o f c o n d itio n a l p a ra m e tric m o d e lin g is in tro d u c e d fo r fl o w p re - d ic tio n in a se w a g e sy ste m . th e n e w a p p ro a ch c o n se rv e s th e m a ss b a la n c e b e tte r. Elia sso n . Co n se q u e n tly . B la ck b ox m odels ha v e b een p rov iding good p rediction resu lts. F or the p u rp ose of fl ow p redictions. He n c e . K arlso n and Y ak o w itz [1 9 8 7 ] u sed a nonp a ra m etric regression m ethod. ???. Ch iu and H u ang [1 9 7 0 ]. Conditional parametric models for storm sewer runoff H. P o rp o rato and R id o lfi [1 9 9 6 ] u sed a nea rest neighb or m odel a nd fou nd tha t the loca l linea r m odel w ith sm a ll neighb orhoods ga v e the b est resu lts. G reen’s fu nctions a nd the M u sk ingu m rou ting m ethod a re rela ted.Conditional parametric models for storm sewer runoff 71 WATER RESOURCES RESEARCH. T he u nit hydrogra p h is a n im p u lse resp onse fu nction a nd a s su ch is estim a ted directly a s a F IR m odel. B ld g . T he p a ra m eter v a ria tion is defined a s a n ou tp u t of a non-linea r fu nction a nd the op tim iz a tion is p erform ed b y u sing N eu ra l N etw ork s. Aa N ie lse n . dep ending on how w ell the a ctu a l system is k now n. T he u nit hydrogra p h describ es the rela tion b etw een eff ectiv e p recip ita tion a nd q u ick fl ow . T hey u sed noise redu ction techniq u es sp ecifica lly p rop osed for the field of cha os theory to p reserv e the delica te nonlinea r intera ctions. In P o rp o rato and R id o lfi [1 9 9 7 ] strong nonlinea r determ inistic com p onents w ere detected in the discha rge series. nonlinea r m odels ha v e b ecom e increa singly p op u la r.2 H.1 J .

the variable zt is the lag g ed valu es of the precipitation and θ(xt ) are the coeffi cients in a hy drog raph. conditional parametric models are applied. [19 9 4 ]. F or the pu rpose of fl ow prediction. N a lba ntis e t a l. . + ap (xt−m )q −p w here q −1 is the back w ard shift operator. T he models are formu lated as: q1 w here A is the area of the w atershed. n is the order of the model. F u rthermore. yt is a stochastic variable. (2 ) is denoted (p. . In recent y ears fu z z y methods have been tested for fl ood forecasting . T hu s the method presented here are in a line w ith the S D P and the N L P V methodolog ies. H ow ever. . k (7 ) T he coeffi cients θj0 and are estimated by u sing w eig hted least sq u ares (by u sing k ernels). the chang e in the g ain factor as the ex ternal variable x chang es provides a valu able information for u nderstanding the sy stem. σ F IR )(1) A R X : yt = i=1 q2 ai (xt−m )yt−i (2 ) 2 et ∈ N (0 . G iven a point x. A sh a n a nd O ’C onnor [19 9 4 ] state that the overall model effi ciency is in g eneral very sensitive to the mag nitu de of the g ain factor. H a stie a nd T ib sh ira ni [19 9 3 ] and A nd e rson e t a l. w here the inpu t is eff ective rain and the ou tpu t is ex cess fl ow . j = 1. particu lary since the infi ltration rate depends on several phy sical factors and no perfectly q u antifi ed g eneral formu la ex ists. A L . it provides the fraction of the total precipitation that becomes ex cess rainfall and thu s also the fraction that infi ltrates into the g rou nd. H ow ever. . . . [19 9 7 ]. this methodolog y allow s fi x ed inpu t to provide diff erent ou tpu t depending on ex ternal circu mstances. zt is the inpu t (precipitation). called the D B M approach (D ata B ased M echanistic approach) Young [2 0 0 2 ]. . in practice. T he name conditional parametric model orig inates from the fact that if the arg u ment of the fu nctions is fi x ed then the model is an ordinary linear model. σ A R X ) + i=0 bi (xt−m )zt−i + et w here yt is the ou tpu t (fl ow ). u p to infi nity . the g ain provides valu able information abou t the sy stem. xt ∈ R r is an ex planatory variable. T his is very convenient. In the present paper conditional parametric models are u sed to develop models for fl ow predictions in a sew ag e sy stem. e. The E stim a tion Method T he models u sed are locally linear reg ression. In the case of a F IR model. In the A R X model Axt−m (q −1 ) is defi ned as w here the ou tpu t or the response. T he g oal is to predict fl ow in the sew ag e sy stem as a fu nction of measu red precipitation. F u rthermore. In the case of an A R X model. N are observation nu mbers. . . T his paper is org aniz ed as follow s: In S ection 2 the models are described. A sh a n a nd O ’C onnor [19 9 4 ] defi ne the g ain factor G of a u nit hy drog raph as G= 1 A n hi 0 (5 ) 2. V ie ssm a n a nd L e w is [19 9 6 ]. The Models In the present paper the ex cess ou tfl ow is modeled as a fu nction of total precipitation (the base fl ow in the sew ag e sy stem does not orig inate in rainfall). . F inally . In this case the impu lse response fu nction inclu des coeffi cients h0 . (1) is denoted q1 and the order of the A R X model in E q . N ie lse n e t a l. + bq2 (xt−m )q −q2 (4 ) (3 ) S imilarly as the q2 -th order poly nomial operator. h1 .g . . and t = 1. C h a ng e t a l. . k is approx imated by a local linear fu nction T θj (xt ) = θj0 + θj1 xt T θj1 j = 1. . T o avoid the calcu lation of infi ltration it w as decided to u se the total precipitation as measu red on-line. T he order of the F IR model in E q . [19 9 5 ]. conseq u ently division of the precipitation into eff ective rain and infi ltration/ evaporation is not important. the valu e in E q . the parameters vary locally as poly nomials of ex ternal variables. how ever. represented by the coeffi cients hi (xt−m ) i = 1. In an ideal situ ation the g ain factor is one. F or non-linear phenomena this approach resu lts in a tw o stag e approach. σ 2 ) (6 ) F IR : yt = i=0 p hi (xt−m )zt−i + et 2 et ∈ N (0 . N. In contrast to linear methods lik e F IR and A R X . . xt is the ex planatory variable and m is the time delay if any . . In this research tw o ty pes of models w ere tested: conditional parametric F IR models and conditional parametric A R X models. In the models presented here. q2 ). T he parameter vector θ(·) ∈ R k is a vector of smooth fu nctions of xt . zt ∈ R k is the inpu t. w here θ(xt ) consists of the corresponding parameters. T he g ain factor w ill not be one. It demonstrates how the sy stem responds to the inpu t. T he estimation of θ(·) is accomplished by estimating the fu nctions at a nu mber of distinct valu es of x. w ill be referred to as the g ain factor. t et ∈ N (0 . 3 . follow ed by S ection 3 w ith a description of the parameter estimation method. [2 0 0 5 ]. .g . [19 9 7 ]. see S ection 4 . the model redu ces to a traditional linear reg ression model. . . A conditional parametric model is a linear reg ression model w here the parameters vary as a smooth fu nction of some ex planatory variable. T hese models are an ex tension of the w ell k now n linear reg ression model w here the parameters vary as fu nctions of some ex ternal variable.72 Appendix A X-2 J O N S D O T T IR E T . Bxt−m (q −1 ) is defi ned as: Bxt−m (q −1 ) = b0 (xt−m ) + b1 (xt−m )q −1 + . . . the coeffi cients hi are the coeffi cients in a u nit hy drog raph. (5 ). the ex planatory variable is season and/ or threshold. hence the name. H ere. as described in N ie lse n e t a l. . the zt consist of the lag g ed valu es of precipitation and the lag g ed valu es of fl ow . bu t H ø y b y e a nd R osb je rg [19 9 9 ] state that su ch a linear relationship does not ex ist. . If xt is constant across all the observations. in S ection 6 conclu sions are draw n. In order to describe the A R X and F IR models tog ether the notation is chang ed to the notation of a linear reg ression yt = zT θ(xt ) + et .: C O N D IT IO N A L P A R A M E T R IC M O D E L S the time variable parameters are considered to be state dependent and the method is thu s referred to as the S D P approach. [2 0 0 5 ] and N a y a k e t a l. each θj . q1 is k now n as the impu lse response fu nction. . In the F IR model the fu nction h. In this paper the inpu t is total precipitation. . . T hen for a fi x ed xt−m the impu lse response fu nction can be derived from the transfer fu nction Axt−m (q −1 )/ Bxt−m (q −1 ) as described for ex ample by L jung [19 8 7 ]. the p-th order poly nomial operator Axt−m (q −1 ) = a1 (xt−m )q −1 + . S ection 4 contains resu lts and in S ection 5 there are discu ssions abou t on-line prediction and control in sew ag e sy stems. t = 1. only the fi rst n coeffi cients are u sed. S ome of the more recently developed models identify the eff ective precipitation along w ith the hy drog raph e. .

zkt x2t ] a n d b y d e fi n in g th e c o lu m n v e c to r θjx = [θj0 . .. F u rth e rm o re . A c o m p le te p a ra m e te riz e d m o d e l h a s b o th a d v a n ta g e s a n d d isa d v a n ta g e s: It o fte n p ro v id e s a b e tte r ” p h y sic a l” u n d e rsta n d in g o f th e sy ste m .: CONDITIONAL PARAMETRIC MODELS X -3 If xt is 2 -d im e n sio n a l θj (xt ) c a n b e w ritte n a s θj (xt ) = θj0 + θj1 x1t + θj2 x2t h en ce yt = z1t θ10 + z1t θ11 x1t + z1t θ12 x2t + . + zkt θk0 + zkt θk1 x1t + zkt θk2 x2t + et T h e n a ro w in a n e w d e sig n m a trix c a n b e d e fi n e d a s uT = [z1t . i = 1 . (1 3 ) ˆ θx is o b ta in e d . se e a lso H ¨ rd le [1 9 9 0] a o r H astie and L o ad er [1 9 9 3 ].. . a n d th e p a ra m e te rs o f th e re su ltin g p a ra m e tric n o n -lin e a r m o d e l a re e stim a te d u sin g n o n -lin e a r le a st sq u a re s o r m a x im u m lik e lih o o d e stim a tio n . x1t . ∞) (1 5 ) is u se d . . zkt . . A ro ta tio n o f th e c o o rd in a te sy ste m . in w h ich x is m e a su re d . In th is p a p e r th e n o n -lin e a rity is d e sc rib e d d ire c tly w ith o u t a n y u se o f re c u rsiv e / a d a p tiv e e stim a tio n . T h e a d v a n ta g e o f th e tri-c u b e w e ig h tin g fu n c tio n is th a t it is a sm o o th fu n c tio n lik e th e G a u ss b e ll. T h is se a so n a lity is m o stly d u e to th e so il W h e n zj = 1 fo r a ll j th is m e th o d is a lm o st id e n tic a l to th e m e th o d in tro d u c e d b y C leveland and D evelin [1 9 8 8 ]. it is w o rth m e n tio n in g th a t. O n th e o th e r h a n d . H e n c e . T h e e x c e ss fl o w is c a lc u la te d fro m th e to ta l fl o w b y su b tra c tin g th e sy ste m ’s b a se fl o w . T h e a re a o f th e w a te rsh e d is 1 0. F u rth e rm o re . a c o m p le te p a ra m e te riz e d m o d e l m ig h t b e d e v e lo p e d if th a t is d e sire d . . T h e sc a la r d(x) > 0 is c a lle d th e b a n d w id th . a s d e sc rib e d in N ielsen et al. In th is p a p e r th e tric u b e fu n c tio n W (v) = (1 − v 3 )3 . . T h e ch o ic e o f w e ig h tin g fu n c tio n o r k e rn e l d o e s n o t h a v e a la rg e im p a c t. . a s in d ic a te d . θj2 ] an d T T T θx = [θ1x . o f a v a ry in g in te n sity a n d le n g th . T h e b a se fl o w . Y o u ng et al. (6 ) a re c a lc u la te d as ˆ θj (xt ) = [1 . e . 6 m in u te s. 1 ) 0. AL. T h e re su ltin g m o d e l is a c o n d itio n a l p a ra m e tric m o d e l. . w h e re th e to ta l p a ra m e triz a tio n is a c o m b in e d p a ra m e tric a n d n o n -p a ra m e tric m o d e l. .k (8 ) (9 ) (1 0) (1 1 ) (1 2 ) th e fl o w v e c to r yt c a n b e w ritte n a s y t = u T θx + e t t t = 1.. zjt .. . w h ich m a k e s th e c o m p u ta tio n a l e ff o rt sm a lle r. .. A w a te r b a la n c e stu d y w a s p e rfo rm e d w h ich sh o w e d a y e a rly v a ria tio n in th e w a te r b a la n c e . H o w e v e r. a s w e ll a s th e N L P V a s u se d in P revd i and L o vera [2 004 ]. A ll th e se m o d e ls a re tim e v a ry in g A R M A X ty p e o f m o d e ls. . Y o u ng [2 005 ] p ro v id e s a fi n e o v e rv ie w a n d c o m p a riso n o f th e S D P a n d N L P V m o d e lin g a p p ro a ch e s. z1t x1t . th e fi tte d v a lu e s yi . zkt x1t . in D e n m a rk a n d c o n sist o f 6 8 ra in e v e n ts w h ich o c c u rre d in th e p e rio d 1 st J a n u a ry 2 003 to 4 th M a y 2 004 . . it is d e n o te d a fi x e d b a n d w id th .g .Conditional parametric models for storm sewer runoff 73 JONSDOTTIR ET. T h e d a ta c o n ta in e d 3 h e a v y ra in e v e n ts w h e re th e th re sh o ld / sa tu ra tio n p h e n o m e n a c a n b e se e n . t . th e m e th o d re t= 1 t d u c e s to tra d itio n a l k e rn e l e stim a tio n . th e re su ltin g m o d e l is a n o n -lin e a r m o d e l w ith fi x e d p a ra m e te rs. D u rin g h e a v y ra in e v e n ts th e v o lu m e o f w a te r e n te rin g th e p ip e s c a n e x c e e d th e p u m p in g sta tio n ’s c a p a c ity c a u sin g so m e a k in d o f sa tu ra tio n / th re sh o ld in th e sy ste m . zjt x1t . T h is is a c c o m p lish e d b y u sin g th e tra d itio n a l w e ig h te d le a st sq u a re s. In th e c a se o f tim e -v a ry in g m o d e ls. x2t ]θjx (j = 1 .1 . C leveland and D evelin [1 9 8 8 ]. [1 9 9 7 ]. (1 6 ) A s n o te d e a rlie r. k e rn e l e stim a tio n ) w ill a d a p t to n e w c irc u m sta n c e s q u ick ly . in th e se w a g e sy ste m d o e s n o t o rig in a te fro m ra in a n d is d e fi n e d a s a c o n sta n t p lu s a d a ily v a ria tio n . (1 4 ) w h e re ||xt − x|| is th e E u c lid e a n d ista n c e b e tw e e n xt a n d x. L o c a l e stim a te s (e stim a te s in a n e ig h b o rh o o d . k ). T h e fu n c tio n W : R → R is a n o w h e re in c re a sin g fu n c tio n .e . . D esc rip tio n o f th e D a ta a n d th e C irc um sta n c es T h e d a ta o rig in a te fro m th e c o m p a n y W a ste W a te r C o n tro l a p s. so th a t wt (x) = W (||xt − x||/ d(x)). T h e d a ta c o n sist o f p a irs o f m e a su re d p re c ip ita tio n [m m / (6 m in )] a n d e x c e ss fl o w [m 3 / (6 m in )]. [2 000]. se e N ielsen et al. e .N . In g e n e ra l. se e C arstensen et al. th e m e th o d o f c o n d itio n a l p a ra m e tric m o d e lin g h a s c e rta in sim ila ritie s to th e S D P m e th o d . sc a lin g o f th e in d iv id u a l e le m e n ts o f x b e fo re a p p ly in g th e m e th o d sh o u ld b e c o n sid e re d . zjt x2t . w ith p u m p in g sta tio n s lo c a te d a t so m e o f th e n o d e p o in ts. . b u t u n lik e th e G a u ss b e ll th e tri-c u b e fu n c tio n is z e ro o u tsid e th e b a n d w id th .. a d a p tiv e e stim a tio n . N a re lin e a r c o m b in a tio n s o f th e o b se rv a tio n s. w h e re th e w e ig h t o n o b se rv a tio n t is re la te d to th e d ista n c e fro m x to xt . F u rth e rm o re . o r th e d ry w e a th e r fl o w . in e v e ry n e ig h b o rh o o d . . th e a p p ro a ch m a k e s it p o ssib le to tra ck tim e v a ria tio n in a n o n lin e a r m o d e l. if θ(·) is a lo c a l c o n sta n t. θj1 . C o n se q u e n tly . th e e le m e n ts o f θ(x) in E q . θkx ]T j = 1. H e n c e . th e n th e m e th o d o f ˆ e stim a tio n re d u c e s to d e te rm in in g th e sc a la r θj (x) so th a t n ˆ w (x)(yt − θ(x))2 is m in im iz e d . T h e su g g e ste d m e th o d is ty p ic a lly a o n e -sta g e a p p ro a ch . T h e n o n lin e a r S D P m e th o d o lo g y re su lts in th e tw o sta g e D B M a p p ro a ch Y o u ng [2 002 ]. . . Results 4. th e p a ra m e te rs a re u n d e r a ll c irc u m sta n c e s e stim a te d b y u se o f e x istin g d a ta a n d if th e e x te rn a l c irc u m sta n c e s ch a n g e . If d(x) is c o n sta n t fo r a ll v a lu e s o f x. T h e 6 8 ra in e v e n ts c o v e r m a n y ty p e s o f ra in . [1 9 9 8 ].. . th is in v o lv e s e x tra p o la tio n . se e Silverman [1 9 8 6 ]. In th e se c o n d sta g e a n y id e n tifi e d (sig n ifi c a n t) p a ra m e te r v a ria tio n is m o d e le d u sin g a p a ra m e tric a p p ro a ch . b y stu d y in g th e v a lu e s o f th e p a ra m e te r θ(x) a s th e e x te rn a l v a ria b le x ch a n g e s. w h ich is c o m p le te ly b la ck b o x o rie n te d . it is d e n o te d a s n e a re st n e ig h b o r b a n d w id th . In th e N L P V a p p ro a ch . c a n b e su p e rim p o se d o n th e m e th o d . W h e n th e lo c a l e stim a te in E q . v ∈ [1 . 4. th is e x te n sio n is h o w e v e r.g . . th e re e x ists a n a p p ro x im a te ly lin e a r p a ra m e tric m o d e l. z1t x2t . T h e se w a g e sy ste m is b u ilt u p in th e tra d itio n a l m a n n e r a s a n e t.8 9 k m 2 . . . i. n o t th e fo c u s o f th e p re se n t p a p e r. . th e n o n lin e a r o p tim iz a tio n is b y u se o f n e u ra l n e tw o rk . [2 001 ]. In th e fi rst sta g e a n a p p ro p ria te m o d e l stru c tu re is id e n tifi e d b y c o n sid e rin g a c la ss o f lin e a r tra n sfe r fu n c tio n m o d e ls w h o se p a ra m e te rs a re a llo w e d to v a ry o v e r tim e . if x h a s a d im e n sio n o f tw o o r la rg e r. (1 3 ) T h e p a ra m e te r v e c to r θx is fi tte d lo c a lly to x. T h e im p e rm e a b le a re a is d o m in a te d b y u rb a n a re a a n d th e so il is m o stly c la y . c o u ld a lso b e re le v a n t.. v ∈ [0. T h e sa m p lin g tim e is. . θjx . a s fo r tra d itio n a l lin e a r re g re ssio n . . if d(x) is ch o se n so th a t a c e rta in fra c tio n o f th e o b se rv a tio n s is w ith in th e b a n d w id th .

(1 ). using the calib ration data series. T he linear model order w as chosen b y use of A IC / B IC criteria (the A IC and B IC indicated the same model order) and use of some other criteria might have led to low er orders. (2 ).g. T he coeffi cient of determination R2 . Rasm u sse n e t al.e. lik e the overall w ater b alance. . and the op timal b andw idth included 2 4 0 0 data p oints. 1 2 minutes. w hich is ab out 6 5 % of the data. In hy drology several other factors might b e of higher imp ortance. z t−2 . T he numerator in the A R X models is q uite high comp ared to w hat is often seen in hy drology . season and fl ow . In the A R X models. the ” b est” linear model. the timing of the p eak fl ow or other things. referring to S ing h [1 9 8 8 ]. A s mentioned earlier the non-linear eff ects are mostly due to seasonal variations and the saturation/ threshold eff ects in the p ip es. O n the other hand in the F IR model w ith rain intensity as a conditional variab le. H ow ever. as in E q . the model’s p arameters w ere estimated locally and w ill thus adap t to the data in use. i.74 Appendix A X-4 J O N S D O T T IR E T . In a F IR model the conditional variab le rep resenting the saturation/ threshold is p recip itation intensity . T he calculations are p erformed b y using a p rogram named L F L M (locally w eighted fi tting of linear models) w hich is an S -P L U S / R lib rary p ack age.2. w hich is close to 6 lags). E vidently the F IR model has a larger model degree than the A R X model. H ow ever. i. the soil is much drier during the summer than during the w inter. T he w ater b alance study show ed the largest resp onse to p recip itation in F eb ruary and the smallest in A ugust.e. T he order of the numerator in the A R X model is 6 . i. . Model Construction A n analy sis of the data using linear models w ith nonvary ing coeffi cients show ed that the time delay from inp ut to outp ut is 2 lags. since only 1 6 months of data are availab le it is not p ossib le to estimate a seasonality function w ithout restrictions as in E q . the average rain intensity in lags 2 to 6 . the ex p lanatory variab le is defi ned as xf = yt−1 t (1 9 ) . (1 7 ). the b andw idth needs to b e small enough to detect diff erences in the conditional variab le. b y using a larger b andw idth the few data-p oints no longer have an eff ect. If the b andw idth is large the variance is small b ut the b ias increases. [1 9 9 6 ]. Porporato and Ridolfi [1 9 9 6 ] indicate that the degree of the numerator should not b e less than the b asin concentration time.e. using the 6 minute samp ling time is ab out 6 lags (the b asin lag is estimated to b e 4 lags and. T he p arameter C is set to 1 0 0 w hich is a necessary scaling in the 2 -dimensional model p resented later in this section. here the estimates are local lines. dep ending on the model ty p es. the mean value of the error w ill i. hence. In this p roject the samp ling time is 6 minutes. as in H ¨ rdle [1 9 9 0 ]. 4. F or ex amp le in the A R X model w here the conditional variab le is the season. using A IC criteria. H ow ever.3 . most rainfall runoff studies are on a daily b asis. In p ractise the seasonal variation is not as regular as a sinus w ave. T he mean value of the error demonstrates the mass b alance on average. H ow ever. the 3 events w ith heavy rainfall w ere not q uite enough to identify the 1 9 coeffi cients w ithin an accep tab le confi dence level. C onseq uently the p arameters ω and φ are chosen such that xs p eak s in mid t F eb ruary . T ab le 1 show s the R2 for the conditional p arametric models. and in order to cap ture the entire sub seq uent runoff the numerator should b e even greater. the estimates a are local constant. is ARX(2 . T his allow s a larger b andw idth w ithout the cost of a b ias p rob lem. A L . w hich is ab out 1 . cross validation does not have the same meaning as w hen the p arameters are estimated glob ally . yt−2 .5 % of the data. T his choice is b ased on the facts that the time delay is 2 lags. H ow ever. the same numb er of lags w as used for in the conditional p arametric models. A cross validation w ould have b een adeq uate. the outp ut yt is a function of yt−1 . the mean value of the error w as also calculated. . some solutions w ere found and those w ere used for p rediction. T he residuals used for model validation are one step p rediction errors. even though all this w ater is caused b y heavy rain. T he seasonality in the p arameters can most lik ely b e modeled glob ally as in a P A R M A model e. the b andw idth included only 5 5 data p oints. as in E q . conseq uently the numerator needs to b e higher. dep ending on the model ty p e. T he seasonal variab le is almost evenly distrib uted.: C O N D IT IO N A L P A R A M E T R IC M O D E L S moisture content in the root zone and variation in groundw ater level. T he local estimation req uires b andw idth decisions. F or the sak e of convenience these model degrees w ere used in the w hole study . i. In each case the b andw idths w here found b y manual op timization. T his measure is not a single numb er w hich can b e used for each and every model and in each and every situation. z t−7 . A n ” op timal” b andw idth is a b andw idth w hich is a comp romise of these tw o factors. xp and set as t xp = (ut−2 + ut−3 + ut−4 + ut−5 + ut−6 )/5 t (1 8 ) T here w ere only 3 heavy rain events during this p eriod and since 1 9 coeffi cients need to b e identifi ed in the F IR model. T he seasonal variation is modeled as the fi rst term in a F ourier series. the op timization (model calib ration) is a least sq uares method and as such the model’s p erformance is validated w ith resp ect to that. If the mass b alance is w ell conserved. In the A R X models the saturation/ threshold is modeled as a function of the fl ow itself instead of the rain intensity . H ence. A s a conseq uence of this sp arse data it w as not p ossib le to identify a F IR model w here the coeffi cients varied b oth w ith the season and the threshold. In the traditional k ernel estimation. T he b andw idth determines the smoothness of the estimate. often referred to as the N ash effi ciency . F or a descrip tion see N ie lse n [1 9 9 7 ]. T he b asin concentration time in the sew age sy stem. the larger it is. it w as p ossib le to use a large b andw idth. Modeling R esults M odel validation demands some measure of the model’s q uality . 6 ) w ith a time delay of 2 . and the time of concentration is 6 lags.e. 4. is a w idely used model criterion in hy drology and it is a fi ne measure of the model’s effi ciency w ith resp ect to the least sq uares minimization. meaning that several comb inations of solutions might b e p ossib le. T his is b ecause there are few events w ith heavy rain and thus. H ow ever.e. T he saturation/ threshold eff ect is modeled either as a function of the rain-intensity or as a function of the fl ow . T hus. T he b andw idths are diff erent. a sinus w ave xs = C sin(ωt + φ) t xs t (1 7 ) w here is the ex p lanatory variab le due to season. If the b andw idth is small the variance is large and the b ias is small. It has b een found that at most 1 9 lags are needed in a F IR model. T his is in fact more p hy sically correct b ecause the threshold occurs b ecause there is more w ater in the p ip es than the p ump s in the node p oints can serve. the time of concentration is 1 .4 2 times the b asin lag time. O n the other hand in the A R X models the constants are rather w ell identifi ed and it w as p ossib le to identify coeffi cients dep ending on tw o variab les. A s the mass b alance is an imp ortant dimension in hy drology . In this p roject the main goal w as to achieve accurate p redictions. the less variation in the estimates.

9 6 0 . 3 ev .1 8 1 9 . 0 . 1 . F or the seasonal c alc ulations the 3 most heavy rain events were ex c lud ed .8 • • • • Lag 0. sp ring . F or c omp arison the c onventional time-invariant linear mod els F IR and A R X are also shown. The R2 calcu lations are 1 -step p rediction. The mean v alu e of the error. The d ata is shown as p oints and the p rec ip itation as bars.1 2 -2 . A ll W Sp .8 9 Thr.4 7 -1 7 . 1 2 ev . The threshold F IR is the best d uring heavy rain events.63 0 .9 5 0 . -0 .7 7 3 . For w inter.7 9 -1 .1 3 2 0 .7 2 -0 . 1 3 ev . Seasonal FIR model and Threshold/ Satu ration FIR model. the F IR mod els are not ac c ep table for p red ic tions.0 5 1 . H owever. with the sc ale on the rig ht ax is.1 9 1 .7 8 0 .9 4 0 .9 7 S×Thr 0 .9 3 0 . 3 ev .9 3 Seas.8 2 0 . The time lag is 6 minutes and the fi g ure shows a c ond itional A R X mod el.8 5 0 . F or c omp arison the c onventional time-invariant linear mod els F IR and A R X are also shown.9 7 0 . 1 2 ev . both A IC and B IC stud ies led to this mod el ord er as d oes a p hy sic al stud y lik e the basin c onc entration time as d isc ussed in S ec tion 4 . H eav y C ond. FIR L in. F rain 8 ev . the seasonal F IR mod el has the best p erformanc e both with resp ec t to the R2 and to the mass balanc e. the seasonal F IR outp erforms the trad itional F IR . 0 .2 3 Thre. The models are: L inear FIR model. and a c ond itional F IR mod el where the p arameters d ep end on season.2 2 Seas. H eav y C ond.9 4 0 .2 7 -1 . -0 .Conditional parametric models for storm sewer runoff 75 JONSDOTTIR ET. E vent in winter.0 40 50 60 Lag F ig u re 1.8 5 -1 .9 6 0 . The tables both show the overall p erformanc e and also the seasonal p erformanc e.9 9 • • • • • ••• 0 10 20 30 • • • • •• • •••• • ••• • •• • ••• ••••• 0. as a result of its d esig n. These were events.2 • 0.4 -3 7 .68 0 .9 1 0 . Su . both the 1 -d imensional mod els and the 2-d imensional mod el.5 0 A R X L in. 0 . su mmer and fall. and a c ond itional F IR mod el where the p arameters d ep end on season. It is well k nown that the c oeffi c ient of d etermination d oes not p enalize over-p arameterizations.7 3 0 . 1 3 ev .0 1 0 .2 3 0 . with the sc ale on the rig ht ax is.8 4 -0 .9 8 0 .9 5 0 .9 3 A R X L in.9 6 0 . FIR L in. F or each season the seasonal c alc ulations are based two months in each season for better d istinc tion between the seasons.3 -1 7 . seasonal A R X model. Thus. S p ec ifi c ally the c ond itional p arameter mod els are c omp ared to a linear mod els of same ord ers.9 2 0 . Thus the F IR mod els are c omp arable.9 7 0 . the R2 is calcu lated for the three heav iest rain ev ents. Theshold/ Satu ration A R X model and b oth seasonal and threshold/ satu ration A R X model.1 3 1 1 .9 4 0 .9 3 0 .9 2 0 . where the saturation/ threshold eff ec t ex ists. 0 . 0 50 October 11th 2003 Precipitation [mm/6 min] be zero.9 4 0 . (For nomenclatu re see Tab le 1 ).4 8 -7 .9 7 0 . 1 3 ev . AL. which is the best both with resp ec t to the N ash-effi c ienc y and the bias. p erformed u sing ov erall data. Precipitation [mm/6 min] Table 1.0 0 10 15 20 F ig u re 2 . The estimation was based on all the events. In Table 2 it c an be seen how the trad itional linear mod els und erestimate the runoff d uring the winter and overestimate it d uring the summer. where the p arameters d ep end on season and fl ow.7 5 0 .4 8 -1 . and the A R X mod els are as well.0 1 2 . where the p arameters d ep end on season and fl ow.5 8 Thre. L inear A R X model.7 9 -3 . m3 /6 min . Those ev ents are ex clu ded in the seasonal calcu lations.67 2 .: CONDITIONAL PARAMETRIC MODELS X -5 Flow [m^3/6 min] 100 150 200 250 300 Flow [m^3/6 min] 100 200 300 400 In a c omp arison of the three F IR mod els.9 1 0 . sp ring season. A s a referenc e R2 was also c alc ulated for the c orresp ond ing well k nown linear mod els F IR and A R X .7 6 1 5 . and the tables show total results for all the 6 8 rain events.9 5 0 .7 9 0 . The u nit is m3 /6 min as the samp ling time is 6 minu tes. The seasonal F IR is c learly an imp rovement of the trad itional F IR mod el with c onstant p arameters.2 0 0 .3 7 0 .7 6 January 27th 2003 FIR lin FIR season ARX lin ARX flow/season • •• • • • • • •• • •• • • • • • • • •• • • • • • • • . The coefficient of determination R2 for v ariou s models and diff erent conditions. 1 3 ev . The F IR mod els have a larg er bias. E ven in a situation with heavy rain.9 6 0 . 0 .2 9 -4 . Finally . 0 . The time lag is 6 minutes and the fi g ure shows a c ond itional A R X mod el.1 2 1 . Table 2 shows the mean value of the error. A ll W Sp .2. The d ata is shown as p oints and the p rec ip itation as bars.5 4 -2 2 .7 4 S×Thr.5 8 Seas. 3 . only 2 months w ere u sed for b etter seasonal distinction.64 0 .4 0 1 4 . A ll the c ond itional p arametric A R X mod els outp erform the trad itional A R X .9 3 0 .0 2 2 . esp ec ially in the • • • • • • • • • • • FIR lin FIR season ARX lin ARX flow/season • • • • • • 5 • • • • 0.8 4 0 . those were g roup ed tog ether and the c alc ulations were p erformed for them sep arately in ord er to measure how the mod els p erform in that situation.9 0 0 . 0 .4 5 -2 .3 2 .4 0.1 4 -6.8 3 Seas.9 4 Thr.8 -1 0 . Table 2 . however the bias is q uite larg e.8 0 -2 . F rain 8 ev . E vent in autumn.7 9 0 . Su . 0 . esp ec ially the F IR mod els. 0 . and even the seasonal F IR is not q uite ac c ep table in all seasons.7 0 0 .

H ow ev er. Table 3.0 8 2 0 . it is b eliev ed tha t prediction in terv a ls should b e estima ted b y methods lik e q uin tile reg ression a s in Nielsen et al. H ow ev er.5 7 2 1 . T he lin ea r ARX model is b etter. in forma tion 1 2 min utes a hea d. For b oth the FIR a n d the ARX models a 5 -step prediction req uires 3 -step prediction of precipita tion .4 8 S2 0 . For k-step prediction b oth the FIR a n d the ARX models n eed pa st a n d presen t v a lues of the precipita tion a n d a lso (k−2 ) prediction of the precipita tion . For v isua l compa rison tw o ev en ts w ere chosen . N ote tha t ev en thoug h sin g le ev en ts a re show n in the fi g ures. N ote tha t the impulse respon se fun ction ha s the lon g est ta il durin g the w in ter a n d shortest ta il durin g the summer. D ue to sy mmetry . b ut n ot a s g ood a s the con dition a l pa ra metric ARX. a s show n in Fig ure 3 . 5 -step prediction .8 2 -0 . T hese a re a ’ty pica l’ ev en t in w in ter time a n d a n ev en t w ith hea v y ra in . the 1 -dimen sion a l sea son a l FIR a n d the b est con dition a l ARX model. S2 = A pril/ D ecemb er. w hich a lso show s the sum of the coeffi cien ts a n d the correspon din g g a in fa ctor. depen din g on the v a lues of the sin us.065 20 40 60 80 100 0 0 5 10 15 20 25 Transfer function − August sum = 672.2 3 2 1 . Transfer function − February 20 40 60 80 100 20 40 60 80 100 sum = 1125 gain = 0. show s tha t a2 is la rg er tha n a1 durin g the w in ter w hile a2 is close to z ero durin g the summer a n d a1 is the domin a tin g a utoreg ressiv e pa ra meter. sin ce there is on ly on e summer sea son a n d Aug ust is close to a n d on the b oun da ry of the sea son a l v a ria tion pa ra meter.1 3 5 .0 4 S4 0 . it mig ht b e possib le to use on -lin e precipita tion mea suremen ts a b it further from the trea tmen t pla n t. A sin g le con dition a l ARX model a n d a sin g le con dition a l FIR model w ill b e dra w n a lon g w ith the tra dition a l lin ea r models. For exa mple.062 0 5 10 15 20 25 0 0 0 5 10 15 20 25 F ig u re 3. it pea k s la ter. A compa rison of the a utoreg ressiv e pa ra meters a1 a n d a2 . O n the other ha n d.9 5 1 8 . 5.5 hours.5 1 3 3 . the estima te is b a sed on a ll the ev en ts.1 3 1 9 . T he fi g ures show the b est con dition a l FIR model. a n d this is prob a b ly due to spa rse da ta . a n d it a lso rea ches la rg er v a lues durin g the w in ter tha n the summer. For this purpose a sea son a l ARX model is used.4 5 4 2 .6 2 0 .e.e. the dura tion of this ev en t is a b out 2 . S1 = F eb ru ary . T his is n ot cov ered in this pa per. i. ca lcula ted b y E q .103 Transfer function − Mars/Jan sum = 1022 gain = 0. for . a s does a sea son a l FIR.2 gain = 0.76 Appendix A X-6 J O N S D O T T IR E T . U sin g a FIR model. T he ARX models prov ide 1 -step prediction . it is n ot possib le to distin g uish b etw een sprin g a n d a utumn .9 8 1 9 . A L . H ow ev er. In this study the con dition a l v a ria b le represen tin g the sea son a lity is a sin us w a v e a n d the pa ra meters a re estima ted a s loca l lin es.8 0 5 2 . It mig ht b e a rg ued tha t in rea l a pplica tion s a con fi den ce in terv a l for the prediction s w ould b e req uired. Addition a lly the ARX models dema n d pa st. show in g the sa tura tion / theshold.7 3 0 .e. 1 -step prediction dema n ds pa st precipita tion w hich is a lso req uired w hen usin g a n ARX model. this is a lso true for the predicted v a lues of the fl ow . presen t a n d (k − 1 ) step prediction of the fl ow .3 3 2 3 . sa y 3 0 min utes i. S eas.0 9 2 1 . w hich is the domin a tin g w in d direction . durin g the w in ter a b out 1 0 % of the tota l w a ter rea ches the sew a g e sy stem. w hile the con dition a l ARX n icely ca ptures the fl a t a n d lon g pea k . the sea son a lity ca n b e studied.4 4 U sin g the estima ted pa ra meters.4 gain = 0. In this ca se b oth the lin ea r FIR a n d the lin ea r ARX ov erestima te the fl ow pea k . N ote tha t the lin ea r FIR model un derestima tes the run off a s demon stra ted in T a b le 2 .3 0 1 4 . sin ce fl ow a t time t−1 is used for prediction . the impulse respon se fun ction ca n b e ca lcula ted. for compa rison . sin ce the time dela y b etw een precipita tion a n d fl ow is 2 la g s. Fin a lly .1 2 5 .3 6 7 0 . It must b e men tion ed thoug h tha t usin g predicted v a lues of precipita tion a s in put w ill n ev er b e q uite a s relia b le a s usin g mea sured v a lues sin ce the predicted v a lues ha v e much la rg er v a ria n ce.e.5 6 2 1 . the ARX models outperform the FIR models.3 4 0 .7 3 2 2 . the v a lues a re sma ller. T his is in deed true. the 2 -dimen sion a l ARX a lon g w ith the lin ea r FIR a n d ARX. con dition a l pa ra metric models w ith loca l estima tes ca n a lso b e used to study the circumsta n ces of the w a tershed a n d thus prov ide a useful in forma tion for dev elopin g a n on -lin ea r g lob a l pa ra metric model if w a n ted. i. S3 = J u ne/ O ctob er. [2 0 0 6 ].: C O N D IT IO N A L P A R A M E T R IC M O D E L S As expected. M oreov er. T a b le 3 show s estima ted coeffi cien ts in the ARX for fi xed v a lues of the sea son .2 0 3 2 . For rea l time on -lin e prediction a n d a utoma tic con trol it mig ht b e n ecessa ry to a chiev e in forma tion w ith lon g er a time horiz on . w hile durin g the summer a b out 6 % en ters the sew a g e sy stem. Impulse respon se fun ction estima tes for four diff eren t sea son s ca lcula ted usin g a sea son a l ARX model. b ut pa st v a lues of the fl ow a re a ddition a lly req uired.8 8 1 1 .094 0 0 5 10 15 20 25 Transfer function − June/October 20 40 60 80 100 sum = 710. E v iden tly this depen ds on the w in d a n d fron tier mov emen t direction a lthoug h in ma n y ca ses the w in d durin g ra in is from the (south) w est. the dura tion of the ev en t is a b out 6 .5 9 -1 3 . (5 ). A simila r a n a ly sis ha s b een performed for the fl ow depen den ce of the impulse respon se fun ction a n d it mostly show s tha t w hen the fl ow is la rg e the impulse respon se fun ction is fl a tter. sin ce it is on ly a q uestion of a couple of min utes. S4 = A u g u st. a w ea ther sta tion ca pturin g the fron ta l ra in a little b it ea rlier. a n d the ta il is lon g er.6 7 4 8 . T he w in d direction mig ht a lso b e a con dition a l v a ria b le in the model if en oug h da ta a re a v a ila b le.7 5 6 8 . Fig ure 1 show s a n ev en t in the w in ter time. Discussion T he FIR models prov ide 2 -step prediction i. the pa ra meter estima tes a re performed w ith the a ssumption tha t the in put is mea sured n ot predicted.2 3 S3 0 . con fi den ce in terv a ls for the predicted output a re v a lua b le. sin ce the model is n on -lin ea r. Fig ure 2 show s the sa me for a n ev en t w ith hea v y ra in a n d thus the threshold/ sa tura tion eff ect. Local parameter estimates in a seasonal A R X mod el. on -lin e w ea ther foreca st.5 hours.0 3 2 3 . T he n eg a tiv e v a lue of the pa ra meter b5 in Aug ust is phy sica lly in correct. a n d a sea son a l FIR model is clea rly a n improv emen t on the tra dition a l lin ea r FIR. a1 a2 b2 b3 b4 b5 b6 b7 S1 0 . it must b e stressed tha t the FIR models a n d the ARX models n eed diff eren t in puts for prediction . C on seq uen tly .6 6 5 0 .

if data from the node points are av ailable in g eneral.. M I: E d ward s B ros... R id olfi (1 9 9 6 ). H . T ec h . T. L . and I. C .0 . and M . A nn A rb or. D . T. F .-C . P . C lev eland . S . E ff ect of inp ut and p arameter uncertainties in rainfall-runoff simulations. T he input of the models is the total precipitation as measured on-line. In te rn a tio n a l J o urn a l o f Mo d . 8 1 3 – 8 2 7 . J o urn a l o f T h e A m e rica n S ta tistica l A sso c ia tio n . d oi: 1 0 . A . L F L M v ersion 1 . T. A shan. S elforg aniz ing linear outp ut mat (S O L O ): A n artifi cial neural network suitab le for hy d rolog ic mod eling and analy sis.. and R .. and L . d oi:1 0 . J o urn a l o f H y d ra ulic E n g in ee rin g . W 0 4 0 0 4 . Id entifi cation of non-linear p rametrically v ary ing mod els using sep arab le least sq uares. A .. R ang an. H ay ward . M ad sen. 6 (1 ). J . A naly sis of the H y d rog rap h. L ab . P . M ultiv ariate nonlinear p red iction of riv er fl ows.1 0 2 9 / 9 5 W R 0 1 9 5 5 . P orp orato. 1 3 5 3 – 1367. C hiu. A simp le non-linear rainfall-runoff mod el with a v ariab le g ain factor. 1 2 0 – 1 2 9 . C anb erra. H . at the w aste w ater treatment plant.. N ielsen. K . A ustralia. 1386–1400.1 0 2 9 / 2 0 0 3 W R 0 0 3 5 1 4 . H ¨ rd le. d oi:1 0 . 248. H . R e fe re nce s A nd erson..1 0 2 9 / 2 0 0 1 W R 0 0 0 7 9 5 . 1 68. the authors wish to thank the H y d rolog ical S erv ice at the N ational E nerg y A uthority of Iceland for lend ing their facilities. S y nd icate a of the U niv ersity of C amb rid g e. W a te r R e so urce s R e sea rc h . and K . W a te r R e so urce s R e sea rc h . D ev elin (1 9 8 8 ). D . d oi: 1 0 . 3 8 (1 2 ). J o urn a l o f h y d ro lo g ic e n g in ee rin g . C hang . 1 0 9 – 1 2 2 . W . R id olfi (1 9 9 7 ). Institute of M athematical S tatistics. 3 2 0 7 – 3 2 1 6 . M . 3 1 . V . D iv ision of P lant Ind ustry C ommonwealth S cientifi c and Ind ustrial R esearch O rg aniz ation.A n S P L U S / R lib rary for locally weig hted fi tting of linear mod els. In te rn a tio n a l J o urn a l o f A d a p tiv e C o n tro l a n d S ig n a l P ro ce ssin g . re p . 2 5 1 7 – 2 5 3 0 . 3 5 (1 ). V . K . and L .1 0 6 1 / (A S C E )1 0 8 4 0 6 9 9 (1 9 9 9 )4 :3 (2 1 4 ). Tib shirani (1 9 9 3 ). (1 9 6 9 ). H ow ev er.tracking time-v ary ing coeffi cient function.. I. C . and J . Multiv a ria te A n a ly sis a n d its A p p lica tio n s. Technical note . 1 2 7 7 – 1 2 8 6 . 1 4. 22. E . and J . J o urn a l o f th e R o y a l S ta tistica l S o c ie ty . H orton H y d rol. R od rig uez (1 9 9 5 ). 4. G up ta. N onlinear analy sis of riv er fl ow time seq uences. B ates (1 9 9 9 ). Tsai (2 0 0 5 ). R ainfall-runoff transfer function b y arma mod eling . and S . and C ond itionally P arametric F its.. N onlinear time-v ary ing mod el of rainfall runoff relation. d oi: 1 0 . 5 5 .. and the output is the ex cess fl ow prediction. 2 1 – 3 6 .1 0 0 2 / 1 0 9 9 1 1 1 5 (2 0 0 0 1 2 ).. 2.1 0 8 0 / 0 0 2 0 7 1 7 0 4 1 2 3 3 3 1 8 8 6 3 . A . 7 7 (1 6 ). A rtifi cial neural network mod eling of the rainfall-runoff p rocess. Trav el times and nonlinearity of fl ood runoff from tracer measurements on a small watershed . J o urn a l o f H y d ro lo g y . W a te r R e so urce s R e sea rc h . N onp arametric R eg ression. W a te r R e so urce s R e sea rc h . In te rn a tio n a l J o urn a l o f C o n tro l. and Y . T he models are F IR and ARX models w ith the coeffi cients v ary ing as a function of ex ternal v ariables.. F urthermore. A . 6.1 0 0 2 / we.1 0 2 9 / 2 0 0 4 W R 0 0 3 0 9 4 . S y ste m id e n tifi ca tio n : T h eo ry fo r th e use r. W a te r R e so urce s R e se ra rce . N ielsen. and C .. B . L oad er (1 9 9 3 ).html. 7 5 7 – 7 9 6 . A rob ust rainfallrunoff transfer mod el. C ond itional p arametric A R X -mod els. H . R e p . R amasastri (2 0 0 5 ). Institute of M athematical S tatistics. W a te r S c ie n ce a n d T ec h n o lo g y . J . W a te r R e so urce s R e se ra rce . V ary ing -coeffi cient mod els.. K . J o urn a l o f H y d o rlo g y . D ep artment of M athematical M od elling . . N J . H su. F . L jung . J . L . and S . and J . S . AL. T. T. d oi: 1 0 . Summary and Conclusion C onditional parametric models hav e been dev eloped and tested for rainfall-runoff modeling in a sew ag e sy stem. d oi:1 0 .d tu. 83 . G up ta. H . and S . O b led . 1 8 2 1 – 1 8 6 2 . K . S ta tistica l S c ie n ce . A . H . S trand b æ k (1 9 9 8 ). A p p lied N o n p a ra m e tric R eg re ssio n . 2 1 4 – 2 2 4 . N ielsen. H . C amp b ell. N ielsen (2 0 0 6 ). P h y sic s B .. (1 9 9 0 ). H orton. I. H olst (2 0 0 0 ). 1 0 (1 5 ). M ad sen (1 9 9 7 ). U nit H y d rog rap h and eff ectiv e p recip itation id entifi cation. 41 (4 ). K . H . N onp arametric d irect map p ing of rainfall-runoff relationship s: A n alternativ e ap p roach to d ata analy sis and mod elling ..Conditional parametric models for storm sewer runoff 77 JONSDOTTIR ET. H . N alb antis. N ov otny . U sing q uantile reg ression to ex tend an ex isting wind forecasting sy stem with p rob ab ilistic forecast. K arlson. and S . Technical U niv ersity of D enmark. S hort-term fl ood forecasting with neurofuz z y mod el. M . 1 1 5 . d oi:1 0 . L ov era (2 0 0 4 ). 1 5 1 – 1 8 3 . 1 3 8 2 – 1 3 9 2 . (1 9 7 6 ). and thereby remov e much of the unaccountable rain distribution. The authors wish to thank the comp any W aste W ater C ontrol ap s in D enmark for d eliv ering the d ata and information ab out the sy stem. and S . it w ould be most conv enient to use the fl ow in the node points as an input in a model for on-line prediction and control. M ad sen. C hang .1 0 2 9 / 2 0 0 4 W R 0 0 3 5 6 2 . Y akowitz (1 9 8 7 ).. 1 0 1 . S . C arstensen. S . 41 (2 ). d oi:1 0 . H uang (1 9 7 0 ). 1 2 7 – 1 5 7 . E . M usy (2 0 0 1 ). N ielsen. W 0 2 0 0 5 . A . N ielsen. N ielsen. 3 7 (1 2 ). U nited K ing d om. P red iction of hy d raulic load for urb an storm control of municip al wwtp . W in d E n e rg y . H su. P . P rev d i. P ub . and H . and obv iously the delay is diff erent depending on the g eog raphical localiz ation. 9.imm.-H .. J o urn a l o f H y d ro lo g y . W a te r R e so urce s R e sea rc h . Z heng (1 9 9 0 ). C lues to the ex istence of d eterministic chaos in riv er fl ow. W a te r R e so urce s R e sea rc h . 3 6 3 – 3 7 0 . F ox ...d k/ han/ software. T ec h . M . and H . H astie. S orooshian (1 9 9 5 ). A . L ocally weig hted reg ression: A n ap p roach to reg ression analy sis b y local fi tting . N ay ak. H ay ward . W a te r R e so urce s R e se ra rc h . R id olfi (2 0 0 1 ). G ao. F urthermore.. 1 1 th IF A C S y m p o sio um o n S y ste m Id e n tifi ca tio n . T he fl ow in the node points is naturally delay ed compared to the fl ow in the w aste w ater treatment plant. R . Z .. S ud heer. P orp orato. 2 1 1 – 2 2 0 . L ocal R eg resson: A utomatic K ernel C arp entry . B oth the conditional parametric F IR and the conditional parametric ARX prov ide results w hich are sig nifi cantly superior to results from conv entional linear models. and L . 3 1 (1 0 ).-J . the method can also be used for sensitiv ity analy sis w hile constructing a phy sical model of the sy stem fl ow . V . T. 3 7 (1 2 ). 27 (7 ). D av ison. d oi:1 0 . P ilg rim. and D . and T. B ev en (2 0 0 4 ). T he most practical thing w ould be to prov ide on-line fl ow data from a couple of node points in the sew ag e sy stem net. H ø y b y e. W . A . Imam (2 0 0 2 ). 4 7 5 – 4 8 0 . 5 9 6 – 6 1 0 . As ex pected the ARX models prov ide the best 1 -step predictions. chap . 8 (2 ). and K . F uz z y ex emp lar-b ased inference sy stem for fl ood forecasting . (1 9 3 5 ). O ’C onnor (1 9 9 4 ). and K . (1 9 9 7 ). 2 5 1 7 – 2 5 3 0 .) (1 9 9 4 ). P hilip . In this study the conditional v ariables are used to capture seasonal fl uctuations and threshold/ saturation due to the limited capacity of the sy stem pumps and pipes. W a te r R e so urce s R e sea rc h .1 8 0 . av ailab le from http :/ / www.. Iorg ulescu.: CONDITIONAL PARAMETRIC MODELS X -7 the ARX model the situation is a little bit more complicated because the fl ow yt−1 is a conditional v ariable. T he method of conditional modeling is a useful contribution to the tools of nonlinear modeling techniq ues used in hy drolog y . T. D . and A . F ang . node points w hich are distributed g eog raphically in the sew ag e sy stem.1 0 2 9 / 2 0 0 1 W R 0 0 0 2 9 5 . M . W . 1 3 0 0 – 1 3 0 8 . S . and B . 9 5 – 1 0 8 . H astie. 40 (8 ). O lkin (E d s. C op lots. P orp orato. A . Acknowledgments. J oensen. 1 5 5 . L . (1 9 8 7 ). S . J . S urface R unoff P henomena: P art I. A b ay esian ap p roach to p arameter estimation and p ooling in nonlinear fl ood ev ent mod els.1 0 2 9 / 1 9 9 8 W R 9 0 0 0 4 3 .. N ielsen. C ap kun. d oi: 1 0 .. N earest-N eig hb or M ethod s for N onp arametric R ainfall-R uoff F orecast. G . R . 1 3 0 2 . P rentice-H all. R osb jerg (1 9 9 9 ). C . T h eo ry o f in fi ltra tio n . p p . W 0 8 4 0 3 . U se of this modeling approach has a g ood potential for dev eloping g ood prediction models. T he base fl ow is separated by using simple eq uations since the base fl ow in the sew ag e sy stem does not orig inate in rainfall. 3 3 (6 ).. K . W a te r R e so urce s R e sea rc h .

4 6 4 – 4 7 1 . L ug an o. (1 9 8 6 ).-C. C. In trod uction to h y d rolog y . T o dini. B ruun (2 0 0 1 ). E n g . L. Co mments o n identifi c atio n o f no nlinear p arametric ally v ary ing mo dels using sep arab le least sq uares b y F. P. Ic eland. Shamseldin. and G . Y . V . P.78 Appendix A X-8 J O N S D O T T IR E T . 7 8 (2 ). F. L.. N ew s Rec. Y o ung.1 0 8 0 / 0 0 2 0 7 1 7 0 1 1 0 0 8 9 8 2 4 . E n g . 9 0 (H Y 2 ). N o nlinear instantaneo us unit hy dro grap h theo ry . J. 3 1 3 – 3 4 7 . 1 2 2 – 1 2 7 . N ew Y o rk . P. 1 0 8 . P. Sherman. In tern ation l J ourn al of C on trol. (2 0 0 2 ). 1 8 3 7 – 1 8 5 7 . Y o ung. Rain fall-run off M od ellin g . 2 4 -2 7 J un .1 0 2 9 / 9 6 W R0 1 5 2 8 . Silv erman. (1 9 8 8 ). and B . Fagherazzi. Prev idi and M . U niv ersity o f Ic eland. Streamfl o w fro m rainfall b y the unit-grap h metho d. B o b e (1 9 9 6 ). (2 0 0 5 ). J ourn al of H y d rolog y .. Water Resources Research . D en sity estim ation for statistics an d d ata an aly sis. 2 0 0 2 . 7 4 (1 8 ). E stimatio n and v alidatio n o f c o ntep o raneo us PA RM A mo dels fo r streamfl o w simulatio n. A p p lic atio n o f a neural netw o rk techniq ue to rainfall-runo ff mo delling. 3 2 (1 0 ). K . . U sing a Desk -T o p Co mp uter fo r an O n-Line Flo o d W arning Sy stem. M c K enna. Identifi c atio n o f no n-linear sto chastic sy stems b y state dep endent p arameter estimatio n. do i:1 0 . Singh. 5 0 1 – 5 0 5 . (1 9 9 7 ). Fac ulty o f E ngineering. 2 2 . A m . V . 1 9 9 . W . B . P roceed in g s of th e In tern ation al E n v iron m en tal M od ellin g an d S oftw are S ociety C on feren ce (iE M S 2 0 0 2 )). p p . (1 9 3 2 ). Chap man and H all. N ew Y o rk . 272–294. C iv . Data-b ased mechanistic and to p -do w n mo delling. do i: 1 0 . 3 1 5 1 – 3 1 6 0 . H y d rolog ic S y stem s. (1 9 7 8 ). Y o ung. Rassam. A L . P. (1 9 6 4 ). Singh. In tern ation al J ourn al of C on trol. IB M J ourn al of Research an d D ev elop m en t. J. D. 1 0 7 Rey k jav ik . A .. 3 6 3 – 3 7 4 . C. do i:1 0 . C. Prentic e H all. P. E . H arp erCo llins Co llege Pub lishers. J ourn al of H y d raulic D iv ..1 0 8 0 / 0 0 2 0 7 1 7 0 5 0 0 0 0 7 3 7 7 2 . Lo v era: B lack b o x o r o p en b o x . S oc. Lew is (1 9 9 6 ). Salas. H jardarhaga 2 -6 .c o m) Rasmussen. H arp a Jo nsdo ttir. and J. P. V ol 1 . L. (hallo harp a@ gmail.: C O N D IT IO N A L P A R A M E T R IC M O D E L S V iessman.

Appendix B Parameter estimation in a stochastic rainfall-runoff model Published in Journal of Hydrology 2006. p. Vol 326. 379-393. .

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I n sp ite of being based on relativ ely limited inp ut information. Univ ersity of Iceland. is ( H . therefore. Parameter estimation. w here the sum of sq uared simulation error is minimiz ed. i. see B erg strom ( 1 9 7 5 . T el. A ll rig hts reserv ed. I n tro d u cti o n A ll hy drolog ical models are ap p rox imations of reality . O lafur Petur Palsson b b a Department of Informatics and Mathematical Modelling. H enrik M adsen a. p ossible for estimating all the p arameters. elsev ier. S ing h and W oolhiser ( 2 0 0 2 ) g iv e a comp rehensiv e ov erv iew of mathematical modelling of w atershed hy drolog y . : C3 5 4 5 6 9 6 0 5 1 . T he p arameter estimation method is a max imum lik elihood method ( M L ) w here the lik elihood function is ev aluated using a K alman fi lter techniq ue. *. doi: 1 0 . R ainfall-runoff model. M ax imum lik elihood. formulated in continuous-discrete state sp ace form. j hy drol. Prediction and simulation 1 . T he numerous hy drolog ical models w hich already ex ist v ary in their model construction. 321 DTU. V . 107 R eykj av ik. fax : C3 5 4 5 6 8 8 8 9 6 .81 J ournal of H y drolog y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 w w w . is a standard model in the S candinav ian countries 0 0 2 2 -1 6 9 4 / $ . DK-2800 Lyngby. T he model is small and a fully automatic op timiz ation is. Iceland R eceiv ed 1 4 N ov ember 2 0 0 3 . a brief ov erv iew w ill be g iv en here. H ence.see front matter q 2 0 0 5 E lsev ier B . including a snow routine for mountainous areas. 0 0 4 . Keyw ords: C oncep tual stochastic model. models for w ater q uality . rev ised 3 1 O ctober 2 0 0 5 . the sum of sq uared p rediction error is minimiz ed. E -mail address: hj @ os. E x tended K alman fi lter. T he M L method estimates the p arameters in a p rediction error setting s. F or a comp arison the p arameters are also estimated by an outp ut error method. T he ¨ H B V model. V . how ev er. etc. 1 0 1 6 / j . T here are models for desig n of drainag e sy stems. T he data orig inates from I celand and the model is desig ned for I celandic conditions. T he model demands only tw o inp ut data series. 1 9 9 5 ) . including the noise terms. H j ardarhaga 2-6 . Bldg. q 2 0 0 5 E lsev ier B . T he model considered in the p ap er is a concep tual stochastic model. Denmark Department of Mechanical and Indu strial E ngineering. dep ending on the p urp ose it is p ossible to select w hether the p arameter v alues are op timal for simulation or p rediction. accep ted 9 N ov ember 2 0 0 5 Abstract A p arameter estimation method for stochastic rainfall-runoff models is p resented. com/ locate/ j hy drol Parameter estimation in stochastic rainfall-runoff models H arp a J onsdottir a. 2 0 0 5 . p artly because the models serv e somew hat different p urp oses. A ll rig hts reserv ed. e. 1 1 . and hence the outp ut of a sy stem can nev er be p redicted ex actly and the p roblem is how to achiev e an accep table and op erational model. p recip itation and temp erature and one outp ut data series. models for fl ood forecasting . T he former methodolog y is op timal for short-term p rediction w hereas the latter is op timal for simulations. * C orresp onding author. J onsdottir) . the discharg e. the model p erforms w ell and the p arameter estimation method is p romising for future model dev elop ment.

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Nomenclature a b b b1 c: f K k k1 k2 M L ow p ass fi lteri ng c onstant [1/day ] C onstant i n j($), c ontrolli ng the sm oothness C enter of the threshold f unc ti on f($) S harp ness of the threshold f unc ti on f($) P rec i p i tati on c orrec ti on f ac tor F i ltrati on f rom up p er reserv oi r to low er reserv oi r [1/day ] C onstant rep resenti ng the base fl ow [m/day ] C onstant i n j($), c ontrolli ng the sm oothness R outi ng c onstant, f rom up p er surf ac e reserv oi r [1/day ] R outi ng c onstant, f rom low er surf ac e reserv oi r [1/day ] C onstant i n j($), c ontrolli ng the up p er li m i t v alue N P p dd S1 S2 s11 T(t) Ts(t) Y duI f(x) j(x) si i S now c ov er [m] M easured p rec i p i tati on [mm] P osi ti v e degree day c onstant f or m elti ng [m/([8C ]day )] U p p er surf ac e w ater reserv oi r [m] L ow er surf ac e w ater reserv oi r [m] W hi te noi se p roc ess f or the observ ati ons M easured tem p erature [8C ] L ow p ass fi ltered tem p erature [8C ] M easured di sc harge [m/day ] O ne di m ensi onal W i ener p roc ess S m ooth threshold f unc ti on (si gm oi d f unc ti on) 1=ð1C ex p ðb0 C b1 xÞ Þ I ndi c ator f unc ti on f or the snow j(x)Z Mex p (- bex p (- kx)) I nc rem ental c ov ari anc e of the W i ener p roc ess

and has also been used around the globe. The HBV m odel has been c lassi fi ed as a sem i - di stri buted c onc ep tual m odel and i s based on the theory of li near reserv oi rs. The m odel has a num ber of f ree p aram eters, w hi c h are f ound by c ali brati on. The m odel p resented here i s i n the sp i ri t of the HBV m odel, but addi ti onally , the ap p roac h suggested i n thi s p ap er i nc ludes a p roc edure f or f ully autom ati c p aram eter esti m ati on. The N A M /M I K E 11/M I K E 21 m odels, see e.g. N i elsen and Hansen (19 7 3 ); G ottli eb (19 8 0); Hav nø et al. (19 9 5 ), are used f or fl ood f orec asti ng i n D enm ark and other E urop ean c ountri es. The N A M m odel i s based on si m i lar p ri nc i p les as the HBV m odel and a f urther dev elop m ent of the m odel led to the M I K E 11 sof tw are p ac k age w hi c h i s a one di m ensi onal m odelli ng sy stem f or si m ulati on of fl ow , sedi m ent- transp ort and w ater q uali ty . M I K E 21 i s a tw o di m ensi onal v ersi on. The TO P M O D E L , Bev en and K i rk by (19 7 9 ), has been used i n G reat Bri tai n. The m odel i s a set of c onc ep tual tools that c an be used to rep roduc e the hy drologi c al behav i our of the c atc hm ent area i n a di stri buted or sem i - di stri buted w ay . The p aram eters are p hy si c ally i nterp retable and the w atershed i s c lassi fi ed by usi ng the so- c alled top ograp hi c i ndex . The S HE m odel i s a p hy si c ally

based, di stri buted w atershed m odelli ng sy stem , dev elop ed j oi ntly by the D ani sh Hy drauli c I nsti tute, the Bri ti sh I nsti tute of Hy drology and S O G R E A H i n F ranc e. The S HE m odel i s w i dely used, see A bbott et al. (19 8 6 ); Bathurst (19 8 6 ); S i ngh and W oolhi ser (2002); J ai n et al. (19 9 2); R ef sgaard et al. (19 9 2). The M I K E S HE m odel i s a f urther dev elop m ent of the S HE m odelli ng c onc ep t R ef sgaard and S torm (19 9 5 ) and i t has been used i n m any E urop ean c ounti es. The A R N O m odel, Todi ni (19 9 6 ), i s a sem i - di stri buted c onc ep tual m odel, and i t i s w ell k now n i n I taly . L i k e the HBV and N A M m odels the Tank m odel, S ugaw ara (19 9 5 ), i s a m odel based on li near reserv oi rs and i t has been used i n J ap an. The X i nanj i ang m odel, Z hao and L i u (19 9 5 ); Z hao (2002), i s a di stri buted, basi n m odel f or use i n hum i d and sem i - hum i d regi ons w here the ev ap orati on p lay s a m aj or role. The m odel has been w i dely used i n C hi na si nc e 19 8 0. I n C anada, the W A TF L O O D m odel S i ngh and W oolhi ser (2002), i s bei ng used. The W A TF L O O D m odel i s a di stri buted hy drologi c al m odel based on the G R U (G roup R esp onse U ni t) c onc ep t, i .e. all si m i larly v egetated areas w i thi n a subw atershed are group ed as one resp onse uni t. The N W S R i v er F orec ast sy stem , based on the S ac ram ento

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Model, B u r n a s h ( 1 9 9 5 ) , i s a s t a n da r d m odel i n t h e U n i t ed S t a t es f or fl ood f or ec a s t i n g a n d i n A u s t r a li a t h e R O R B m odel, L a y r en s on a n d Mei n ( 1 9 9 5 ) , i s c om m on ly em p loy ed f or fl ood f or ec a s t i n g a n d dr a i n a g e des i g n . I n c r ea s ed c om p u t er p ow er a n d da t a s t or a g e c a p a b i li t i es h a v e op en ed t h e p os s i b i li t y f or w or k i n g w i t h m or e det a i led di s t r i b u t ed m odels . H en c e, m a n y of t h e r ec en t ly dev elop ed m odels a r e p h y s i c a lly b a s ed di s t r i b u t ed m odels , a n d t h ey a r e oc c a s i on a lly u s ed t og et h er w i t h G I S ( G eog r a p h i c I n f or m a t i on S y s t em s ) . T h es e m odels b ot h u t i li z e a la r g e a m ou n t of i n f or m a t i on , b u t c a n a ls o p r ov i de v a r i ou s i n f or m a t i on , h ow ev er , i f t h e i n p u t da t a ( or i n f or m a t i on ) a r e n ot a v a i la b le t h e m odel i s of li t t le u s e. B la c k b ox m odels h a v e a ls o b een u s ed f or fl ood f or ec a s t i n g , s t a r t i n g w i t h li n ea r t r a n s f er f u n c t i on m odels i n t h e b eg i n n i n g of 1 9 7 0 s a n d s i n c e t h en v a r i ou s k i n ds of li n ea r a n d n on li n ea r m odels . I n r ec en t y ea r s n eu r a l n et w or k m odels h a v e b een p op u la r . S a j i k u m a r a n d T h a n da v es w a r a ( 1 9 9 9 ) u s ed a n a r t i fi c i a l n eu r a l n et w or k a s a n on li n ea r r a i n f a ll- r u n of f m odel f or t h e r i v er L ee i n t h e U K a n d f or t h e r i v er T h u t h a p u z h a i n I n di a . S h a m s eldi n ( 1 9 9 7 ) u s ed n eu r a l n et w or k s f or r a i n f a ll- r u n of f m odelli n g w h i c h w a s t es t ed on s i x di f f er en t c a t c h m en t a r ea s . T h e m a i n a dv a n t a g e of b la c k b ox m odels i n h y dr olog y i s t h a t t h ey a r e n ot a s da t a dem a n di n g a s t h e p h y s i c a l m odels ; t h i s r ef er s t o a ll k i n ds of p h y s i c a l i n f or m a t i on a b ou t t h e w a t er s h ed a s w ell a s lon g r ec or d of fl ow a n d p r ec i p i t a t i on . S om e of t h e c on c ep t u a l m odels a r e n ot v er y da t a dem a n di n g a n d i t i s i m p or t a n t t o w or k w i t h t h os e k i n d of m odels a s w ell, i . e. m odels w i t h f ew i n p u t da t a , f ew p a r a m et er s a n d li m i t ed p r i or i n f or m a t i on . T h e p a r a m et er s i n a lu m p ed c on c ep t u a l m odel c a n b e i n t er p r et ed a s s om e k i n d of a n a v er a g e ov er a la r g e a r ea , b u t i n g en er a l t h e m os t li k ely p a r a m et er v a lu es c a n n ot b e g i v en , a n d t h e fi n a l p a r a m et er es t i m a t i on m u s t , t h er ef or e, b e p er f or m ed b y c a li b r a t i on a g a i n s t ob s er v ed da t a . R ef s g a a r d et a l. ( 1 9 9 2 ) s t a t ed t h a t i n p r i n c i p le t h e p a r a m et er s i n a p h y s i c a lly b a s ed m odel c a n b e es t i m a t ed b y fi eld m ea s u r em en t s , b u t s u c h a n i dea l s i t u a t i on r eq u i r es c om p r eh en s i v e fi eld da t a , w h i c h c ov er a ll t h e p a r a m et er s . T h i s s i t u a t i on r a r ely oc c u r s a n d t h e p r ob lem of c a li b r a t i on w i ll a r i s e. B ec a u s e of t h e la r g e n u m b er of p a r a m et er s i n a p h y s i c a lly b a s ed m odel t h e p a r a m et er es t i m a t i on c a n

n ot b e don e b y f r ee op t i m i z a t i on f or a ll p a r a m et er s , h ow ev er , a n ov er a ll p a r a m et er es t i m a t i on i s p os s i b le f or s i m p ler m odels . T h e s t a t e s p a c e f or m u la t i on a n d t h e K a lm a n fi lt er h a s b een u s ed i n h y dr olog y f or y ea r s , r ep r es en t i n g b ot h b la c k b ox m odels a n d g r ey b ox m odels , i . e. c on c ep t u a l p h y s i c a l m odels w h er e p a r a m et er v a lu es a r e es t i m a t ed u s i n g da t a . S z ollos i - N a g y ( 1 9 7 6 ) u s ed a s t a t e s p a c e f or m u la t i on f or on - li n e p a r a m et er es t i m a t i on i n li n ea r h y dr og r a p h y u s i n g a F I R m odel ( F i n i t e I m p u ls e R es p on s e m odel) . T odi n i ( 1 9 7 8 ) p r es en t ed a t h r es h old A R MA X m odel, f or m u la t ed i n a s t a t e s p a c e f or m a n d t h e p a r a m et er s es t i m a t ed of f li n e, i . e. i n a b a t c h f or m . R ef s g a a r d et a l. ( 1 9 8 3 ) r ef or m u la t ed t h e N A M m odel i n a s t a t e s p a c e f or m w h er e t w o of t h e m odel p a r a m et er s w er e t i m e v a r y i n g i . e. on - li n e es t i m a t ed. H a lt i n er a n d S a la s ( 1 9 8 8 ) u s ed A R MA X m odels , b ot h w i t h of f - li n e ( b a t c h ) p a r a m et er es t i m a t i on a n d on - li n e p a r a m et er es t i m a t i on m et h od i n t h e S R M m odel, s ee a ls o Ma r t i n ec ( 1 9 6 0 ) ; Ma r t i n ec a n d R a n g o ( 1 9 8 6 ) . A ll t h e a b ov e- m en t i on ed m odels a r e f or m u la t ed i n a di s c r et e t i m e. I n G eor g a k a k os ( 1 9 8 6 a ,b ) r a t h er la r g e p h y s i c a l m odels a r e p r es en t ed u s i n g a s t a t e s p a c e f or m u la t i on . H ow ev er , t h e m odel p a r a m et er s a r e c on s t a n t s a n d n ot es t i m a t ed. I n G eor g a k a k os et a l. ( 1 9 8 8 ) t h e S a k r a m en t o m odel ( or g . i n B u r n a s h et a l. ( 1 9 7 3 ) ) , i s m odi fi ed a n d f or m u la t ed i n s t a t e s p a c e f or m a n d s om e of t h e p a r a m et er s a r e es t i m a t ed. R a j a r a m a n d G eor g a k a k os ( 1 9 8 9 ) r ep r es en t a m odel f or a c i d dec om p os i t i on i n a la k e w a t er s h ed s y s t em f or m u la t ed i n a c on t i n u ou s - di s c r et e s t a t e s p a c e f or m , a n d t h ey es t i m a t ed t h e p a r a m et er s . L ee a n d V . P . S i n g h ( 1 9 9 9 ) a p p li ed a n on - li n e es t i m a t i on t o t h e T a n k m odel ( s ee e. g . S u g a w a r a ( 1 9 9 5 ) ) , f or s i n g le s t or m a t a t i m e, c a li b r a t i n g t h e i n i t i a l s t a t es m a n u a lly . L ee a n d V . P . S i n g h ( 1 9 9 9 ) a ls o g a v e a s h or t ov er v i ew of a p p li c a t i on of t h e K a lm a n fi lt er t o h y dr olog i c a l p r ob lem s u p t o 1 9 9 9 . I n A s h a n a n d O ’ C on n or ( 1 9 9 4 ) a g en er a l di s c u s s i on a b ou t t h e u s e of K a lm a n fi lt er i n h y dr olog y i s f ou n d. I n t h e f ollow i n g a s t oc h a s t i c lu m p ed, c on c ep t u a l r a i n f a ll- r u n of f m odel i s dev elop ed. T h e m odel i s f or m u la t ed a s a c on t i n u ou s - di s c r et e t i m e s t oc h a s t i c s t a t e s p a c e m odel. T h e dy n a m i c s a r e des c r i b ed b y s t oc h a s t i c di f f er en t i a l eq u a t i on s a n d t h e ob s er v a t i on s a r e des c r i b ed b y eq u a t i on s r ela t i n g t h e di s c r et e t i m e ob s er v a t i on s t o t h e s t a t e v a r i a b les a t t i m e p oi n t s w h er e

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3 8 2

H . J o n s d o ttir e t a l. / J o u r n a l o f H y d r o lo g y 3 2 6 (2 0 0 6 ) 3 7 9 – 3 9 3

observations are available. The main advantage of this model formu lation is that the stoc hastic p art p ermits a desc rip tion of both the model and the measu rement u nc ertainty , and henc e more rigorou s statistic al methods c an be u sed for p arameter op timiz ation. F u rthermore, the stoc hastic modelling ap p roac h allow s a mu c h simp ler model stru c tu re than a deterministic modelling ap p roac h sinc e some of the variations observed in data are desc ribed by the stoc hastic p art of the model. The model p resented is a w atershed model designed for disc harge forec asting. I t is a simp le lu mp ed reservoir model w ith tw o inp u t variables, p rec ip itation and temp eratu re and one ou tp u t variable, the disc harge. B ec au se of the simp lic ity of the model and few p arameters it is p ossible to estimate all the p arameters inc lu ding threshold p arameter in the snow rou tine and the sy stem noise, w hic h often has been diffi c u lt to identify in hy drology . The method su ggested for p arameter estimation (in batc h form) is a max imu m lik elihood method, w here the one step ahead p redic tion errors req u ired for evalu ating the lik elihood fu nc tion are evalu ated u sing the K alman fi lter tec hniq u e. M oreover, the state sp ac e formu lation allow s the model to be u sed for simu lation as w ell, how ever, good simu lation resu lts req u ire different p arameter valu es, K ristensen et al. (20 0 4 ) . P arameter valu es, w hic h are su itable for simu lation c an be ac hieved by fi x ing the sy stem noise to a small valu e and then estimating the remaining p arameters. C onversely good p redic tion resu lts are obtained by u sing p arameter valu es w here all the p arameters have been op timiz ed, inc lu ding the p arameters desc ribing the sy stem noise. The p ap er is organiz ed as follow s. I n S ec tion 2 the availability of data is disc u ssed. The model is desc ribed in S ec tion 3 and the method for p arameter estimation is desc ribed in S ec tion 4 . S ec tion 5 inc lu des disc u ssion of some estimation p rinc ip les. I n S ec tion 6 resu lts are demonstrated and in S ec tion 7 c onc lu sions are draw n.

2. The data The goal is to develop a model, w hic h c an be u sed in mou ntainou s areas w ith snow ac c u mu lation. S u c h areas are often thinly p op u lated and the meteorologic al observatories are often rather sp read. H ow ever,

there is a need for fl ood forec asting for variou s reasons, su c h as w arning related to the sp ring fl oods or for op erational p lanning of hy drop ow er p lants. The data u sed in this p roj ec t originates from I c eland w hic h has in general only mou ntainou s c atc hment areas and it c ertainly is thinly p op u lated w ith only 2.8 inhabitants p er k m2, and only a few meteorologic al observatories ex ists. P rec ip itation is the main inp u t for hy drologic al models as the p rec ip itation and the evap oration c ontrol the w ater balanc e. I n I c eland, the evap oration p lay s only a minor role, bu t the p rec ip itation is imp ortant. H ow ever, there is a shortage of good p rec ip itation data, w hic h indeed has an effec t on the p redic tion p erformanc e of the model. The p oor q u ality of p rec ip itation data arises both from a rain gau ges bias tow ards too small valu es, and a limited nu mber of rain gau ge measu rement stations. D u e to the infl u enc e of w ind the amou nt of p rec ip itation measu red is an u nderestimate of the ‘ grou nd tru e’ p rec ip itation. U nfortu nately , no ex p eriments have been made in I c eland in order to develop models to adj u st for this bias. E x p eriments, lik e for instanc e the N ordic p roj ec t in J ok ioinen in F inland du ring the y ears 1 9 8 7 – 1 9 9 3 (F ø rland et al. (1 9 9 6 ) ) , had the p u rp ose of develop ing models to desc ribe the u nderestimate of the different rain gau ges dep ending on w eather c ondition. This ex p eriment is of little u se here sinc e the w ind sp eed in I c eland in general is mu c h higher than in F inland. F u rthermore, most of the meteorologic al stations in I c eland are loc ated along the c oastal line in the inhabited areas and most rivers, esp ec ially the larger ones, stretc h far into the c ou ntry and have thu s w atershed in high mou ntainou s areas. O c c asionally , there are no meteorologic al stations in the w hole w atershed and if any they are ty p ic ally loc ated near the c oast. P rec ip itation lap se rate is also diffi c u lt to trac k sinc e in p rac tic e the lap se rate dep ends highly on w ind sp eed and direc tion in the mou ntainou s areas. The disc harge data are c alc u lated from w ater level data u sing the QKh formu la. The errors of the disc harge data are c au sed both by u nc ertainty of the w ater level data and u nc ertainty of the p arameters in QKh formu la. The errors of the w ater level measu rements more or less only oc c u r du ring the w inter bec au se of the ic ing, w hic h c au ses the w ater level to rise even thou gh the fl ow of w ater is not inc reasing. This has to be c orrec ted manu ally .

a very small p art o f the regio n in the valley is co p se and grassland. it is diffi cult to p redict p eak s several days ahead. diurnal averages o f the temp erature and the to tal p recip itatio n fo r the p ast 24 ho urs. / Journal of Hydrology 326 (2006) 379–393 3 8 3 In Iceland few discharge measurements with very large discharge ex ist. 3. T he discharge used in this p ro j ect o riginates fro m ´ the river F nj o ´ sk a in N o rthern Iceland. T his is due to the fact that even tho ugh annual sp ring fl o o ds o ccur. at L erk ihlid. and it is situated 1 5 0 m ab o ve sea level. Jonsdottir et al. B ergstro ¨ m ( 1 9 7 5 ) . the temp erature and the p recip itatio n fo r the who le p erio d o f 8 years. see B ergstro ¨ m and F o ssman ( 1 9 7 3 ) . see F ig. starting 1 st o f S ep temb er 1 9 7 6 and ending 3 1 st o f A ugust 1 9 8 4 . and 5 4 % o f the catchment area is ab o ve 8 0 0 m. . 2 sho ws the discharge. and the b asic idea is similar to the idea b ehind the H B V and N A M mo dels. the altitude range is b etween 4 4 and 1 0 8 4 m. ab o ut 20 k m fro m the o utlet o f the watershed. N o meteo ro lo gical o b servato ry is lo cated in the highlands which co uld have given info rmatio n ab o ut the weather co nditio n in the catchment area there. T he catchment area is do minated b y grit and ro ck s. and the numb er o f rivers that can b e measured simultaneo usly is limited. T he river is a direct runo ff river with no glacier in the watershed. and ´ F ig. F ig. 1 .85 H. T he watershed o f the river F nj o ´ sk a is ab o ut 1 1 3 2 k m2 and lo cated in N o rthern Iceland. 1 . T he data used are diurnal averages o f the discharge. whereas many larger rivers in Iceland have a glacier facto r. N ielsen and H ansen ( 1 9 7 3 ) . The stochastic model T he sto chastic mo del p ro p o sed is a simp le smo o th thresho ld mo del with a sno w ro utine. A meteo ro lo gical o b servato ry is lo cated in the watershed. T he watershed is ab o ut 1 1 3 2 k m2.

T h e th r esh old f u n c tion is f or m u la ted a s th e sig m oid f u n c tion fðTðtÞÞ Z 1 1 C ex p ðb0 Kb1 TðtÞÞ (1) th e a c tu a l p h y sic a l p r oc ess of m eltin g .86 3 84 H . A dia g r a m of th e m odel str u c tu r e is sh ow n in F ig . in or der to ta k e th is in to a c c ou n t th e tem p er a tu r e T(t) is low p a ss fi lter ed dTs ðtÞ Z ½K Ts ðtÞ C a Tðtފ dt C dwðtÞ a (3 ) T h e sa m e sm ooth th r esh old is u sed f or th e m eltin g p r oc ess. N o a ttem p t is m a de to m odel . T h e m a in distin c tion betw een th e n on stoc h a stic H B V a n d N A M m odels a n d th e stoc h a stic m odel su g g ested h er e is th a t th e w a ter fl ow is m odelled a s a f u n c tion of on ly p r ec ip ita tion a n d tem p er a tu r e. T h e m odel str u c tu r e. T h e tota l p r ec ip ita tion is div ided in to sn ow a n d r a in u sin g a sm ooth th r esh old f u n c tion f(T(t)). T h e w a ter is stor ed in r eser v oir s a n d th e ou tfl ow of th e r eser v oir s a r e r ou ted to th e str ea m w ith dif f er en t tim e c on sta n ts. th e f a c t th a t in th e beg in n in g of th e m eltin g p r oc ess th e w a ter fi r st sta y s in th e sn ow p a c k a n d is n ot r elea sed u n til th e sn ow p a c k is w et en ou g h . tem p er a tu r e a n d p r ec ip ita tion sta r tin g 1st of S ep tem ber 197 6 a n d en din g 3 1st of A u g u st 1984 . i. N is sn ow a c on ta in er . Gottlieb (1980). T h e p r ec ip ita tion is div ided in to sn ow a n d r a in . M is m eltin g . / J o u r n a l o f H y d r o l o g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 F ig . w h er e th e m eltin g M(t) is f or m u la ted u sin g th e p ositiv e deg r ee da y m eth od MðtÞ Z p dd TðtÞ fðTðtÞÞ (2) F ig . S1 a n d S2 a r e u p p er a n d low er su r f a c e r eser v oir s. 3 . w h er e p dd is th e p ositiv e deg r ee da y c on sta n t. 2. f is fi ltr a tion betw een th e r eser v oir s a n d k1 a n d k2 a r e th e r ou tin g c on sta n ts. a n d th er e a r e n o f a c tor s f or ev a p or a tion a n d in fi ltr a tion in to th e g r ou n d.e. T h e da ta ser ies f or disc h a r g e. 3 . O n th e oth er h a n d n o m a n u a l c a libr a tion is r eq u ir ed sin c e th e stoc h a stic m odel a llow s f or sta tistic a l m eth ods f or p a r a m eter estim a tion . w h er e T(t) is th e a ir tem p er a tu r e. w h ic h ty p ic a lly is c a libr a ted. H ow ev er . K is a c on sta n t r ep r esen tin g th e ba se fl ow a n d Q is th e disc h a r g e. J o n s d o tti r e t a l .

. xt 2R4 is a v ector of the state v ariab les (since xt Z ½Ts ðtÞ. qÞ pðy0 jqÞ (13) kZ1 I n order to ob tain an exact ev aluation of the lik elihood f unction. YN Þ Z pðyk jYk . t. . The lik elihood f unction can b e written as ! N Y Lðq. controlling whether there is snow to melt or not.. f is fi ltration f rom the up p er surf ace reserv oir to the lower surf ace reserv oir. (10) is k nown as the system equation and E q. The stochastic dif f erential equations describ e the dynamics of the system in continuous time as stated b y E q. The p rocedure is imp lemented in a p rogram called C TS M (C ontinuous Time S tochastic M odelling) . qÞÞ is a G aussian white noise p rocess. and the algeb raic equation E q. sð$Þ 2R4!4 and hð$Þ 2R are nonlinear f unctions. E q. tk . qÞdt C sðut .l i n e estimation of (some) p arameters is p ossib le b y extending the state v ector with the relev ant p arameters. y1 . I t is well k nown that the lik elihood f unction f or time series models is a p roduct of conditional densities (see e. and f or a f urther descrip tion of the mathematics and numerics b ehind the p rogram.e. (4) – (8 ) is a continuous. The suggested stochastic state sp ace model is: dTs ðtÞ Z ½K Ts ðtÞ C a Tðtފ dt C s1 dw1 ðtÞ a dNðtÞ Z½K ddTs ðtÞfðTs ðtÞÞjðNðtÞÞC p ð1KfðTs ðtÞÞÞcPðtފ dt C s2 dw2 ðtÞ dS1 ðtÞ Z½p ddTs ðtÞfðTs ðtÞÞjðNðtÞÞK ðf C k1 ÞS1 ðtÞ C ðfðTs ðtÞÞcPðtÞފ dt C s3 dw3 ðtÞ (6 ) dS2 ðtÞ Z ½fS1 ðtÞKk2 S2 ðtފ dt C s4 dw4 ðtÞ YðtÞ Z k1 S1 ðtÞ C k2 S2 ðtÞ C K C e1 ðtÞ (7 ) (8 ) (4) (5 ) The hydrological model describ ed b y E q. see K ristensen et al.dw4(t) are assumed to b e indep endent standard W iener p rocesses and all are assumed indep endent of measurement noise e1(t) . jðNÞ Z Mexp ðK bexp ðK kNÞÞ (9 ) S1 and S2 are water content reserv oirs.s4 are constants rep resenting the v ariances of the system noise and the noise terms dw1(t) . A s mentioned. Parameter estimation I n this section a maximum lik elihood method f or estimation of the p arameters of the continuous– discrete time stochastic state sp ace models is outlined. (11) is k nown as the measurement equation. uk . qÞdut yk Z hðxk . S1 ðtÞ. t.y1. B y introducing the notation Yk Z ðyk .. ykK1 . The notation xk Z xtZtk and uk Z utZtk is used. (4) – (7 ) .discrete time stochastic state sp ace model. and K ristensen et al. J o n s d o tti r et a l . A n extension of the model with a ground water reserv oir would imp rov e the p hysical reality of the model and it might b e a task f or f uture research. the initial p rob ab ility density p(y0jq) must b e k nown and all sub sequent conditional .. the f unctions f ð$Þ 2R4 . ut . F urthermore. S2 ðtފ T ) . NðtÞ. (2003) . / J o ur n a l o f H yd r o l o g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 38 5 The consequence is that a single warm day does not giv e as much imp act as a warm day f ollowed b y another warm day. The measurements yk are in discrete time. ut is a 4.. (2004) . The v ector yk 2R is a v ector of measurements (i. R estrep o and B ras (19 8 5 ) ) . (8 ) describ es how the measurements are ob tained as a f unction of the state v ariab les at discrete time instants. tk . s1.87 H . the discharge) . q 2Rp is a v ector of the unk nown p arameters. W ith this model f ormulation the p arameters are constants and estimated o ff..l i n e or in a b atch f orm. k1 and k2 are the routing constants. the mathematical f ormulation of the continuous. ut 2 R2 is a v ector of the inp ut v ariab les (since utZ [T(t) . and c is a p recip itation correction f actor.y0) is the time series of all measurements up to and including the measurement at time tk..g. The b ase fl ow is assumed to b e constant. where (yk. A n o n . U sing a slightly dif f erent and more comp act notation. Sðuk .P(t) ] ) .dimensional standard W iener p rocess and ek 2Nð0.discrete time stochastic state sp ace model is dxt Z f ðxt .ykK1. y0 Þ (12) 4. where t 2RC is time. qÞ C ek (10) (11) where N is the amount of snow in the snow container in meters and the f unction j is a smooth indicator f unction.

qÞ are G aussian th e likelih ood f unction becomes 0   1 1 N exp K1 3T RK 1 2 k kjkK 3k C BY LðqjYN Þ Z @ pffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi  pffi ffi ffi ffi ffi ffi  l Apðy0 jqÞ kZ1 detðRkjkK1 Þ 2p ( 14 ) ^ w h ere 3k Z yk Ky kjkK1 Z yk KEfyk jYkK1 . Th us. Th is assump tion can be tested af ter th e estimation e. by considering th e seq uence of residuals. qÞ dt ðState p redictionÞ t 2½tk . tk . Th e continuous. vxt xZ^ kjkK1 . also occasionally ref erred to as G ears meth od or A dams meth od ¨ ( see e. since th e dif f usion term in th e system eq uation. ( 21) by using B D F ( B ackw ard D if f erence F ormula) ( see ¨ e. qg is th e associate conditional covariance.q t 2½tk . Kristensen et al. ( 11) . ( 10) . ( 21) is nonlinear w ith a nontrivial solution. g. in th e continuous– discrete state sp ace model is a W iener p rocess. D ah lq uist and B j orck ( 19 8 8 ) ) . I n th e N L ( N on L inear) case it is reasonable to assume th at under suitable regularity conditions. ( 2004 ) or J az w inski ( 19 7 0) ) : ^ ^ y kjkK1 Z hðx kjkK1 . E q . Th e B D F f ormula demands a N ew ton. th e conditional densities can be w ell ap p roximated by th e G aussian distribution. / J o ur n a l o f H y d r o lo g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 densities can be determined by successively solving Kolmogorov’ s f orw ard eq uation and ap p lying B ayes’ s rule. assuming th at th e conditional densities pðyk jYk . th e snow container N. ( 21) by using a Predictor/ Corrector sch eme. uk . J az w inski ( 19 7 0) . Th is analytical solution is used to calculate th e ‘ initial’ p roblem PkC1jk. qÞ. E q . th e linear eq uation is solved analytically. ( 4 ) – ( 8 ) is a model w ith f our states. D ah lq uist and B j orck ( 19 8 8 ) ) . ( 2004 ) . F or given p arameters and initial states.uZuk .88 3 8 6 H . tkC1 Š ( 21) ^ dPtjk ^ Z AP tjk C Ptjk AT C ssT dt ðState var: p red:Þ w h ere AZ CZ and s Z sðuk . iteratively in a subsamp led interval. N umerical solution of th e O D E eq uation E q . F or a detailed descrip tion of all th e meth ods see Kristensen et al. Th is ap p roach is not f easible in p ractice. O n th e oth er h and eq uation E q .q vh j x vxt xZ^ kjkK1 .tZtk . Th e h ydrological model described by E q . Th e sof tw are CTSM of f ers th ree op tions f or h andling th is: L ineariz ation by fi rst order Taylor. w h ich can be solved analytically. tk . and up p er . it f ollow s th at f or L TI ( L inear Time I nvariant) and L TV ( L inear Time V ariant) models th e conditional densities are G aussian. qg is th e one ^ step p rediction error and RkjkK1 Z Vfyk jYkK1 . E q . ( 22) is a linear dif f erential eq uation. 3k and RkjkK1 can be comp uted by means of a Kalman fi lter in th e linear case or an extended Kalman fi lter in th e nonlinear case. w h ich is indep endent of th e state variables.tZtk . and th e error term in th e measurement eq uation. N umerical solution of th e O D E eq uation E q . tk . vf j x . th e low p ass fi ltered temp erature TS. tk . J az w inski ( 19 7 0) . g.uZuk .discrete Kalman fi lter eq uations are ( Kristensen et al.like meth od f or solving a nonlinear z erop oint eq uation and is th us th e most time consuming algorith m. qÞ ðO utp ut p redictionÞ ( 15 ) ^ dx tjk ^ Z f ðx tjk . tkC1 Š ( 22) ( 23 ) S Z Sðuk . H ow ever. g. J o n s d o tti r e t a l. f or stif f systems th e B D F f ormula is th e most reliable meth od ( D ah lq uist and ¨ B j orck ( 19 8 8 ) ) and conseq uently th is op tion h as been used in th e f ollow ing. qÞ ( 24 ) RkjkK1 Z CPkjkK1 CT CS ðO utp ut variance p redictionÞ ( 16 ) ^ 3k Z yk y kjkK1 ðI nnovationÞ ðKalman gainÞ ðU p datingÞ ðU p datingÞ ( 17 ) ( 18 ) ( 19 ) ( 20) Kk Z PkjkK1 CT RkjkK1 ^ ^ x kjk Z x kjkK1 C K3k Pkjk Z PkjkK1 KK k RkjkK1 K T k G iven inf ormation up to and including time t th e p rediction ^ x kC1jk Z EfxtkC1 jxtk g and PkC1jk Z EfxtkC1 xT jxtk g are tkC1 needed f or th e Kalman fi lter eq uations. ( 2003 ) . H ow ever. uk .

runoff m odelling . I n th e recent years m ulti ob j ectiv e calib ration and P areto op tim ality h av e b een ap p lied in rainfall. T h ose are. R efsg aard et al.stiff during sp ring fl oods. e. Y oung ( 19 8 1) g iv es an ov erv iew and com p arison of p aram eter estim ation for continuous tim e m odels.runoff p rediction p rob lem is to op tim iz e th e p aram eters such th at th e m odel p erform s th e ‘ b est’ fi t to data. fall.g . O n of th e streng th s of using th e m axim um lik elih ood m eth od for p aram eter estim ation it th at it follows from th e central lim it th eorem th at th e ^ estim ator q.e. th e O utp ut E rror m eth od ( O E ) . T h e calculations for th e O E m eth od were p erform ed b y using th e M oC aV a software ( B oh lin ( 2001) ) . or th e sum of sq uared p rediction error is m inim iz ed. th e sum of sq uares of th e error term s for th e O E m eth od is written as ^ Sðyk Kykj0 Þ2 .line and on. th e state ^ ^ up date x kjk . wh ich includes P E and O E p rincip les. th is m eth od offers b oth off. i. T h e P E m eth od m inim iz es th e sum of sq uared one step p rediction error. can in statistical im p lications include M axim um L ik elih ood term s for th e case wh ere th ere is no system noise. A sim ulation x tj0 and y tj0 can b e ob tained using th e ( extended) K alm an fi lter eq uations with out th e up dating . wh ich runs under M atlab . and m ost of th e winter or m ore accurately wh ile snow is not m elting . two estim ation m eth ods h av e freq uently b een used in h ydrolog y. U sing th e K alm an fi lter notation.e.test to b e p erform for th e h yp oth esis: H0 : qj Z 0 H1 : qj s0 ( 25 ) ( 26 ) ob tained b y in th e p oint th e estim ator ed lik e a test ( 27 ) ^ T h e one step p rediction of th e outp ut y kjkK1 . O n th e oth er h and wh at is b est th e fi t to data? T h is is a selectiv e q uestion with a selectiv e answer. corresp onding to each tim e instant tk are g enerated b y th e ^ ^ ( extended) K alm an fi lter. . th e state sp ace form ulation and th e K alm an fi lter in g eneral inv olv e m ore calculations since a state fi ltering th roug h th e wh ole data series is needed for each ev aluation of th e ob j ectiv e function. see e. wh ich m eans p rediction with out up dating . B est fi t can b e such th at th e sum of sq uared sim ulation error is m inim iz ed. is asym p totically G aussian with m ean q and cov ariance ^^ Sq Z HK1 wh ere th e inform ation m atrix H is g iv en b y  2  v hij ZK E l n ðLðqjYÞÞ i. I t is found im p ortant to include th e snow container as a state v ariab le and not to treat th e water from snow m elt as an inp ut as som e tim es is done.m elt as an inp ut req uires m anual control of th e snow b alance. wh ereas th e O E m eth od. J o n s d o ttir e t a l . K ristensen ( 2002) p erform ed a sim ulation study for continuous discrete m odels b y com p aring th e P E m eth od as im p lem ented in th e p rog ram C T S M and th e O E m eth od as im p lem ented b y B oh lin and G raeb e ( 19 9 5 ) . a sim ulation. Y oung ( 19 8 1) . T reating th e snow. H owev er. A solution to a rainfall. T h e m axim um lik elih ood m eth od as p resented h ere is a P E m eth od. and th e state p rediction x kjkK1 .consum ing estim ation m eth od is worth th e tim e. M adsen ( 2000) . T h e system is non. T h e asym p totic G aussianity of also allows m arg inal t. j Z 1. or th ose wh o h av e th e b est tim ing of fl ood p eak s. wh ich conserv e th e water b alance b est.89 H. T h e system is sing ular during sum m er. and th e P rediction E rror m eth od ( P E ) . H owev er.. p: vqi vqj A n ap p roxim ation of H can b e ev aluating hij Z v2 =ðvqi vqj ÞlnðLðqjYÞÞ ^ qZ q. wh en m elting is sig nifi cant and extrem ely stiff during th e transition p oints in b etween. 5. i. b y including th e snow container into th e state v ector leads to num erical com p lications. ( 19 8 3 ) .line estim ation. T h e O E m eth od m inim iz es th e sum of sq uared sim ulation error and is used in wh ite b ox m odelling b ut also in oth er contexts. . Some comments on parameter estimation in h y d rol og ical mod el s M odel calib ration h as b een a top ic in h ydrolog y since th e com p uter ev olution in 19 6 0 and since th en p aram eter op tim iz ation h as b een p racticed. I t is th us q uestionab le wh eth er th is tim e. I n order to allow for a com p arison b etween th e m eth ods th e offline m eth od is considered in th e following . / J o u r n a l o f Hyd r o l o g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 3 8 7 and lower surface containers S1 and S2. C om p aring th e com p utational tim e for th e two m odelling ap p roach es.g . T h is corresp onds to a state sp ace rep resentation with out system noise and all th e errors incorp orated in th e m easurem ent noise. T h is m eth od is always off line. S om e of th e results and discussions are also dem onstrated in K ristensen et al. or m odels.

e .w h ile h e re a B D F m e th o d is u s e d . T h e ir m e th o d m a in ly d iffe rs fro m th e o n e p re s e n te d h e re in tw o w a y s . T h e p a r a m e t e r s a r e e s t i m a t e d b y u s i n g t h e fi rs t 6 y e a rs o f th e d a ta w h ile th e la s t tw o y e a rs a re u s e d fo r v a lid a tio n . O n ly th e la s t te rm is e s tim a te d .47 5 w h i l e t h e O E e s t i m a t e s n o m e m o r y i n t h e t e m p e r a t u r e i .e . t h e d i f f e r e n c e b e i n g a l m o s t f a c t o r 2. r e s p e c t i v e l y . R a j a r a m a n d G e o r g a k a k o s (19 8 9 ). C o n v e rs e ly . F u r t h e r m o r e . aZ1. p r e c i p i t a t i o n a n d t e m p e r a t u r e a r e a l w a y s n e e d e d a s in p u t a n d lo n g -te rm p re d ic tio n fo r p re c ip ita tio n a n d te m p e ra tu re v a ria b le s a re n o t p a rtic u la rly p re c is e a n d fo r th a t re a s o n lo n g -te rm p re d ic tio n m ig h t n o t b e s o re lia b le .a n d th is p re v e n ts th e u s e r fro m h a v in g to re s o rt o th e r m o d e ls (e .t h a t t h e O E f o r m u l a t i o n p r o d u c e s th e s a m e p re d ic tio n a n d s im u la tio n a n d h e n c e th e c o e f fi c i e n t o f d e t e r m i n a t i o n (N a s h a n d S u t c l i f f e .L a s t. t h e to ta l n o is e is in c o rp o ra te d in th e m e a s u re m e n t n o is e in th e O E s e ttin g s . fo r th e p u rp o s e o f s h o rt-te rm p re d ic tio n s u c h a s in fl o o d w a rn in g s y s te m s it is tru ly re c o m m e n d e d to u s e th e P E m e th o d e v e n th o u g h th e m e th o d is m o re c o m p u ta tio n a l d e m a n d in g . T h e re fo re .in c lu d in g th e s y s te m n o is e . T h e fo rm e r p a ra m e te r v a lu e s a re o p tim a l fo r p re d ic tio n a n d th e la tte r fo r s im u la tio n s .th e O E m e th o d is to b e p r e f e r r e d K r is te n s e n e t a l.4illu s tra te s th e re s u lts fro m th e P E m e th o d a n d F ig . O n c e th e p a ra m e te rs a re e s tim a te d th e o u tp u t p re d ic tio n is n o t tim e c o n s u m in g . R2 Z0. (2004). th e fi lte rin g .6 9 . T h e r o u t i n g c o n s t a n t s k1 a n d k2 a r e . It is w o rth m e n tio n in g th a t R a ja ra m a n d G e o rg a k a k o s (19 8 9 ) p r e s e n t e d a p a r a m e t e r e s t i m a t i o n o f s to c h a s tic h y d ro lo g ic m o d e ls fo rm u la te d in a c o n tin u o u s . I t m u s t . (4)– (8 ) i s u s e d t o in v e s tig a te h o w th e p a ra m e te r e s tim a tio n m e th o d p e rfo rm s fo r th e h y d ro lo g ic a l p ro b le m d e s c rib e d in S e c t i o n 2.F o r s im u la tio n s w ith n o s y s te m n o is e th e m e th o d s w e re s im ila r.w h e r e a s t h e fi l t r a t i o n fi s s i m i l a r . T h e r e s u l t s s h o w t h a t t h e P E e s t i m a t i o n m e th o d g iv e s s ig n ifi c a n tly le s s b ia s e d e s tim a te o f th e p a ra m e te rs th a n th e O E m e th o d . a n d p ro b a b ly th e m o s t im p o rta n t d iffe re n c e .g . i . 19 7 0). b l a c k b o x m o d e l s ) t o fi l l i n g a p s i n t h e d a t a .t. t h e t h r e s h o l d p a r a m e t e r b0 (f o r s n o w / r a i n ) a n d th e p o s itiv e d e g re e -d a y c o n s ta n t p d d a re m u c h la rg e r fo r th e O E e s tim a tio n th a n fo r P E e s tim a tio n . i t i s s in te re s tin g to c o m p a re s o m e o f th e e s tim a te d p a ra m e te r v a lu e s y ie ld e d b y th e tw o d iffe re n t e s tim a tio n te c h n iq u e s . s(ut. th e P E m e th o d p ro d u c e s v e ry d iffe re n t re s u lts fo r p re d ic tio n a n d s im u la tio n w ith c o e f fi c i e n t s o f d e t e r m i n a t i o n a s R2r e d i c t i o n Z 0:9 3 a n d p R2i m u l a t i o n Z 0:43 . in th e m e th o d o lo g y p re s e n te d h e re th e s y s te m e rro r. Results T h e s t o c h a s t i c m o d e l i n E q .b u t n o n e th e le a s t. h o w e v e r . i s t h e s a m e . T h e e s t i m a t e d p a r a m e t e r v a l u e s a r e s h o w n i n T a b l e 1.N o t e a l s o th a t th e P E m e th o d e s tim a te s s o m e m e m o ry in th e t e m p e r a t u r e . aZ4.5 . o r th e s ta te p re d ic tio n is c a lc u la te d b y a fo u rth o rd e r p re d ic to r– c o rre c to r s c h e m e . C o n v e r s e l y i n t h e m e t h o d o l o g y p r e s e n t e d b y R a j a r a m a n d G e o r g a k a k o s (19 8 9 ). b u t th e m o re n o is e th e g re a te r is th e d iffe re n c e b e tw e e n th e tw o m e th o d s re s u ltin g in la rg e r b ia s fo r th e O E m e th o d . T h e u n its fo r th e s n o w c o n ta in e r Na n d th e u p p e r a n d l o w e r r e s e r v o i r s S 1 a n d S2 a r e g i v e n i n m e t e r s .q)d ut d e m a n d s a h u m a n i n p u t . b e k e p t i n m i n d t h a t t h e i n p u t .e . th e tw o fi rs t m u s t b e s e t a s a d e g re e o f b e lie v e b y th e tra in e d h y d ro lo g is ts if th e y a re n o t e x a c t l y k n o w n .S e c o n d ly .a n d th e n in a n O E s e ttin g s b y fi x in g th e s y s te m n o is e te rm p a ra m e te rs to a s m a ll v a lu e .q)d ut i s d e c o m p o s e d i n t o t h r e e e r r o r te rm s .t. s m a l l e r i n t h e O E e s t i m a t i o n .t. F irs tly .w ith th e p a r a m e te r s e s tim a te d in a b a tc h fo rm .d is c r e te s ta te s p a c e f o r m . T h e p re c ip ita tio n c o rre c tio n f a c t o r c. e rro r te rm a s s o c ia te d w i t h e s t i m a t i o n o f u n c e r t a i n c o n s t a n t s (s u c h a s to p o g ra p h ic o r ra tin g c u rv e c o n s ta n ts ) a n d e rro r te rm in m o d e l s tru c tu re . F i n a l l y .O n ly if th e m o d e l fo c u s o n g o o d lo n g -te rm p re d ic tio n c a p a b ilitie s .in a s ta te s p a c e fo rm u la tio n it is e a s y to h a n d le m is s in g v a lu e s in o b s e r v a tio n s a u to m a tic a lly . re s u ltin g in la rg e r p re d ic tio n e rro r . i . N o t e f r o m F i g . J o n s d o tti r e t al .5 illu s tra te s th e re s u lts fro m th e O E m e th o d . F i r s t i n a P E s e t t i n g b y e s t i m a t i n g al l t h e p a r a m e te r s . th e P E e s tim a tio n m e th o d p ro v id e s u n c e rta in ty in fo rm a tio n in te rm s o f s ta n d a rd d e v ia tio n s o f th e e s tim a te s a n d o th e r s ta tis tic a l to o ls fo r m o d e l e v a lu a tio n .90 3 8 8 H .9 3 9 . M o re o v e r. I n R a j a r a m a n d G e o r g a k a k o s (19 8 9 ) t h e s t a t e e r r o r s(ut. T h e to ta l v o lu m e is c a lc u la te d b y m u ltip ly in g w ith th e w a te rs h e d a re a .F ig . / J o ur n al o f H y d r o l o g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 (2004).F o r a c o m p a ris o n b e tw e e n th e P E a n d O E m e th o d th e o p tim iz a tio n w a s p e rfo rm e d u s in g b o th m e t h o d s . i n b o t h c a s e s . e rro r te rm fro m in p u t. t h e e s t i m a t i o n o f t h e s t a t e e r r o r s(ut. h o w e v e r .q)d ut i s e s t i m a t e d . 6.

0019 8 2. 4 . 000 100 200 2. 00020 0. 00002 0. 05 4 6!10K6 0. 69 0. 4 75 10. 00065 0. T he routing cons tants k1 and k2. 24 h. 3 !10K7 5 !10K7 0. 00175 1. 0004 2 0. 9 3 0. 000 0. 00005 7.9 3 9 10K8 1!10. 000 4 .91 H . 012 O E m ethod E s tim ate 0. 13 1 1.6 1!10K6 1!10. 0!10K8 and hence. 004 24 0. / J o u r n a l o f H y d r o l o g y 3 2 6 ( 2 0 0 6 ) 3 7 9 – 3 9 3 T abl e 1 E s tim ation res ul ts and com paris on of the P E and O E m ethod P E m ethod P ar. 070 0. 0009 9 0. dev .6 0. 04 9 0. 09 7 1. 014 11 0. 000 100 200 1. i. 0. e. 5 11 1. 000 1. T he v al idation period f rom 1s t of S eptem ber 19 82 to 3 1s t of A ug us t 19 84 . 04 9 4 . F or hourl y v al ues the cons tants can be m ul tipl ied by 1/ 24 . 4 3 S td. T he res ul ts f rom P E es tim ation. 788 0. 023 m / 8C day 1/ day 1/ day 1/ day 8C m m m m / day m / day 0. 6!10K12 0. 5 18 0. 002 0. I n the f ol l ow ing the res ul ts f rom the P E es tim ation w il l be dis cus s ed. 2!10K10 0. 010 0. 0003 7 3 . 4 !10K6 0. 05 704 0.7 0. 000 8. 00010 0. the confidence band around the prediction is l arg er than in the P E s etting s . 00003 5 . 0011 0. 674 0. 00022 0. T he fig ure s how s the riv er dis charg e the one s tep prediction and the s im ul ation. J o n sd o t t i r e t a l . 03 1 0. and the fil tration f are m eas ured in the unit 1/ day . 000 1. 005 85 0. 0008 0. 000 0. . 003 4 2 0. 00075 9 !10. dev . T he tem perature s how n is the l ow pas s fil tered air tem perature.8 0. 00012 0. T he routing cons tants are rather s m al l but bearing in m ind that the s iz e of the w aters hed is F ig . N0 S0 S1 Ts0 b0 b1 M B K c pdd F k1 k2 A sT s sN sS1 sS2 K s1 R2 pred: R2im : s E s tim ate 0. 073 m m m 8C 8C U nit 3 89 0. 216 0. 00016 3 . 0074 0. 69 S td.

T h e e s t i ma t e d n o i s e t e r ms sN. a n d h e n c e t h e t i me c o n s t a n t i s a b o u t 10 a n d a h a l f d a y .5 0 8C .5 / 6 . ( 1) fo r d iv id in g p re c ip ita tio n in to s n o w a n d ra in is th e s a me a s t h e t h r e s h o l d f u n c t i o n f o r me l t i n g s n o w .6 7 4 / d a y a n d t h u s t h e c o r r e s p o n d i n g t i me c o n s t a n t s i s a b o u t 1 a n d a h a l f d a y . w i t h t h e c o n s e q u e n c e t h a t t h e s t a t e s mi g h t b e c o me s l i g h t l y n e g a t i v e . 5 . H o w e v e r . C o n s e q u e n t l y mo s t o f t h e s p r i n g fl o o d i s d e l i v e r e d t h r o u g h t h e r i v e r v i a t h e fi r s t r e s e r v o i r . i f i t i s a s s u me d t h a t t h e t e mp e r a t u r e i n a l t i t u d e 8 30 m i s z e r o w h e n t h e t e mp e r a t u r e i s 4 .6 6 8C / 100 m. w h e r e a s . T h i s h a s n o t l e a d t o p r o b l e ms i n t h i s c a s e . t h e t h r e s h o l d f u n c t i o n i s a b o u t z e r o w h e n t h e t e mp e r a t u r e i s 0 8C a n d t h e n n o s n o w i s me l t i n g a n d a l l p r e c i p i t a t i o n i s s o l i d . N. t h e l o w e r r o u t i n g c o n s t a n t i s 0. / J o u r n a l o f H y d r o lo g y 3 2 6 (2 0 0 6 ) 3 7 9 – 3 9 3 F i g . i t s h o u l d b e me n t i o n e d t h a t i t i s n o t p o s s i b l e t o i d e n t i f y ( e s t i ma t e ) b o t h t h e c o r r e c t i o n c o n s t a n t a n d e v a p o t r a n s p i r a t i o n g i v e n o n l y me a s u r e me n t o f t h e p r e c i p i t a t i o n a n d d i s c h a r g e . A w a t e r b a l a n c e mo d e l w i t h g r o u n d w a t e r c o n t a i n e r a n d e v a p o t r a n s p i r a t i o n w o u l d h a v e h a d a mu c h l a r g e r c o r r e c t i o n c o n s t a n t . T h e fi l t r a t i o n c o n s t a n t i s 0.o u t p u t b a l a n c e o f t h e mo d e l . a n d a p r o p o r t i o n o f t h e s n o w i s me l t i n g ( i f t h e r e i s s n o w i n th e s n o w -c o n ta in e r). T h i s c o r r e c t i o n i s b o t h c o r r e c t i n g t h e u n d e r e s t i ma t e o f t h e r a i n g a u g e a n d t h e a v e r a g e i n c r e a s e i n p re c ip ita tio n d u e to a ltitu d e . W h e n t h e t e mp e r a t u r e i s a b o u t 9 8C s n o w i s me l t i n g e v e ry w h e re a n d a ll p re c ip ita tio n is ra in . F i n a l l y . w h i c h i s p h y s i c a l l y r e a l i s t i c . T h e u p p e r r o u t i n g c o n s t a n t i s 0. In b e tw e e n s o me p r e c i p i t a t i o n i s s n o w a n d s o me a s r a i n . T h e t h r e s h o l d f u n c t i o n E q . a n d t h e p a r a me t e r b0 c o n t r o l s t h e c e n t e r a n d i s e s t i ma t e d t o 4 . T h e c e n t e r o f ma s s o f t h e w a t e r s h e d s a l t i t u d e i s a b o u t 8 30 m a n d . t h e o n e s t e p p r e d i c t i o n a n d t h e s i mu l a t i o n . t h i s s mo o t h th re s h o ld fu n c tio n h a s th e e ffe c t th a t it is n o t n e c e s s a ry to d iv id e th e a re a in to e le v a tio n z o n e s . T h e p r e c i p i t a t i o n c o r r e c t i o n c o n s t a n t c i s e s t i ma t e d a s 1. T h e r e s u l t s f r o m O E e s t i ma t i o n . t h e s e s ma l l c o n s t a n t s a r e r e a l i s t i c .8 Z0. a n d t h e u p p e r a n d l o w e r s u r f a c e c o n t a i n e r s S1 a n d S2 a s p r e d i c t e d b y t h e mo d e l u s i n g t h e P E p a r a me t e r s . T h u s . T h e p a r a me t e r b1 c o n t r o l s t h e s t e e p n e s s a n d h a s b e e n s e t t o o n e .031/ d a y a n d t h e c o r r e s p o n d i n g t i me c o n s t a n t a b o u t 32 d a y s . H e n c e . R e c a ll th a t th e w a te rs h e d is 1132 km2 w i t h a n a l t i t u d e r a n g i n g f r o m 4 4 t o 108 4 m a n d t h e me t e o r o l o g i c a l o b s e r v a t o r y i s l o c a t e d a b o u t 20 km f r o m t h e w a t e r s h e d o u t l e t a t a n a l t i t u d e a b o u t 15 0 m. F i g . J o n s d o ttir e t a l.5 8C a t t h e o b s e r v a t o r y .T h e fa c to r cc o n tro ls th e i n p u t . 6 s h o w s t h e s t a t e e s t i ma t e s o f t h e c o n t e n t s o f t h e s n o w c o n t a i n e r . 1132 km2. i t l e a d s t o a t e mp e r a t u r e l a p s e r a t e o f 4 . T h e u n i t i s me t e r a n d t h e t o t a l v o l u me i s c a l c u l a t e d b y mu l t i p l y i n g w i t h t h e w a t e r s h e d a r e a . 1132 km2.09 7 / d a y .5 . sS1 a n d sS2 h a v e a o r d e r o f ma g n i t u d e 10K3 a n d t h u s t h e n o i s e t e r ms mo r e o r le s s o n ly h a v e a n e ffe c t w h e n th e s ta te s a re a ro u n d z e r o . T h e v a l i d a t i o n d a t a a r e f r o m 1s t o f S e p t e mb e r 19 8 2 t o 31s t o f A u g u s t 19 8 4 . . T h e p r o b l e m mi g h t b e s o l v e d b y t r a n s f o r mi n g t h e mo d e l u s i n g t h e l o g a r i t h m. T h e fi g u r e s h o w s r i v e r d i s c h a r g e .92 39 0 H .

1 8C indicates that it might b e necessary to div ide the area into tw o elev ation z ones. still using smooth threshold functions b ut w ith different centers.linear. 6 . T he op timiz ation. once the p arameters are estimated the up date of the K alman fi lter and the p rediction are not comp utational demanding. T he large threshold temp erature b0Z8 . using 6 y ears of data.93 H . As a flood forecasting model it is concluded that this simp le model is satisfactory . A time v ary ing p dd might though hav e larger differences in cases w here the melting season is longer such as for glacier riv ers. the dev iations b etw een the model p rediction and the . F urthermore. T he former sp ring flood is much higher and narrow er than the latter and such a narrow flood is diffi cult to p roduce. tak es sev eral hours on a P C comp uter b ut as mentioned earlier. I t might b e necessary to hav e three surface containers and thus three time constants for the flow . F or the p urp ose of flood forecasting the most interesting dev elop ment of the model w ould b e to include some of the p arameters in the state v ector and thus allow for time v ary ing p arameters. thus allow ing the data to b e used for an automatic calib ration. Conclusions All p recip itation runoff models are ap p rox imations of the reality and hence they cannot b e ex p ected to p rov ide a p erfect fi t to data. 7. it is interesting to p oint out some rev isions. R ango and M artinec ( 1 9 9 5 ) state that the p ositiv e degree day factor should gradually increase during the melting season and this could certainly b e introduced in the P E settings as w ell. T his could p articularly b e done for the b ase flow constant. I t w ould also b e interesting to let the p dd constant v ary in time. J o n s d o ttir e t a l. w hich might imp rov e the p erformance of simulation using an O E estimation. S tate estimates of the contents of the snow container and the up p er and low er surface containers. F inally . C T S M can b e run on a p arallel comp uter using sev eral C P U s and then the comp uter time w ill b e much low er. P articularly since the p arameters hav e b een estimated. these estimates could act as good initial states for the time v ary ing p arameters.stationary and the dy namics related to the snow is ex tremely non. / J o u r n a l o f H y d r o lo g y 3 2 6 (2 0 0 6 ) 3 7 9 – 3 9 3 3 9 1 F ig. T he p rocess is highly non. U sing the simp le model mak es it p ossib le to estimate all the p arameters.

K . 2 0 8 3 – 2 0 9 5 . 1 9 9 5 . J . G . S . 4 6 5 – 4 9 0 .run of f model. T he N orweg ian . M c G uire. U n iv eristy of I owa. J . C . D ev elop men t an d ap p lic ation s of run of f model f or sn owc ov ered an d g lac ieriz ed b asin s. R . ev en . J on sson . E . where the system eq uation c on sists of stoc hastic dif f eren tial eq uation s.fl ood f orec astin g I I . ¨ erg strom. J . . A reap p raisal of the k alman fi lterin g tec hn iq ue. D ev elop men t of a c on c ep tual determin istic rain f all. V edin . n amely p rec ip itation an d temp erature. 1 9 7 3 . ). 3 2 5 . P . C omp uter M odels of W atershed H ydrolog y. 1 9 7 5 . T his c alls f or a stoc hastic model with b oth system n oise an d measuremen t n oise. . ).R E G .H ill. C olorado. 1 9 9 5 . W ater resourc es P ub lic ation . T he results f or simulation are reason ab le b ut n ot f ully satisf yin g an d it is c on c luded that a slig htly more c omp lic ated model is n eeded ev en thoug h it is q uestion ab le whether it is p ossib le to ob tain a b etter p erf orman c e due to the p oor p rec ip itation data as in this study. ¨¨ T . . . D ep artmen t of S ig n als. . H ydrolog ic al S c ien c es B ulletin 2 4 . . B athurst.S 3 . N ordic H ydrolog y 1 1 . I n tern ation al J ourn al of A dap tiv e C on trol an d S ig n al P roc essin g 9 . J . 1 4 7 – 1 7 0 . N ordic H ydrolog y 6 . A . S toc k holm. P . N W S riv er f orec ast system— c atc hmen t modelin g . F . . 1 9 8 6 . . J ourn al of H ydrolog y 8 7 . I n stitue of H ydraulic R esearc h. 1 9 9 6 . . . I ssues in n on lin ear stoc hastic g reyb ox iden tifi c ation . F erral. T ec hn ic al R ep ort I I H R N o. v ariab le c on trib utin g area model of b asin hydrolog y.b ox P roc ess I den tifi c ation T ool: T heory an d P rac tic e. A ˚ . Jonsdottir et al. K . S . H owev er. T he dev elop men t of a sn ow routin e f or the H B V . I n this p ap er a simp le c on c ep tual stoc hastic rain f all. T he H B V model. P . V . V . R issan en e. . W ater R esourc es R esearc h 2 2 . R . 2 5 5 – 2 7 2 . . eorg ak ak os. N umeric al M ethods. G . . R aj aram. A method f or estimation of the p arameters of the model is outlin ed. . M . M an ual f or O p eration al C orrec tion of N ordic P rec ip itation D ata. C un g e. S . L i. S . B . 1 9 8 8 . R . 2 4 / 9 6 I S N N 0 8 0 5 9 9 1 8 . K . 1 9 8 6 a. / Journal of Hydrology 326 (2006) 379–393 S ystem H ydrolog iq ue E urop een . N ew J ersey. eorg ak ak os. urn ash. P . N ordic H ydrolog y 4 . J . . J . eorg ak ak os. T . I n : S in g h. . shan . . 1 9 9 5 . an d T he I c elan dic M eteorolog ic al O f fi c e f or meteorolog ic al data series. distrib uted modellin g system. . 4 3 – 6 9 . ¨ erg strom.94 3 9 2 H. . M c G raw. V ej en . H . .run of f model is sug g ested. A G en eraliz ed S treamfl ow S imulation S ystem— C on c ep tual modelin g f or D ig ital C omp uters. as ap p lied in riv er fl ow f orec astin g . . . H en c e. . 1 9 8 0 . S . M . A p hysic ally b ased. J ourn al of H ydrolog y 8 7 . ´ ¨ ø rlan d. S en sors an d S ystems. O n imp rov ed O p eration al H ydrolog ic F orec astin g . C olorado.0 1 0 3 . P . G data (the residuals) are almost always serially c orrelated. 2 0 0 1 . G raeb e. (E d. T ec hn ic al R ep ort I R . R asmussen . we wish the than k P hD N iels R ode K risten sen f or tec hn ic al sup p ort with the p rog ram C T S M . . S weden . an d a sin g le outp ut. 1 9 7 3 . an d the estimated p arameters c an b e p hysic ally in terp reted direc tly. C . . H . whic h allows f or a direc t use of p rior p hysic al k n owledg e. 6 1 – 7 7 . B j orc k . A g en eraliz ed stoc hastic hydrometeorolog ic al model f or fl ood an d fl ash. P . C omp uter M odels of W atershed H ydrolog y. D ahlstrom. ohlin . T ec hn ic al R ep ort. . . . M adsen . the results ob tain ed f or p redic tion (fl ood f orec astin g ) are satisf yin g . A G rey. W ater resourc es P ub lic ation . I n : S in g h. F . F ossman . ottlieb . A f urther adv an tag e of the stoc hastic state sp ac e ap p roac h is that the same model struc ture c an b e used f or b oth p redic tion an d simulation . M . L . T . K irk b y. . ¨ ahlq uist. urn ash. T he p resen ted model is simp le an d deman ds on ly two in p ut v ariab les. R oyal I n stitute of T ec hn olog y. K . E . A n in troduc tion the the E urop ean H ydrolog ic al S ystem— . . J . (E d. P erala. G G G R ef er ences A b b ott. A g en eraliz ed stoc hastic hydrometeorolog ic al model f or fl ood an d fl ash. I t is adv oc ated that the on ly dif f eren c e lies in a dif f eren t p arameteriz ation of the system error leadin g to dif f eren t p arameter v alues. K .disc rete time state sp ac e models. 1 9 7 9 . 2 0 9 6 – 2 1 0 6 . the dyn amic s are desc rib ed in c on tin uous time. ‘ S H E ’ 2 : struc ture of a p hysic ally. H . W ater R esourc es R esearc h 2 2 . . T ec hn ic al R ep ort N o. J . P . P . B A B B B B B B B B D F Acknowledgements T he authors wish to than k the N ation al E n erg y A uthority in I c elan d f or deliv ery of disc harg e series. ¨ erg strom. .b ased. athurst. . 7 9 – 1 0 2 . O ’ C on n ell. . E lomaa. R .fl ood f orec astin g I . J oin t F ederal S tate R iv er F orec ast C en ter S ak ramen to. J . C alif orn ia. N ation al W eather S erv ic e. 1 9 8 8 . T he estimation method is a g en eric max imum lik elihood method f or p arameter estimation in systems desc rib ed b y c on tin uous. N O A A an d S tate of C alif orn ia D ep artmen t of W ater R esourc es. . 1 9 7 – 2 2 6 . the disc harg e. .2 model. . 1 9 8 6 . . 7 3 – 9 2 . 1 9 9 4 . 1 9 8 6 b . P hysic ally. A llerup . ohlin .b ased distrib uted modellin g of an up lan g c atc hmen t usin g the S ysteme H ydrolog iq ue E urop een . M . O ’ C on n or. J ourn al of H ydrolog y 1 6 1 . F urthermore.

A p p lication of the SHE to catchments in I nd ia P art 2 ...ru noff mod elling. J.B .C . 2 0 0 2 . Dep artment of C hemical E ngineering. V . 1988. R efsgaard . T he Z inanj iang mod el. H. Jou rnal of Hy d rology 17 5 .. K ristensen. T he T echnical U niv ersity of Denmark . A v ailab le from www. I n: Singh. W ater resou rces P u b lication.linear rainfallru noff mod el u sing an artifi cial neu ral network .. P .. p p . T ank mod el.E . T he Z inanj iang mod el ap p lied in C hina. U sing a d esk .. 3 93 R ango. 2 3 – 3 9. Scientifi c P roced u res A p p lied to the P lanning. P arameter estimation in stochastic grey .A . J. W ater R esou rces R esearch 2 5 . R efsgaard . 4 6 8– 4 7 7 . H. R ..b ox mod els.. R . M ad sen. C T SM V ersion 2 . 1999.R .. Jou rnal of Hy d rologic E ngineering 4 .. F ed . G eorgak ak os.. 1996 . Singh. A u tomatic calib ration of a concep tu al rainfallru noff mod el u sing mu ltip le ob j ectiv es. E . N ielsen. 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C olorad o. Jou rnal of Hy d rology 10 .. C omp u ter M od els of W atershed Hy d rology . M athematical mod eling of watershed hy d rology . 17 1– 190 . 2 7 3 – 2 82 . 2 7 2 – 2 94 ... N u merical simu lation of the rainfall. / Journal of Hydrology 326 (2006) 379–393 Haltiner.imm. Saj ik u mar. Su gawara. R . S.P . 1995 ... E .. W ater R esou rces P u b lication. A . P .. F ield ex p eriments and simu lation stu d ies with the SHE on the K olar su b catchment of the N armand riv er.. K . 197 – 2 19. Short term forecasting of snowmelt ru noff u sing armax mod els. H. 1986 .. Singh. N .J. M ad sen.) .3 — A P rogram for P arameter E stimation in Stochastic Differential E q u ations.top comp u ter for an on. C olorad o. 1989. A n ad ap tiv e id entifi cation and p red iction algorithm for the real time forecasting of hy d rological time series.. E .) .. A p p lication of the SHE to catchments in I nd ia P art 1. A p p lication of the K alman fi lter to real time op eration and to u ncertainty anly ses in hy d rological mod elling. C olorad o.95 H.) .B atch P rocess M od elling for State E stimation and O p tima C ontrol. W ater R esou rces B u lletin 3 1. P arameter estimation for continu ou s. Y ou ng. Z hao. N . Jou rnal of Hy d rology 2 3 5 . R ev isiting the d egree. Jø rgensen. R .. M ark u ssen..time mod els— a su rv ey . R O R B a hy d rograp h sy nthesis b y ru noff rou ting. Jaz winsk i.. R efsgaard . 2 81– 2 94 .. 1995 ..d tu . 1– 2 3 . N . 2 0 0 3 .H. C omp u ter M od els of W atershed Hy d rology . Stochastic P rocesses and F iltering T heory . D.ru noff p rocess on a d aily b asis. J..J.. J. 3 3 9– 3 82 .. B . R aj aram. Jou rnal of Hy d rology 13 5 . M elgaard . E . Storm. V . N .) . ( E d . 1992 . Salas. L . J. J. A .D. X .. S. A p p lication of a neu ral network techniq u e to rainfall. S.line fl ood warning sy stem. 197 3 .d k / ctsm. 2 5 – 4 7 . A v iew of max imu m.R . W ater resou rces P u b lication. Jou rnal of Hy d rologic E ngineering 7 . Jø rgensen.P . Storm. 4 6 4 – 4 7 1. T he d egree d ay factor for snowmelt.N . M I K E 11 a generaliz ed riv er mod elling p ack age. I SB N 87 . V . Hansen. Jou rnal of Hy d rology 14 0 . 197 8.P .. 1995 ..M .V . M artinec. M .. K ristensen... A . K .lik elihood estimation with large concep tu al hy d rologic mod els. Jou rnal of Hy d rology 199. 3 4 4 – 3 4 9. ( E d . 1999. H.83 . H.. M artinec.. N ord ic Hy d rology 4 .P ... R ango. ( E d . J.Y .ru noff mod el. 16 3 – 17 6 .7 ... K ristensen. T hand av eswara. Su tcliffe.H. Hav nø . E . R estrep o. J. C omp u ter M od els of W atershed Hy d rology . V . R efsgaard . S. W ater R esou rces B u lletin 2 4 . W ater resou rces P u b lication. G eneral resu lts. 1985 . 1995 . A cad emic P ress. 197 0 . P arameter v alu es for Snowmelt ru noff mod eling. Design and M anagement of W ater R esou rces Sy stems N u mb er 14 7 in I A HS. N . W ater resou rces P u b lication.. V .. A non. I n: G eneral A ssemb ly of Helsink i C ommission on Su rface R u noff.. A u tomatica 4 0 . Jou rnal of Hy d rology 2 16 .. L ee.90 14 2 . Sz ollosi. R iv er fl ow forecasting throu gh concep tu al mod els p ar i— a d iscu ssion of p rincip les.. R ecu rsiv e p arameter estimation of hy d rologic mod els. M .) . I n: Singh. T od ini.ru noff forecasting. 1983 .. Z hao. B athu rst. B . . J. San Diego. B . 1995 . 3 7 5 – 4 0 4 . V . R osb j erg. I n: Singh. B athu rst. 2 7 6 – 2 88. M ein. B ... Singh. 1997 . J. B u ras.

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Appendix C Assessment of serious water shortage in the Icelandic water resource system Puplished in Physics and Chemistry of the Earth 2005. p. Vol 30.420-425 . .

98 .

it will cause heav y social p roblems and a p olitical decision mak ing will follow. Ó 2005 Elsevier Ltd. 0 0 7 . D uring a heav y drought. until sp ring thaw sets in and infl ow to the reserv oirs begins. J onsdottir a b a. Bldg. is ( H . that management methods leading to such a disastrous ev ent as a general p ower shortage in the whole country . M adsen a Department of Informatics and Mathematical Modelling. e. 1 9 7 0 – 1 9 9 0 . H . simulations with stochastic fl ow models hav e not been much used so far. Iceland Abstract W ater resources are economically imp ortant and env ironmentally ex tremely v ulnerable. O ne of the main q uestions is the risk of emp ty ing the main reserv oir and the magnitude of the following drought. T he management of these reserv oirs are a human interv ention in a natural fl ow and therefore necessarily limited by env ironmental regulations. If such a p ower shortage ev ent occurs. e. In the hy drop ower sy stem. ex cep t for a few attemp ts in the y ears * C orresp onding author. H y drop ower p lant 1 . op erational failure of large district heating sy stems and immense diffi culty in communication and telecommunication. stochastic simulation is used to p roduce sy nthetically run. H j arðarhaga 2-6 . the av ailable water storage in the reserv oir may not be suffi cient to cater for the demand and conseq uently there will be a shortage of electrical p ower. W hen this method is chosen.see front matter Ó 2 0 0 5 E lsev ier L td. doi: 1 0 . P late ( 1 9 9 2 ) but they are still not ex tensiv ely used in risk assessment. DK-2800 Lyngby. T he method chosen is to mak e the run. J . p ower imp ort is not an op tion as elsewhere in E urop e. : + 3 5 4 5 6 9 6 0 5 1 . Univ ersity of Iceland.off from climate change and glacier reduction can easily be incorp orated in the model. T his is p olitically accep table as long as it only touches heav y industries but not p ower deliv eries to the common mark et. All rights reserved. fax : + 3 5 4 5 6 8 8 8 9 6 . O ne of the maj or q uestions in the simulation analy sis of 1 4 7 4 . S tochastic simulation. future trends in the run. H owev er. I n tro d u cti o n C omp uter simulations hav e been used to analy z e the cap acity of the Icelandic p ower sy stem since about 1 9 7 0 . It is commonly agreed. in order to estimate v ery rare droughts.off records with adeq uate length. 1 0 1 6 / j . 107 R eykj av ik. Denmark Department of C iv il and E nv ironmental E ngineering. * . E liasson b.99 P hy sics and C hemistry of the E arth 3 0 ( 2 0 0 5 ) 4 2 0 – 4 2 5 www. g. a water shortage is met by fl ow augmentation from reserv oirs.7 0 6 5 / $ . E -mail address: hj @ os. com/ locate/ p ce Assessment of serious water shortage in the Icelandic water resource sy stem H . p ce. E mp ty or near emp ty reserv oirs cause p ower shortage that will be felt by homeowners and businesses. with large recurrence time.off series stationary in the mean and the v ariance and simulating the resulting stationary p rocess. J onsdottir) . T el. In v iew of the fact that the subj ect is to estimate the risk of ev ents that hav e to be v ery rare. T he electrical p ower sy stem in Iceland is hy drop ower based and due to the country Õs isolation. All rights reserv ed. 321 DTU. 0 6 . . i. It is therefore v ery imp ortant to hav e mathematical tools to estimate the risk of water shortage in the sy stem when searching for the best management method. T he p robabilities of ex treme droughts are calculated and their freq uencies are comp ared to theoretical distributions. elsev ier. S uch a drought will inev itably cause a maj or p ower shortage. If this p ower shortage is long enough ( more than a few day s) it will cause serious social and economic p roblems such as degradation of food stock s in cold storage. S tochastic methods hav e been k nown in hy draulic design for q uite some time. are not accep table. T he simulation sy stem has steadily been up graded and ex tended to meet the v arious req uirements for sp ecifi ed information on risk s and cap acity fi gures. Keyw ords: D roughts. 2 0 0 5 .

2 002 . in L insley and F ranz ini (19 6 4 ) . J o n s d o t t ir e t a l . b u t the method cannot predict the risk of water shortag e. F ig s. ð1Þ 0 ´ F ig . T he non-compu teriz ed g raphical v ersion can b e seen e. Qreg = Qmean. T o su pply the power net a fl ow is needed that is v ery constant compared to the natu ral fl ow. 1. at lower elev ations. Regulated flow and volume of reservoir T he maj or decision of a hydropower constru ction is how mu ch power is to b e produ ced. D efi ne Vmax as the smallest reserv oir which can serv e the max imu m reg u lated fl ow. 1 and 2 show the ´ discharg e in the riv er T u ng naa. and then no fl ow is b ypassed at any point in time. T he water b alance means the b alance b etween total infl ow and total ou tfl ow. / Ph y s ic s a n d C h e m is t r y o f t h e E a r t h 3 0 ( 2 0 0 5 ) 4 2 0 – 4 2 5 4 2 1 the Icelandic power system is the performance of the reserv oirs and the mag nitu de and the energ y shortag e if they ru n dry (J ohannsson and E liasson.e. this constant ou tfl ow is k nown as the reg u lated fl ow. It is clear that the max imu m reg u lated fl ow is the av erag e fl ow Qmean of the whole series. Its pu rpose is fl ow au g mentation for a series of power stations. 4 . T his method is still larg ely u sed b y eng ineers in reserv oir capacity planning . b u t there is no way of presenting this k nowledg e in an ex plicit form. 2 003 ) .. Z i B alanceðiÞ ¼ QðsÞ ds À i Á Qreg . it is clear that the v olu me Vmax = . 4 shows the water b alance for the data in F ig . water lev el in the reserv oir does not aff ect the power capacity of any of these stations. 3 .100 H . F ig . 2 002 ) . N atu ral fl ow in the riv er T u ng naa S eptemb er 1st 19 5 1– A u g u st 3 1st 2 001 (N at. T he method of u sing all av ailab le fl ow series in order to desig n a reserv oir larg e enou g h to su stain a predefi ned fl ow ou tpu t is well k nown in hydrau lic eng ineering . H owev er simu lation with stochastic fl ow models can prov ide that. downstream in the riv er b asin. T he only ev aporation and rainfall to b e considered is on the reserv oirs su rface itself and that water amou nt is neg lig ib le. 2 . A diag ram of a simple hydropower plant with one reserv oir is shown in F ig . T o demonstrate this principle ´ we hav e selected a reserv oir in the riv er T u ng naa in Iceland. ev ident that the long er the infl ow series is. T he F ig . S chematic drawing of reserv oir (V ) . so the V v alu es discu ssed in this article can b e reg arded as minimu m v alu es.e. orig inally proposed in 19 6 0 b u t not yet b u ilt. S u ch a model is u sed b y the N ational P ower C ompany of Iceland in order to calcu late water v alu es in their system simu lation stu dies (J ohannsson and E liasson. 2. 1. defi ned b y E q . C onsidering the time series of the water b alance. shown in F ig . N atu ral fl ow in the riv er T u ng naa S eptemb er 1st 19 8 1– A u g u st 3 1st 19 8 5 (N at. T hese decisions are made on a b asis of discharg e time series. that Qreg is constant in time which implies that P is constant and the ou tfl ow from the power station is constant and eq u al to Qreg .g . (1) and shown in F ig . this will increase the storag e v olu me req u irement somewhat. 3 . E nerg y A u thority of Iceland) . It is howev er. In practice Qreg will b e somewhat larg er in wintertime than in su mmertime. In g eneral the water b alance is calcu lated as the total infl ow minu s the total reg u lated fl ow at any g iv en time step i. E nerg y A u thority of Iceland) . In the following analysis it will b e assu med for the sak e of simplicity. i. and power station (P ) . B alance(i) . Qmean. A s mentioned the larg est possib le fl ow which can b e reg u lated is the av erag e fl ow Qmean. 1 with reg u lated fl ow as the av erag e fl ow. T he reserv oir is hig h u p in the mou ntains. T he power produ ced is linearly dependent on the fl ow. the more reliab le is the resu lting v olu me capacity. ´ F ig .

. r2 Þ ð6Þ 3.e. n) and fi t t ed t o a s eas o nal A R mo d el /(B)U(BT)Y(i) = e(i). .. T N ð0. Y(2. .8 · 6 3 10 m ). (5) and QðtÞ i s t h e p er i o d i c d i s ch ar g e. n and ð3Þ t ¼ 1.e. 4. . Y(n. w h en u s i ng a p o i nt (Qr eg . Th e w at er b alance.. . i = 1.101 422 H . . . Th e o p er at o r / i s a p o ly no mi al o f d eg r ee p i n t h e b ack w ar d s h i f t o p er at o r B. Th e cu r v e (Qr eg . . . I n g ener al f o r a g i v en r eg u lat ed fl o w Qr eg t h er e i s a co r r es p o nd i ng v o lu me V w h i ch i s t h e s malles t r es er v o i r v o lu me t h at can s ecu r e Qr eg w i t h o u t any w at er s h o r t ag e o ccu r r i ng acco r d i ng t o t h e fl o w s er i es i n F i g . Th i s v o lu me s er v es t h e p u r p o s e o f s ecu r i ng z er o b y p as s and t h u s mai nt ai ns t h e av er ag e fl o w as r eg u lat ed fl o w . and s i mi lar ly S(t) i s es t i mat ed as vffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi ffi u n u 1 X SðtÞ ¼ t ðQðj. Th e d ai ly d i s ch ar g e d at a ar e lo w p as s fi lt er ed w i t h a s ev en d ay av er ag e i n o r d er t o d ecr eas e t h e v ar i ance o f t h e d at a. . . Qðn. 1). ´ F i g . . . Th en t h e s t o ch as t i c p er i o d i c mo d el (Y ev j ev i ch . tÞ ¼ Qðj. r2 Þ ð5Þ ~ w h er e Y ðtÞ i s s i mu lat ed b y u s i ng t h e s eas o nal A R mo d el ~ as i n E q .e. n À 1 j¼1 Th e s t and ar d i z ed r es i d u als ar e calcu lat ed as Y ðj. . . . . A f t er w ar d s t h e r es i d u als Y lo g (t) = (Qlo g (t) À Plo g (t))/ Slo g (t) ar e mo d elled . Th u s t h e leng t h o f t h e p er i o d i s 52 t i me s t ep s . . f o r a g i v en V. . . V) f r o m t h e cu r v e. tÞ À P ðtÞÞ2 . i . T ~ uðBÞUðBT ÞY ðtÞ ¼ eðtÞ eðtÞ $ N ð0. . . 5 s h o w s t h i s cu r v e f o r t h e Tu ng naa d at a i n F i g . . s i mu lat ed ~ b y u s i ng t h e Y ðtÞ. . tÞ À P ðtÞ SðtÞ j ¼ 1. and S(t) as a p er i o d i c s t and ar d d ev i at i o n. s u ch as no nneg at i v e fl o w i t w as ch o s en t o t r ans f o r m t h e d at a b y u s i ng t h e lo g ar i t h m b as e (lo g e) o f t h e d at a. To ens u r e t h at p h y s i cal law s ar e co ns er v ed . I n o r d er t o es t i mat e t h e r i s k o f w at er s h o r t ag e a s t o ch as t i c mo d el i s r eq u i r ed t o p er f o r m s i mu lat i o n s t u d i es . Stochastic model Th e mo d el ch o s en i s a s t o ch as t i c p er i o d i c mo d el as s u g g es t ed b y Y ev j ev i ch (19 7 6). . tÞ t ¼ 1. 19 7 6) i s w r i t t en as ~ ~ QðtÞ ¼ P ðtÞ þ SðtÞY ðtÞ t ¼ 1. 1. Á Á Á 1 Qð1. Th i s t r ans f o r mat i o n i mp li es t h at t h e r es i d u als i n t h e o r i g i nal mo d el e(t) . . S i mi lar ly t h e o p er at o r U i s a p o ly no mi al o f d eg r ee p i n t h e s eas o nal b ack w ar d s h i f t o p er at o r BT. Th e mat r i x o f s t and ar d i z ed r es i d u als i s r eo r g ani z ed as a ro w v ect o r b y Yv ect = Y(1. R eg u lat i o n cu r v e f o r t h e Tu ng naa r i v er . / Ph y s ic s and C h em is tr y o f th e E ar th 3 0 ( 2 0 0 5 ) 4 2 0 – 4 2 5 B Q¼B @ 0 Qð1. T ð2Þ n j¼1 F i g . I n t h i s p r o j ect a s amp li ng t i me o f o ne w eek i s ch o s en. P(t) i s es t i mat ed as n 1X P ðtÞ ¼ Qðj. T Þ D efi ne P(t) as a p er i o d i c mean. 1Þ . . T . max[Balance(i)] À mi n[Balance(i)] . Qr eg can b e calcu lat ed as t h e maxi mu m r eg u lat ed fl o w s u ch t h at no w at er s h o r t ag e o ccu r s . . 1). . t h u s r ep r es ent i ng t h e s eas o nal co mp o nent o f t h e A R mo d el. . and t h e d at a av ai lab le s p an 49 s eas o nal p er i o d s . . . b u t y et t h e w eek ly s amp li ng t i me i s s mall eno u g h f o r d eci s i o n mak i ng . . no t e t h e p o i nt (Qmean. Vmax) = (8 0. ..7 m3/ s . . Th e leng t h o f t h e p er i o d i s d eno t ed as T and nu mb er o f p er i o d s i s d eno t ed as n. i . L et Q d eno t e t h e mat r i x o f d i s ch ar g e d at a ~ uðBÞUðBT ÞY lo g ðtÞ ¼ eðtÞ w h er e Plo g (t) and Slo g (t) ar e calcu lat ed f r o m t h e lo g t r ans f o r med d at a.. C. V) i s co mp let ely b as ed o n t h e t i me s er i es f o r Q and f r o m a d et er mi ni s t i c p o i nt o f v i ew t h e r i s k o f w at er s h o r t ag e i s z er o . n). I n o t h er w o r d s . . J o ns d o ttir et al . A Qðn. 5. T Æ n. 219 2. ð4Þ ´ F i g . . Qmean = Qr eg . i f need ed . T Þ C . e ~ Q lo g ðtÞ ¼ P lo g ðtÞ þ S lo g ðtÞY lo g ðtÞ eðtÞ $ t ¼ 1. 1Þ Á Á Á . . 1. 1). F o r t h e t r ans f o r med d at a t h e ap p r o p r i at e mo d el w as f o u nd i . Y(T. Y(2. /(B)Y(i) = (1 À a1B À Á Á Á À apBp)Y(i) = Y(i) À a1Y(i À 1) À Á Á Á À ap Y(i À p).

975 .5 % qu ant il e.e. and t h e v ar ianc e r2(j) ar e est imat ed (u sing 100 o b ser v at io ns) w it h t h e max imu m l ik el ih o o d met h o d ^ and t h e est imat ed mean lðjÞ w il l b e deno t ed as xmean and t h e p air s (xmean(i). N o t e t h at t h e simu l at io ns o f 5 0. 1997) P ðX P xÞ ¼ G EV a. i = 1. t h e 2. p) and t h e fit t ed dist r ib u t io n (xmean. / Ph y s ic s a nd C h e m is tr y o f th e E a r th 3 0 ( 2 0 0 5 ) 4 2 0 – 4 2 5 4 23 in t h e st o c h ast ic mo del . w h ic h is a p o int o n t h e r eg u l at io n c u r v e il l u st r at ed in F ig . T h is c an b et t er b e det ec t ed in a . J o ns d o ttir e t a l . C o nsequ ent l y f o r eac h p r o b ab il it y pj t h er e c o r r esp o nd 100 dif f er ent x v al u es x(j. T h e G EV dist r ib u t io n c an b e p ar amet er iz ed as (R eiss and T h o mas. 100)..000.1% (i.102 H . N o ne o f t h e simu l at io n r esu l t s inc l u ded ev ent s w it h t w o indep endent dr o u g h t s w it h in t h e same y ear t h u s t h e p r o b ab il it ies o f w at er sh o r t ag e is est imat ed as P ðX P xÞ N u mb er o f y ear s w it h w at er sh o r t ag e l ar g er o r equ al t h an x ¼ N u mb er o f y ear s in simu l at io n ð8Þ F ig . . F ig . T h e g ener al iz ed ex t r eme v al u e dist r ib u t io n (G EV ).e. p).e. $Pl o g (t)) and t h e st andar d dev iat io n (i. . T h e diff er enc e o f t h e simu l at io n r esu l t and t h e fit t ed p r o b ab il it ies c an h ar dl y b e det ec t ed. w h ic h y iel ded t h e est imat e pj = P(X P x(j. T h e mean.000 y ear s do es no t imp l y p r edic t io n 5 0.62BÞY l o g ðtÞ ¼ eðtÞ eðtÞ $ N ð0..n ðxÞ "  À1 # xÀa n ¼ ex p À 1 þ n .e. T h e c o ndit io nal dist r ib u t io n o f t h e r ando m v ar iab l e { x(j.. b ð10Þ T h e p ar amet er s ar e est imat ed u sing t h e l east squ ar e met h o d and t h e r esu l t is sh o w n in T ab l e 1. Sl o g (t)). t w o o r mo r e dep endent dr o u g h t s ar e g r o u p ed t o g et h er in sing l e indep endent dr o u g h t s. t h e 97. w h ic h indeed h as a p h y sic al meaning . . . 7 sh o w s t h e (xmean. b u t f r o m p r o b ab il it ies ar o u nd 0. p).. t h u s p1 = 1/ 5 0.36 m3/ s.t r ansf o r med dat a. pn. an A R (1) mo del w it h o u t a seaso nal c o mp o nent . . .000.025 . 100. T h e p er io dic av er ag e Pl o g (t) and t h e p er io dic dev iat io n Sl o g (t) o f t h e l o g . . w h er e F(x) is t h e p r o b ab il it y dist r ib u t io n f u nc t io n. T h e simu l at io ns w er e r ep eat ed 100 t imes in o r der t o o b t ain inf o r mat io n ab o u t t h e v ar iat io ns. . i. t h en t h e r equ ir ed p r o b ab il it y is t h e p r o b ab il it y o f a w at er sh o r t ag e l ar g er t h an x. T h e g o al is t o est imat e p r o b ab il it ies o f ev ent s t h at ar e v er y r ar e and it w as f o u nd nec essar y t o simu l at e f o r 5 0. N o t e t h e simil ar it y b et w een t h e der iv at iv e o f t h e fl o w (i. 6. st andar d T h u s t h er e ar e est imat ed n p r o b ab il it y v al u es p1. x(j.7 · 106 m3 and r eg u l at ed fl o w is 78. pn = n/ 5 0.000 y ear s int o t h e f u t u r e b u t a st o c h ast ic g ener at io n f o r 5 0. 1 À G EV (x). t h e r esu l t ing simu l at ed ser ies is deno t ed Qsim(t). (7). p2 = 2/ 5 0. (6) w h er e t h e p r o c ess Yl o g (t) is an A R (1) mo del w it h o u t a seaso nal c o mp o nent as est imat ed in Eq. (x0. .b. T h e c al c u l at io ns ar e p er f o r med in t h e p r o g r am S p l u s and t h e r esu l t is as f o l l o w s: ð1 À 0. 0. T h e w at er sh o r t ag e is c al c u l at ed as t h e t o t al sh o r t ag e o f w at er w it h in a sing l e indep endent dr o u g h t . 6 sh o w s t h e c u r v es Pl o g (t) and Sl o g (t). V) o n t h e r eg u l at io n c u r v e sh o w n in F ig . r ec u r r enc e t ime 1000 y ear s) t h e fit t ed dist r ib u t io n c o nv er g es t o z er o f ast er t h en t h e simu l at ed p r o b ab il it ies. (x0. S imu l at io ns w er e p er f o r med f o r sev er al p air s (Qr eg .000. T h e p r esent ed r esu l t s ar e f r o m simu l at io ns w h er e t h e r eser v o ir is 1315 . is fit t ed t o t h e ac c u mu l at ed p r o b ab il it ies (1 À p). . i)jp(j)} is assu med t o b e a no r mal dist r ib u t io n N(l(j).000 y ear s g iv en t h at t h e w eat h er c o ndit io n w il l b e l ik e t h e p ast 5 0 y ear s w h ic h w er e u sed f o r p ar amet er est imat io n w h er e xj is t h e jt h l ar g est w at er sh o r t ag e. p(i)) w il l b e r ef er r ed t o as t h e simu l at io n r esu l t . l(j). L et X deno t e t h e t o t al w at er sh o r t ag e w it h in a dr o u g h t . . r2(j)). F ig . 4. 2). N o t e t h at P(X P x) % P(X > x) = 1 À F(x). 1).e. The simulation study T h e simu l at io n w as p er f o r med u sing t h e t h eo r et ic al mo del in Eq. . (5 ) ar e l o g no r mal dist r ib u t ed. c l imat e c h ang e p r edic t io ns f o r f u t u r e t r ends in r u no ff ser ies su c h as g l ac ier mel t c an b e t ak en int o ac c o u nt eit h er as det er minist ic o r st o c h ast ic v ar iab l es dep ending o n t h e c l imat e c h ang e mo del o u t p u t . H o w ev er . 5 .06Þ ð7Þ i. i. P(X P x) w h er e X deno t es t h e r ando m v ar iab l e o f w at er sh o r t ag e. 5 . x(j. pfit ).000 y ear s in o r der t o ac h iev e a st ab l e est imat e o f t h e w at er sh o r t ag e p r o b ab il it ies. w h er e n is t h e t o t al nu mb er o f dr o u g h t s w h ic h o c c u r r ed in t h e simu l at io n and pj ¼ P ðX P xj Þ ð9Þ as defined in Eq.5 % qu ant il e.e. i)). sinc e t h e dev iat io n ser ies Y(t) is st at io nar y in mean and v ar ianc e. T w o dr o u g h t s ar e defined as indep endent if t h ey eit h er o c c u r in t w o diff er ent y ear s o r if t h ey o c c u r in t h e same y ear and t h e r eser v o ir is r efil l ed b et w een t h e t w o dr o u g h t s.

e. (a. the p rob ab ility of w ater shortage of 15 5 million m3 is 0. The shap e p arameter n in the generaliz ed ex treme v alue distrib ution has b een estimated as negativ e. H enc e. Then the distrib ution func tion is refl ec ted ab out the y. b = kb = Àb/n À(a + kb) = Àa + b/n this b ec omes    x À a k w ith x P a 1 À ex p À b and a= ð14 Þ w hic h is a more c ommonly used p arameteriz ation in hy drology . using this interp retation.8 6 .27 4 4 ). O n the other hand for p rac tic al p urp oses it is more c onv enient to w ork w ith w ater shortages as p ositiv e v ariab les w ith dec reasing p rob ab ilities. n) = (À8 97 .g. There is an interest in the tail of the distrib ution and c onsequently it w as c hosen to div ide the data into as many interv als as reasonab le. is a p eak b elow threshold study .8 6 . 37 6 . (N ote that the dy namic v ariab le X(t) in E q. À0. 37 6 . The estimated mean v alue of the rep eated simulations. U sing this interp retation the random v ariab le is interp reted as the result of the w ater b alanc e equation Z i X ðiÞ ¼ Qsim ðsÞ ds À i Á Qreg ð15 Þ 0 F ig. thus the ex treme v alue distrib ution is identifi ed as the W eib ull distrib ution (R eiss and Thomas. ap p rox imated 2.23]. n) = (À8 97 . The domain the of distrib ution is the interv al ]À1.square test statistic s for test of distrib ution using the same interv als is z = 12.95 .392 n F ig. n) = (À8 97 . w ith p ole equal to one. 8 . 4 7 5 . The mean and the standard dev iation of the distrib ution are (R eiss and Thomas. and w ater shortage w ill oc c ur if X(i) is negativ e. and the The W eib ull distrib ution c an b e re. F ig. / P h ys ic s an d C h e m is tr y o f th e E ar th 3 0 ( 2 0 0 5 ) 4 2 0 – 4 2 5 distrib ution using the least square b 37 6 . À0. w ith negativ e x v alues.96 n n ð11Þ  2 Àb V ðxÞ ¼ r2 ¼ Cð1 À 2nÞ þ C2 ð1 À nÞ ¼ 17 91. Àb/n + a] = ]À1.4 8 . Q uantile diagram for the data c omp ared to the G E V distrib ution w ith the p arameter estimate ac c ording to Tab le 1 (a.27 . see e. it must b e k ep t in mind that the simulations are nec essary in order to estimate the p arameters. J o n s d o ttir e t al . b. N ote that ab out 98 % of the p rob ab ility mass is b elow z ero.9 ¼ 17 9 and it follow s that a 0 hy p otheses that the w ater shortage is G E V distrib uted w ith the estimated p arameters as show n in Tab le 1. b. H enc e.ax is and the random v ariab les multip lied b y À1. The stoc hastic formulation of a w ater shortage.5 % and thus the rec urrenc e time for a w ater shortage of 15 5 million m3 is . 1997 ): b b EðxÞ ¼ l ¼ a À þ Cð1 À nÞ ¼ À7 6 2. w ith (a. i.103 4 24 Tab le 1 E stimated p arameters in the G E V method a E stimation À8 97 . 8 . 1997 ). sinc e (1 À B)X(t) = u(t) w ith u(t) = Qsim(t) À Qreg). 16 0 interv als w ith equal p rob ab ilities are generated. w ith the ex p ec ted numb er of ob serv ations in eac h interv al as 5 . U sing the quantile diagram in F ig.e.0228 .8 6 n À0.95 .5 % and ap p rox imated 97 . w ith threshold z ero. the distrib ution func tion b ec omes  À1=n ! Àx À a 1 À ex p À 1 þ n w ith x P ÀðÀb=n þ aÞ b ð13Þ setting k = À1/n > 0. 7 .27 4 4 ) and estimated p rob ab ilities from histogram w ith the 16 0 interv als. 1[ .p arameteriz ed w ith domain ]À4 7 5 . H ow ev er.8 6 . The c hi.27 4 4 ) is ac c ep ted. ð12Þ quantile diagram. b. 8 show s a quantile diagram for the G E V (x) distrib ution. 37 6 . (15 ) is an unstab le time series i.27 4 4 90% quantile is vð15 6 Þ2.95 H . M edov a and K y riac ou (2000).5 % quantiles and the fi tted G E V distrib ution. À0.95 .

K yriac ou . b u t u sing the tools alread y d ev elop ed for p ower system stu d ies in I c eland . R e f e r e nce s J ohannsson.. 2003. F ranz ini. A ck now le d g m e nt T he au thors wish to thank T he N ational E nergy Au thority in I c eland for p rov id ing the d isc harge d ata u sed in this stu d y. E liasson. R isk 1 ( 8 ) . S .B .. S imu lation mod el of the hyd rothermal p ower system in I c eland . A water shortage of 155 million m3 means that the p ower station is ou t of op eration for ab ou t three week s. Annad v eld i ehf... L insley. Av ailab le from: < www. S tru c tu re of natu ral hyd rologic time series. S imu lation mod el of transmission c onstrained hyd rothermal p ower system. H . Jonsdottir et al... it is straightforward to ex tend the mod el for more c omp lic ated systems. M ed ov a.v eld i. R .W .K . Av ailab le from: < www. Annad v eld i ehf.) .is> . 19 7 6 . J . T ec hnic al R ep ort. there is a great p rob ab ility that water shortage will oc c u r in other reserv oirs as well d u e to sp atial c orrelation in I c eland ic ru n.is> . 19 9 7 . V . 5. O p er. E . C olorad o. there is a p rob ab ility of 25% that water shortage of this magnitu d e will oc c u r in the ec onomic al lifetime. N ew Y ork . M . S toc hastic Ap p roac hes to W ater R esou rc es. I n: P roc eed ings of the I nternational S ymp osiu m on S toc hastic H yd rau lic s. .H ill. T hu s the rec u rrenc e time of d rou ght is large and therefore a v ery long time series is need ed in ord er to estimate the d rou ght risk . T homas. J ohannsson. 2002.J .D . O n top of that. R eiss. 19 6 4 . P late.. B irk hau ser V erlag.. S . M c G raw. / Physics and Chemistry of the Earth 30 (2005) 420–425 4 25 200 years or larger.. 2000. T he simu lation stu d y in this p roj ec t was p erformed for a simp le system with one hyd rop ower p lant and one reserv oir.. W ater R esou rc es E ngineering. whic h means the p ower station is ou t of op eration for ab ou t three week s. I n general the av ailab le d ata are u sed for d esign of a hyd rop ower p lant. Conclusions T he risk of water shortage in a hyd rop ower p lant has b een estimated throu gh stoc hastic mod eling and simu lations. A p ower failu re of this magnitu d e will most lik ely b e c onsid ered soc ially and p olitic ally u nac c ep tab le with d isastrou s c onseq u enc es for p ower system management p rac tic es.off d ata.B . As mentioned the rec u rrenc e time for water shortage of 155 million m3 is estimated to b e 200 years or larger. 19 9 2. S toc hastic d esign in hyd rau lic s.. ( E d . E . F or a water p ower station with a life time of 50 years. S witz erland . E . T he stoc hastic simu lations p rod u c e a time series long enou gh for ac hiev ing an estimate of the p rob ab ility d istrib u tion fu nc tion of a water shortage. I n: S hen. E . F u rthermore the rep eated simu lations p rov id e an estimate of u nc ertainty of the p rob ab ility fu nc tion estimation.v eld i. S tatistic al Analysis of E x treme V alu es. E liasson.. R . T ec hnic al R ep ort.104 H. M . E x treme v alu es and the measu rement of op erational risk . T here is a 15– 30% p rob ab ility that a large d rou ght lik e that will oc c u r in the ec onomic al lifetime of the p roj ec t. ¨ Y ev j ev ic h. whic h is 30– 6 0 years for hyd rop ower stations in I c eland . 12– 15..

.Appendix D A grey box model describing the hydraulics in a creek Published in Environmetrics 2001 p. 347-356.

106 .

107

ENVIRONMETRICS Environmetrics 2 0 0 1 ; 12: 3 4 7 ± 3 5 6 ( D OI: 1 0 . 1 0 0 2 / e n v . 4 6 4 )

A

g re y -b o x m o d e l d e s c rib in g th e h y d ra u lic s in a c re e k
H a r p a J n s d t t i r * , J u d i t h L . J a c o b s e n a n d H e n r i k Ma d s e n o o
D ep a rtment of M a th ema tica l M od el l ing , B l d g . 3 2 1 D T U , D K - 2 8 0 0 L y ng b y , D enma rk

SU MMA RY Th e Sa i n t - Ve n a n t e q u a t i o n o f m a s s b a l a n c e i s u s e d h e r e t o d e r i v e a s t o c h a s t i c l u m p e d m o d e l d e s c r i b i n g t h e d y n a m i c s o f t h e ¯ o w i n a r i v e r . Th e ¯ o w d y n a m i c s a r e d e s c r i b e d b y t h e e v o l u t i o n o f t h e c r o s s - s e c t i o n a l a r e a o f t h e ¯ o w a t t w o l o c a t i o n s i n t h e r i v e r . Th e u n k n o w n p a r a m e t e r s o f t h e m o d e l a r e e s t i m a t e d b y c o m b i n i n g t h e p h y s i c a l e q u a t i o n s w i t h a s e t o f d a t a . Th i s m e t h o d i s k n o w n a s g r e y - b o x m o d e l l i n g . Th e d a t a c o n s i s t o f w a t e r l e v e l m e a s u r e m e n t s , t a k e n e v e r y m i n u t e a t t w o l o c a t i o n s i n a r i v e r , o v e r a p e r i o d o f n i n e d a y s . Th e d a t a a r e s u b - s a m p l e d to a s a m p lin g p e rio d o f 1 5 m in u te s b e fo re fu rth e r p ro c e s s in g , a n d a m a x im u m lik e lih o o d m e th o d is u s e d to e s tim a te th e p a ra m e te rs o f th e m o d e l. Th r e e d i f f e r e n t m o d e l s w e r e a p p l i e d t o t h e d a t a s e t . A l l t h r e e a r e l i n e a r r e s e r v o i r m o d e l s w i t h a n e s t i m a t e o f t h e d y n a m i c l a t e r a l i n ¯ o w a s a f u n c t i o n o f p r e c i p i t a t i o n . Th e ® r s t m o d e l i s a s i n g l e r e s e r v o i r m o d e l , w h i c h p r o v e d t o b e t o o s i m p l e t o a d e q u a t e l y d e s c r i b e t h e e f f e c t o f p r e c i p i t a t i o n . Th e s e c o n d m o d e l i s a l s o a s i n g l e r e s e r v o i r m o d e l , b u t th e d a ta fro m th e d o w n s tre a m s ta tio n w e re tra n s la te d fo rw a rd in tim e , c o rre s p o n d in g to a tim e d e la y in th e s y s t e m ( a r e t e n t i o n t i m e ) . Th i s m o d e l r e s p o n d s i n a p h y s i c a l l y r e a s o n a b l e m a n n e r t o p r e c i p i t a t i o n , c a p t u r i n g v e r y w e l l t h e ¯ o w p e a k s c a u s e d b y r a i n e v e n t s . Th e t h i r d m o d e l i s b a s e d o n t w o r e s e r v o i r s , a n d l i k e t h e s e c o n d m o d e l , i t r e s p o n d s r e a s o n a b l y t o p r e c i p i t a t i o n . It s d e s c r i p t i o n o f t h e d y n a m i c s s e e m s q u i t e g o o d , t h o u g h i t d o e s n o t c a p t u r e th e ¯ o w p e a k s q u ite a s w e ll a s th e s e c o n d m o d e l. H o w e v e r, it is s h o w n , th a t th is m o d e l s ta tis tic a lly p ro v id e s th e b e s t d e s c r i p t i o n o f t h e s y s t e m . Co p y r i g h t # 2 0 0 1 J o h n W i l e y & So n s , L t d . key words: g re y -b o x m o d e llin g ; m a x im u m lik e lih o o d e s tim a tio n ; lin e a r re s e rv o ir; s to c h a s tic h y d ra u lic m o d e l.

1 . INTROD U CTION Th e w a t e r q u a l i t y o f a r i v e r i s c a rrie d in to th e riv e r e ith e r in o f th e in ¯ o w d iffe rs fro m th m o d e llin g o f th e im p a c t o f h y d ra u lic m o d e l, w h ic h p e rm In t h e p r e s e n t w o r k , t h r e e a p p ro a c h to e s ta b lis h th e m re s u ltin g in s to c h a s tic o rd in a p re c ip ita tio n , a n d b y u s in g K m a in ly a ffe c te d b y th e c h d is s o lv e d o r in p a rtic u la a t o f th e riv e r its e lf, th u v a ry in g c h e m ic a l c o m p its e s tim a te s o f th e in ¯ u h y d ra u lic m o d e ls a re a p p o d e ls , w h ic h a re s im p le ry d iffe re n tia l e q u a tio n s . a lm a n ® lte rin g it is p o s s e m i c a l c o m p o s i t i o n o f t h e b a s i n . Ch e m i c a l s a r e te fo rm a n d , in m o s t c a s e s , th e c h e m ic a l p ro ® le s a ffe c tin g th e ¯ o ra o f th e riv e r. A n a d e q u a te o s itio n o n th e e c o lo g y fre q u e n tly re q u ire s a x in to th e s y s te m . lie d a n d c o m p a re d . W e h a v e u s e d th e g re y -b o x lu m p e d m o d e ls a lo n g w ith s to c h a s tic te rm s , Th e l a t e r a l i n ¯ o w i s d e s c r i b e d a s a f u n c t i o n o f ib le to p e rfo rm a n e s tim a tio n o f th e in ¯ o w .

* Co r r e s p o n d e n c e t o : H . J n s d t t i r , D e p a r t m e n t o f Ma t h e m a t i c a l Mo d e l l i n g , B u i l d i n g . 3 2 1 D TU , D K - 2 8 0 0 L y n g b y , D e n m a r k . o o

Co p y r i g h t # 2 0 0 1 J o h n W i l e y &

So n s , L t d .

R eceived 2 4 F eb ru a ry 1 9 9 9 A ccep ted 2 5 A u g u st 2 0 0 0

108

3 4 8

H . J O  N S D O  TTI R , J . L . J A C O B S E N , A N D

H . M A D S E N

The data were obtained from a slowly ¯owing creek, and the ultimate purpose of the data collection was to model the water q uality by considering the ox ygen lev el. I n order to set up such a model, the hydraulics must be reasonably described. This is facilitated by the hydraulic models proposed in this paper. The only measured v ariable related to water v olume is the depth, and therefore our model is not a true water ¯ow model as we do not know the water ¯ow nor the so- called Q±h relations. I nstead, the models describe the ev olution of the cross- sectional area, because it is more related to ¯ow than the depth. Three linear reserv oir models are tested. The ® rst one is a single reserv oir model. The second one is also a single reserv oir model but with a time delay ( the retention time) , and the third model contains two reserv oirs. W hitehead and Y oung ( 1 9 7 5 ) dev eloped a grey- box model for stream ¯ow forecasting, using a deterministic single reserv oir model and a black- box rainfall runoff model for the remaining v ariations. Y oung and B eck ( 1 9 7 4 ) and B eck and Y oung ( 1 9 7 5 ) used a linear reserv oir model with one reserv oir and a transportation delay in a B O D - D O model. F urthermore, J acobson e t a l . ( 1 9 9 7 ) modelled the water lev el using a stochastic lumped model with three reserv oirs, formulated by stochastic differential eq uations.

2 . TH E D A TA The data originate from a creek in N orth Z ealand, approx imately 2 5 km north of C openhagen. W ater lev el measurements were obtained from two measuring stations which are about 2 km apart. The upstream and downstream stations are referred to as U and D , respectiv ely. There are two rainfall runoffs near the upstream station, one located about 1 0 m further downstream and the other 2 m upstream. The precipitation measuring station is located approx imately 2 . 5 km upstream from station U . F igure 1 shows a sketch of the area and the measuring stations. The data span a period of nine days in A ugust 1 9 9 6 , with a sampling period of one minute. The goal is to model the ov erall dynamics, especially the increased water ¯ow during rain ev ents. D ata hav e been low- pass ® ltered and subsampled by av eraging ov er 1 5 - minute periods. The choice of this sampling period was made by comparing the data with the phenomena of interest. The data indicate a retention time of approx imately one hour between the two stations. To minimiz e the risk of information loss, a sampling period of 1 5 minutes was chosen. The eq uations below are based on mass balance wherefore it was decided to use the cross sectional areas rather than the water lev el in the modelling work. F igure 2 shows the cross- sectional areas and the rain intensity.

F igure 1 . O v erv iew of the area

C opyright # 2 0 0 1 J ohn W iley &

S ons, L td.

E n v i r o n m e t r i c s 2 0 0 1 ; 12: 3 4 7 ±3 5 6

109

G R EY - B OX

MODEL F OR F LOW

IN A CR EEK

34 9

F i g u r e 2. Th e c r o s s - s e c t i o n a l a r e a s a n d t h e r a i n i n t e n s i t y

3. THE MATHEMATICAL MODEL Th e c o n s e r v a t i o n o f m a s s i s t h e c r o s s - s e c t i o n a l a r e a s . Ou w a te r q u a lity m o d e l, fo r e x re la te d to th e h y d ra u lic s a re s im p li® c a tio n s m u s t b e m a d u s e d to d e riv e a s to c h a s tic lu m p r g o a l is to d e v e lo p a h y d ra u lic a m p le , a m o d e l fo r th e o x y g e n w a te r le v e l m e a s u re m e n ts , s o in e . Th e ¯ o w i n a r i v e r c a n b e d e e d m o d e l d e s c rib in g v a ria m o d e l w h ic h c a n b e u s e d c o n c e n t r a t i o n . Th e o n l y o rd e r to d e v e lo p a p h y s ic s c rib e d b y th e S a in t-V e n a tio a s d a l n t n s in tim e o f a b a s is fo r a a ta a v a ila b le m o d e l, s o m e e q u a tio n …1†

qA…x; t† qQ…x; t† ‡ ˆ q…x; t† qt qx

w h e r e A i s t h e c r o s s - s e c t i o n a l a r e a ( m2 ) , Q i s t h e ¯ o w o f w a t e r ( m3 / m i n ) , q i s t h e l a t e r a l i n ¯ o w p e r u n i t l e n g t h ( ( m3 =m i n ) / m) = ( m2 / m i n ) , x i s t h e l o c a t i o n a l o n g t h e r i v e r ( m) , a n d t i s t h e t i m e ( m i n ) . Me a s u r e m e n t s o f A a r e a v a i l a b l e a t t w o l o c a t i o n s i n t h e c r e e k . Th e ¯ o w c a n b e e x p r e s s e d a s Q…x; t† ˆ v…x; t† A…x; t†, w h e r e v…x; t† i s t h e a v e r a g e c r o s s - s e c t i o n a l v e l o c i t y . A c o n s t a n t r e t e n t i o n t i m e i s a s s u m e d . Th i s a s s u m p t i o n m a y b e q u e s t i o n a b l e , s i n c e a n i n c r e a s e d w a t e r l e v e l p r o b a b l y l e a d s t o a n i n c r e a s e i n t h e a v e r a g e v e l o c i t y , r e s u l t i n g i n a s h o r t e r r e t e n t i o n t i m e . Ho w e v e r , s i n c e a p e r i o d o f n i n e d a y s w i t h r e l a t i v e l y s m a l l r a i n e v e n t s i s c o n s i d e r e d , t h i s s i m p l i ® c a t i o n i s p r o b a b l y r e a s o n a b l e . Th e v e l o c i t y v…x; t† i s s e t t o b e a c o n s t a n t a v e r a g e t r a n s p o r t a t i o n v e l o c i t y v ˆ L=s, w h e r e L i s t h e d i s t a n c e b e t w e e n t h e t w o s t a t i o n s a n d s i s t h e r e t e n t i o n t i m e . Eq u a t i o n ( 1) c a n t h u s b e r e w r i t t e n a s q Lq A…x; t† ‡ A…x; t† ˆ q…x; t† qt s qx …2†

q Th e n e x t s t e p i s t o d i s c r e t i z e t h e m a s s b a l a n c e e q u a t i o n b y qx A…x; t† % ÁA…x;t† a n d s e t t i n g x e q u a l t o Áx t h e l o c a t i o n o f t h e d o w n s t r e a m s t a t i o n a n d l e t Áx b e t h e d i s t a n c e L b e t w e e n t h e t w o s t a t i o n s . Th i s le a d s to

q A…xD ; t† À A…xU ; t† A…xD ; t† ‡ ˆ q…xD ; t† qt s

…3†

Co p y r i g h t # 20 0 1 J o h n W i l e y &

S o n s , Lt d .

E n vi r o n me tr i c s 20 0 1; 12: 34 7 ± 35 6

T he v ec t o r Y…t† c o n t a i n s t he m ea s u red v a ri a b l es a n d t he m a t ri x C s p ec i ® es whi c h l i n ea r c o m b i n a t i o n 1d dt A…xD . t he p rec i p i t a t i o n ha s a n a l m o s t i m m edi a t e i m p a c t o n t he l a t era l i n ¯ o F i n a l l y . a n o i s e t erm i s a dded t o t he eq u a t i o n s a n d t hereb y a s t o c ha s t i c m s i n g l e res erv o i r m o del i s ex p res s ed i n m a t ri x n o t a t i o n a s    dq…t† a ˆ dAD …t† 1 y…t† ˆ ‰ 0 0 À1=s 1Š     q…t† b dt ‡ AD …t† 0 ry t o i n T hi s i s w t hro u o del i s …5† t ro du c e a t i m e del a y i n n o t t he c a s e here.o rder p ro c es s . t† @ @ ˆ @x A…xD . T he n o i s e t erm dw…t† i s t he m o del erro r. t†=s À A…xD . J ON S D OT T I R . s i n c e t hi s i s a n E u l er des c ri p t i o n . s i n c e g h t he ra i n f a l l ru n o f f s . t† dt …4† T hi s eq u a t i o n c a n a l s o b e o b t a i n ed b y s i m p l i f y i n g a l i n ea r res erv o i r m o del . i .s ec t i o n a l a rea a t t he do wn s t rea m s t a t i o n a n d t he l a t era l i n ¯ o w a re s t a t e v a ri a b l es . I n s o m e s i t u a t i o n s i t m i g ht b e n ec es s a E q u a t i o n ( 5) b et ween t he ra i n ev en t a n d t he i n ¯ o w b y u s i n g P…t À †. t†=s ‡ q…xD . J A C O B S E N . W e s ha l l t heref o re ref er t o E q u a t i o n ( 4) a s t he s i n g l e res erv o i r m o del . a n d i t i s a s s u m ed t o b e a di a g o n a l W i en er p ro c es s . e. 12: 3 47± 3 56 . T he v ec t o r X i s t he s t a t e v ec t o r a n d U i s a v ec t o r o f i n p u t s . qt c a n b e rep l a c ed d wi t h dt. J . o b t a i n ed. A N D H . I n a n a b b rev i a t ed n o t a t i o n . a s i n J a c o b s o n et al . I n o u r f o rm u l a t i o n . ( 1997) . dX…t† ˆ AX…t†dt ‡ BU…t†dt ‡ dw…t† Y…t† ˆ CX…t† ‡ e…t† …8† …9† E q u a t i o n ( 8) i s k n o wn a s t he s y s t em eq u a t i o n whi c h des c ri b es t he dy n a m i c s o f t he p hy s i c a l s y s t em . d q…t† ˆ aq…t† ‡ bP…t† ‡ k dt where P…t† i s t he p rec i p i t a t i o n . t he i n c rem en t s a re m u t u a l l y i n dep en den t a n d G a u s s i a n di s t ri b u t ed.110 3 50 H . a n d t he m ea s u rem en t y…t† i s en c o u n t ered wi t h t he m ea s u rem en t n o i s e e…t†. where a s i m i l a r m o del wa s o b t a i n ed u s i n g t ha t a p p ro a c h. wherea s t he p rec i p i t a t i o n a n d t he c ro s s s ec t i o n a l a rea a t t he u p s t rea m s t a t i o n a re i n p u t s . L t d. des c ri b ed b y a ® rs t . L et t he l a t era l i n ¯ o w b e a f u n c t i o n o f p rec i p i t a t i o n .s ec t i o n a l a rea i s m ea s u red. t† dt dt dt C o p y ri g ht # 2001 J o hn W i l ey & S o n s . t† dx ‡ @t A…xD . t he eq u a t i o n s a re wri t t en a s t he f o l l o wi n g c o n t i n u o u s di s c ret e. t he c ro s s .t i m e s t a t e s p a c e m o del . E n v i r o n m etr i c s 2001. . res u l t i n g i n d A…xD . t† ˆ A…xU . T he m a t ri x A c ha ra c t eri z es t he dy n a m i c b eha v i o u r o f t he s y s t em a n d t he m a t ri x B s p ec i ® es ho w t he i n p u t s i g n a l s en t er t he s y s t em . T he res u l t i n g  q…t† ‡ e…t† AD …t† 2 3  P…t†   0 k 6 dw1 …t† 7 4 AU …t† 5dt ‡ 1=s 0 dw2 …t† 1 …6† …7† where t he l a s t eq u a t i o n i s i n t ro du c ed t o des c ri b e t he f a c t t ha t o n l y t he c ro s s . L . E q u a t i o n ( 9) i s k n o wn a s t he m ea s u rem en t eq u a t i o n . M A D S E N where xD i s t he l o c a t i o n o f t he do wn s t rea m s t a t i o n a n d xU i s t he l o c a t i o n o f t he u p s t rea m s t a t i o n . U s i n g q t he ru l e o f t o t a l di f f eren t i a l 1 i n E q u a t i o n ( 3 ) a n d.

the stochasti c di fferen ti al eq uati on s have to b e i n teg rated throug h the samp li n g i n terval i n order to evaluate the li k eli hood fun cti on . The un k n ow n p arameters are esti mated usi n g a max i mum li k eli hood method. B ased on the fact that the model i n E q uati on s ( 6 ) ± ( 7 ) i s li n ear. A test of si g n i ® can ce of the esti mated p arameters can therefore b e p erformed b y usi n g a t. an d some vali dati on methods are descri b ed. † ˆ t /…†X…t† ‡ Bw…†U…t† ‡ BC…†…U…t ‡ † À U…t†† ‡ v…t. S i n ce the matri x B i s a con stan t. C…† ˆ eA .test. w hi ch can b e calculated recursi vely b y the K alman ® lter ( see. the ex p ressi on can b e si mp li ® ed b y movi n g B outsi de the i n teg ral. The esti mati on p rocedure has b een i mp lemen ted i n a p rog ram called C TL S M ( con ti n uous ti me li n ear stochasti c modelli n g ) . † …1 1 † /…† ˆ Z  0 r eÀ…rÀ†A dr  …1 2† E q uati on ( 1 1 ) i s the system eq uati on of the di screte. The vector e con tai n s the measuremen t errors w hi ch are assumed to b e mutually i n dep en den t G aussi an di stri b uted an d i n dep en den t of the model error dw. 1 mm of rai n w i ll thus result i mmedi ately i n b m2 of lateral i n ¯ ow . S ee M elg aard an d M adsen C op yri g ht # 2001 J ohn W i ley & S on s. t an d t ‡ . for ex amp le. w i th the un i ts m2 / mm.di screte state sp ace model ori g i n ated from the con ti n uous. The i n p ut U…s† i s measured on ly at di screte ti me p oi n ts. E n v i ro n m etri c s 2001 . the soluti on to E q uati on s ( 8 ) i s X…t ‡ † ˆ  Z eA X…t† ‡ t‡ BU…s†eÀ…sÀt†A ds ‡ t Z t‡ eÀ…sÀt†A dw…s† t  …1 0† ( see K loeden an d P laten ( 1 9 9 2) for a soluti on of stochasti c di fferen ti al eq uati on s i n the form of E q uati on ( 8 ) ) . E q uati on ( 1 0) can then b e w ri tten as X…t ‡ † ˆ w here Z  eÀ…rÀ†A dr. I t i s w ell k n ow n that the li k eli hood fun cti on for ti me seri es data b ecomes a p roduct of con di ti on al den si ti es. G i ven the con stan t samp li n g p eri od . I n sp ecti on of E q uati on s ( 6 ) ± ( 7 ) reveals that the p arameter s has the un i t mi n utes an d i s i n terp reted as the reten ti on ti me. an d the assump ti on s ab out the G aussi an n ature of the error comp on en ts i n E q uati on s ( 8 ) an d ( 9 ) . P A R A M E TE R E S TI M A TI O N A N D M O D E L V A L I D A TI O N I n thi s secti on an outli n e of the esti mati on p rocedure i s p resen ted. The p arameter b i s i n dep en den t of ti me. t ‡ Š i s ob tai n ed b y li n ear i n terp olati on .111 G R E Y -B O X M O D E L F O R F L O W IN A C R E E K 3 5 1 of the states actually are measured. 12: 3 4 7 ± 3 5 6 . 4 . w…† ˆ 0 Z t‡ e…t‡Às†A dw…s†: v…t. H arvey ( 1 9 9 4 ) ) . the i n p ut U i n si de the i n terval ‰t. The G aussi an di stri b uti on i s comp letely characteri z ed b y the con di ti on al mean an d the con di ti on al vari an ce. w hi le the ex tra i n ¯ ow due to rai n decli n es as descri b ed b y a/ mi n . B ecause the data are g i ven i n di screte ti me. L td. i t i s easi ly show n that the con di ti on al den si ti es are G aussi an .di screte ti me sp ace model. F or all t.

(1997 ) is that here w e hav e the non. E n v i r o n m e tr i c s 20 0 1. F igure 3 show s this difference.B O D model . L . e. T he same method is used by Y oung and B eck (197 4) in a D O . the reserv oir model is ex tended to contain tw o reserv oirs. T he resul ts of the parameter estimation are show n in T abl e I . J. 0 115 (0 .step prediction errors.sectional area at the upstream station and the precipitation) at time t. e. 0 22. i. L td. I t is seen that AD …t† À AU …t† is negativ e at the beginning of the rain ev ents. the numbers in parentheses are the standard dev iation of the parameter estimates. 0 (1.0 (0 . 0 (0 .box model w ith sev eral reserv oirs using the same data set. and the concl usion is that E q uations (6)± (7 ) are too simpl e to describe the sy stem.observ ed l ateral in¯ ow as a state v ariabl e. 0 0 11) 61. W e concentrate on the residual s. w hether the model describes the data. . 0 0 31 (0 . but it al so depends on the v al ue of AD …t† À AU …t†. JA C O B S E N .k now n tests for w hite noise residual s from time series anal y sis can be used (see. using the singl e reserv oir model E q uations (6)± (7 ). A l l the parameters are signi® cantl y different from z ero P arameter a b s k S ingl e reserv oir (E q uations (6)± (7 )) À 0 . T he ex pl anation for this is as fol l ow s. T he main difference betw een the model s here and the model s presented in Jacobsen e t al . H ence. an unobserv ed state betw een the upstream station and the dow nstream station is introduced. B ox and Jenk ins (197 6)). 33 (1. 0 0 42) À 0 . MA D S E N (1993) for a description of the program. and Jacobsen and Madsen (1996) for a further description of the method. A N D H . 0 293 (0 . the ` precipitation response' parameter b is estimated to be negativ e. E ach model w il l now be discussed. T hese resul ts point to some ex tensions of the model w hich are then introduced. 635) 3. 0 0 . .112 352 H . w hich means that the l ateral in¯ ow abates and actual l y becomes negativ e because of rain. JO  N S D O  T T I R . (1997 ) presented a grey . Jacobsen e t al . 3  10 (7 . 12: 347 ± 356 . F rom E q uations (6)± (7 ) it is seen that the l ateral in¯ ow q…t† is a function of precipitation. T he resul ts in the ® rst col umn correspond to the singl e reserv oir model giv en by E q uations (6)± (7 ). 0 1. al l the w el l . T he parameter b is estimated to be l ess than z ero. T he main purpose of v al idating a model must be to v erify w hether or not the model describes the phy sical phenomena. the input at time t À s is considered w here s is the retention time. T he assumptions on the error terms prev iousl y mentioned shoul d l ead to w hite noise residual s. Max imum l ik el ihood estimates of the unk now n parameters. 5  10 (1. I n the second modi® cation. w hich are the one. T abl e I show s the parameter estimates for al l the model s. 0 0 11) 66. R E S U L T S A N D D IS C U S S IO N I n this section the resul ts corresponding to the suggested model E q uations (6)± (7 ) are ® rst discussed. 1  10 S ingl e reserv oir w ith del ay (E q uations (13)± (14)) À0 . A s mentioned before. g. I t is readil y seen that al l the parameters are signi® cantl y different from z ero. T he model must therefore be modi® ed and this is done in tw o w ay s. and in a statistical approach. 0 0 44 (0 . 7 (2. P hy sical intuition tel l s us that this cannot be true. T he ® rst modi® cation is as fol l ow s: instead of using the input (the cross. 3  10 U nits (1/ min) (m2/ mm) (min) À5 À6 À5 À5 À4 À5 (m2/ mm) ) ) ) C opy right # 20 0 1 John W il ey & S ons. 7 2) 2. 5. 7 411 0 32) 27 1 0 33) 69 992) 4  10 8  10 T w o reserv oirs (E q uations (16)± (17 )) À 0 . 60 3 (3. T he reason for this is that al most al l the l ateral in¯ ow enters the sy stem through the rainfal l runoffs l ocated T abl e I . 0 0 26) 0 .

ob serv ed l ateral in¯ ow. AD …t† À AU …t À s†. C onsidering the sing l e reserv oir model de® ned b y E q uations ( 6 ) ± ( 7 ) .sectional difference AD …t†À AU …t À 6 0†. T his is b ecause q…t† has a different interpretation. T he simul ation captures the peaks v ery wel l . F ig ure 4 shows the measured and simul ated v al ues of the cross. b ut the peaks due to rain are not adeq uatel y describ ed. T he sing l e reserv oir model with the time del ay is considered next. L td.sectional area and the estimate of the non. the model ( 6 ) ± ( 7 ) ob tains the b est ® t to the data b y a neg ativ e response to rain. T his difference does not reach as l arg e neg ativ e v al ues as the undel ay ed difference AD …t† À AU …t†. and it takes some time for this extra amount of water to reach the downstream station. the model responds to rain b y a positiv e l ateral in¯ ow. E n v i r o n m etr i c s 2001. T his can b e seen b y sol v ing C opy rig ht # 2001 J ohn W il ey & S ons. the v ariations are too sharp. H ere q…t† depends on the v al ue of AD …t† À AU …t À s† and this v al ue actual l y represents the integ rated l ateral in¯ ow during the retention time. T he cross.section difference. T he estimated l ateral in¯ ow q…t† is far from b eing real istic.sectional area. . 12: 3 4 7 ± 3 5 6 . b ut stil l the l ateral in¯ ow does not b ehav e as intuitiv el y expected. T o the l eft is the actual difference AD …t† À AU …t† and to the rig ht is the del ay ed difference. H ence. T he data interv al s are 15 minutes. T he v ariations are too sharp and the peaks are too narrow compared with the peaks of the cross. I n the prev ious model the retention time was estimated to b e 6 3 minutes. and the estimated l ateral in¯ ow q…t†. it is seen that the simul ation resul ts are q uite accurate under stationary conditions. i. F ig ure 3 shows the cross.sectional area. e. where the retention time s is set to one hour near the upstream station. F ig ure 4 shows the measured and simul ated v al ues of the cross. N ote that the estimated v al ues of q…t† during rain periods are much hig her than the in prev ious model . T he model b ecomes:       d q…t† a 0 q…t† b ˆ dt ‡ d AD …t† 1 À1=s AD …t† 0 y…t† ˆ ‰ 0 1 Š   q…t† ‡ e…t† AD …t† 0 1=s 3 2    P…t À 6 0† dw1 …t† k 6 7 4 AU …t À 6 0† 5dt ‡ dw2 …t† 0 1 …13 † …14 † T he parameter s can no l ong er b e interpreted as a retention time.113 G R E Y -B O X M O D E L F O R F L O W IN A C R E E K 3 5 3 F ig ure 3 . and conseq uentl y the del ay is approximated b y 4 time steps. A s in the prev ious model . T he ` precipitation response' parameter b is now estimated to b e positiv e.

L .M A D S E N Figure 4. L td. J O  N S D O  TTI R . E n v i r o n m e tr i c s 2 0 0 1 . A N D H . 12: 3 47 ± 3 5 6 . To the left are measurements and simulations using the three models and to the right are the estimated lateral in¯ ow s q…t† C op y right # 2 0 0 1 J ohn W iley & S ons.114 3 5 4 H . J . J A C O B S E N .

006 6 6 7 . E n v i r o n m etr i c s 2001.e.0011 0. T he duration of the ex tended in¯ ow corresponds to the duration of the increased crosssectional area. since it is k nown that almost all the transient in¯ ow between the two stations enters the riv er stretch close to the upstream station..0006 0. sev eral model v alidation statistics where carried out. T he correlations in time of the single-step prediction errors are studied in the frequency domain but are not shown in the table.g.. H owev er. 12: 34 7 ± 35 6 . A white noise error is equally distributed in the frequency domain and by using a K olmogorov ± Smirnov test in the frequency domain. M ean of simulation error P ortmanteau test statistic 0. it was concluded that none of the model errors are white noise processes.33 Single reserv oir with delay Equations (13)± (14 ) 0. L td. W hite noise test statistics hav e also been performed by using the P ortmanteau lack -of-®t test for white noise.0010 0. N otice that this is another way of dealing with the time delay . which indicates that the sy stem responds to rain by a positiv e in¯ ow. F igure 4 shows the measured cross-sectional area along with the simulation and the estimated lateral in¯ ow. T able I I . see e.0012 0. the lateral in¯ ow q…t† seems realistic. since it v aries around some v alue close to z ero and then increases when it rains.006 5 203 T wo reserv oirs Equations (16 )± (17 ) 0. B ox and J enk ins (19 7 6 ).0012 0.0014 0. T he simulation is quite good but it does not capture the peak s as well as the single reserv oir model with time delay .018 7 7 3. as shown in the bottom row of T able I I . denoted AF …t†. F or a comparison of the models. T his is done by introducing a v irtual station between the two measurement stations. T he equations then become: 3 2 a dq…t† 7 6 6 4 dAF …t† 5 ˆ 4 1 0 dAD …t† 2 2 3 32 b q…t† 0 6 7 76 0 54 AF …t† 5dt ‡ 4 0 0 AD …t† 2=s À2=s 2 3 q…t† 6 7 y…t† ˆ ‰ 0 0 1 Š 4 AF …t† 5 ‡ e…t† 0 À2=s AD …t† 3 2 3 32 dw1 …t† P…t† 0 k 7 6 7 76 2=s 0 54 AU …t† 5dt ‡ 4 dw2 …t† 5 0 0 1 dw3 …t† …16 † …17 † W e hav e chosen to let the lateral in¯ ow q…t† affect only the ®rst reserv oir.115 G R EY -B O X M O D EL F O R F L O W I N A C R EEK 35 5 the Saint-Venant equation of mass balance along with all our simpli®cations (i. T he parameter b is estimated to be positiv e. and these are shown in T able I I . the mean v alue of the simulation error and the P ortmanteau lack -of-®t test statistic Single reserv oir Equations (6 )± (7 ) M ean of prediction error Variance of prediction error.4 5 U nits (m2) (m2) (m2) C opy right # 2001 J ohn W iley & Sons. which giv es the relation AD …t† ˆ AU …t À s† ‡ Z t q…†d tÀs …15 † F inally the single reserv oir model Equations (6 )± (7 ) is ex tended to a two reserv oir model. T he following model v alidation statistics are shown: the mean v alue of the one step prediction error and its standard dev iation. Equation (2)). although the model with two reserv oirs is quite close.

M adsen H . J A C O B S E N . D K . P laten E . the parameters of a grey. A dynamic. a single reservoir model with a time delay and a two reservoir model. or white. M adsen H . I t is conclu ded that for most practical pu rposes the two reservoir model describ es the data reasonab ly well. K loeden P E . 1 2 : 3 4 7 ± 3 5 6 . A N D H . and even thou gh the simu lation seemed to b e b est in the single reservoir model with time delay. and the main simpli® cation is that the retention time is assu med to b e constant. H arvey A C . S tochastic M odelling and A pplied P rob ab ility. Y ou ng P C . W hitehead P G . 1 9 9 2 . 4 1 7 ± 4 3 8 . A pplications of M athematics. whereas the simple single reservoir model is mu ch closer. 1 9 9 4 . C TL S M version 2 . E n v i r o n m e tr i c s 2 0 0 1 . W a te r R e s e a r c h 9: 7 6 9 ± 7 7 6 . o S c ie n c e a n d T e c h n o lo g y 3 6 (5 ): 1 9 ± 2 6 . A ll the models provide a dynamic estimate of the lateral in¯ ow. Technical R eport N o.b ox models. the mean valu e of the simu lation error of the two reservoir model is almost the same. 1 9 7 6 . which was not measu red. C ontrary to b lack . F o r e c a s ti n g a n d C o n tr o l . it is ex pected that for most practical pu rposes it is acceptab le. and the mean valu e of the prediction error is lowest. D TU . J enk ins G M .sectional area in a creek are estab lished.V erlag: H eidelb erg. These are a single reservoir model. 1 9 9 3 . B u ilding 3 2 1 . F rom a statistical point of view. I M M . The modelling and control of water q u ality in a river system. C O N C L U S IO N I n this paper.tidal stream. V ansteenk iste G C ( ed) . M A D S E N The single reservoir model with a time delay is far from having a white noise prediction error. B ox G E P . 1 9 9 6 . E ven thou gh there are some u nex plained dynamics in the two reservoir model. This is also the case from a physical point of view.b ox model have a physical meaning. I n contrast to traditional physical modelling.b ox approach. I n this stu dy it has b een fou nd advantageou s to u se the grey.2 8 0 0 L yngb y. L td. G rey B ox M odelling of ox ygen levels in a small stream.b ox modelling. 6 . A stochastic model for two. S pringer.B O D relationships in a non. F o r e c a s ti n g . I n C o m p u te r S i m u l a ti o n o f W a te r R e s o u r c e s S y s te m s . B eck M B . A comparison of the models shows that the two reservoir model gives a b etter description than the single reservoir models. Y ou ng P C .stochastic model for W ater q u ality in part of the B edford± O u se river system. M adsen H .116 3 5 6 H . A u to m a ti c a 1 0 : 4 5 5 ± 4 6 8 . M elgaard H . N u m e r i c a l S o l u ti o n s o f S to c h a s ti c D i f f e r e n ti a l E qu a ti o n s . 1 9 7 5 . A ll the models are b ased on the mass b alance eq u ation. S tr u c tu r a l T i m e S e r i e s M o d e l s a n d th e K a l m a n F i l te r . 1 9 7 4 . H olden. The prediction error is close to white noise. Y ou ng P C . N orth H olland: A msterdam. The two reservoir model is the only model which provides a physically consistent estimate of the lateral in¯ ow. L . three lu mped parameter models describ ing the variation in the cross.D ay: S an F rancisco. The mean of the prediction error is smallest for the two reservoir model. this can b e very u sefu l in an environmental contex t. C opyright # 2 0 0 1 J ohn W iley & S ons. A dynamic model for D O . we have b een ab le to estimate the coef® cients of the differential eq u ations. A C K N O W L E D G E M E N TS W e thank P H . C amb ridge U niversity P ress: C amb ridge. since this model is the only one capab le of estimating the lateral in¯ ow q…t† reasonab ly well.consu lt and the H rsholm C ity C ou ncil for providing data. 6 ± a program for parameter estimation in stochastic differential eq u ations. 1 / 1 9 9 3 . J acob sen J L . H arremes P . J . 1 9 7 5 . W a te r . F u rthermore. 2 nd edn. J acob sen J L . R E F E R E N C E S B eck M B . T i m e S e r i e s A n a l y s i s . E n v i r o n m e tr i c s 7: 1 0 9 ± 1 2 1 . 1 9 9 7 . J O  N S D O  TTI R . the stochastic approach mak es it possib le to provide u ncertainty b ou nds on predictions.station hydrau lics ex hib iting transient impact. the two reservoir model is su rely the b est. which was not the case for the other two models.

Appendix E The program CTSM .

In 1991 there was a numerical revision created by Henrik Melgaard. in all the data points t = 1. N .12) is minimized. The task is to find parameters such that the logarithm of the likelihood function. Eq. . this is the first version with an ODE solver for filtering in non-linear models. . 2003). The first graphical version. Continuous Time Linear Stochastic Modelling. an ODE solver with Adams method for non-stiff systems and an ODE solver with BDF for stiff systems (Backward Differentiation formula).2 for an outline of the filtering methods and Appendix F for an introduction to stiff systems. The user can choose between three different filtering routines. see Section E. In 1993 the first version with a k-step optimization and k. (4. The Hessian is updated by the BFGS updating formula. using finite difference approximation to the gradient. still using the optimization routine VA13CD from the HARWELL Subroutine Library. The original version of the program was developed by Professor PhD Henrik Madsen in 1985 with the name CTLSM. this version is the first graphical version which provides a smoothing and k-step prediction along with one step prediction and pure simulation. a further description is available in the manual (Kristensen et al. The optimization procedure might thus be classified into two numerical tasks: . programmed in java was developed in 2001. The latest version came out in December 2003. The program was written in Fortran using optimization routine VA13CD from the HARWELL Subroutine Library. CTSM (Continuous Time Stochastic Modelling). The routine was based a linear approximation of the non-linear function and sub-sampling methods using the extended Kalman filter. The optimization routine is a quasi Newton method. The function f () is linearized in sub-sampled intervals. A single value of the likelihood function involves calculation of one step prediction t and is variance Rt|t−1 . . In April 2003 a version with different filtering routes where developed.step predictions were developed and in 1994 the first version with non-linear routine where build. In the following sections some of the numerical methods used in the program are outlined.118 E. In 2000 Niels Rode Kristensen developed the first general non-linear program.1 Introduction The program CTSM is a software package for parameter estimation for models formulated as Stochastic Differential Equations.

E. – Numerical integration . i. tk+1 [ is sub-sampled into [tk .(4. three different methods are implemented: 1. .2 Filtering methods Calculation of the predictions is referred to as the filtering. E. θ) + A(xt − xj ) + B(ut − uj ) [tkj .. which is performed by finite difference approximations. Sub-sampling approximations. . tkj+1 [ = AP t|j + P t|j AT + σσ T t ∈ [tkj . calculation of all the one step prediction.2) using same shorthand notation as in Table 4. . the time interval [tk . The program CTSM contains a singularity test routines and special singularity routines. since the optimization is a constrained. tk+1 [ and the equations are linearized at each subsampling instant.e. • Non-linear models: In this case.ODE solvers • The optimization – Calculation of a gradient. – Penalty calculations.2 Filtering methods 119 • The filtering. tj . This involves – Computation of the exponential eAτs . In this context it refers to prediction of the state variable xk+1|k . .14). . tkj+1 [ (E. The numerical task is to compute the exponential eAτ This might involve eigenvalue problems in case of a singularity. uj . use of singularity routines. An analytic solution to the linear differential equation is found in each sub-sampled interval as for linear models. Test for singularity and in case of singularity. . dxt|j dt dP t|j dt = f (xj|j−1 . .1. tj .1) (E. Different filtering routines can be applied: • Linear models: The stochastic differential equation is solved analytically as shown in Eq.

x3 ) − 59f (t2 .5). implicit formula equation for improving (correcting) the approximation obtained by the explicit formula Eq. The principle is as follows (shown for one dimension in order to keep focus on the method).(E. in (Dahlquist & Bj¨rck 1988) it o is formulated as: hD = −ln(1 − )= + 1 2 2 + 1 3 3 + .. x2 ) + 37f (t1 .7) . x4 ) − 19f (t3 . a detailed description of the method can be seen in (Dahlquist & Bj¨rck 1988). Numerical ODE solution using Adams method with predictor-corrector scheme. x) dt x(tk ) = c (E.120 2. x1 ) − 9f (t0 . The Euler’s method is called a one step method because the approximation t point tk only involves information from one previous point. for predicting x4 h [55f (t3 . the first equation is used to predict the value x4 and the predicted value is then used in the latter.6) Equations like Eq. (E. There exists several BDF formulas. The task is to solve initial value problem: dx = f (t. x1 )] 24 (E. Numerical ODE solution using the Backward Difference Formula. xk ) h or xk+1 = xk + hf (t. + 1 m m (E.4) The weakness of the Euler’s method is that the step needs to be small in order to obtain acceptable accuracy (Burden & Faires 1989). x3 ) + −5f (t2 . for non stiff systems. dt where xk denotes a numerical approximation to xk and h denotes the length of the interval. Methods using approximations k previous values are called k step methods or kth order methods. An example of a predictor-corrector scheme can be a fourth order Adams-Bashford. xk ).3) The well known Euler method is to divide into subintervals and approximate the derivative dx with difference quotient (xk+1 − xk )/h. x2 ) + f (t1 . Adams predictor-corrector scheme is a multi step method. Summarizing..6) are known as implicit formulas since x4 occurs on both sides. o x4 = x 3 + (1) 3. x0 )] 24 (E.5) (0) then the predicted value x4 is used in a three order Adams-Moulton formula x4 = x 3 + (0) h (0) [9f (t4 .(E. This leads to the difference equation xk+1 − xk = f (tk .

1 shows an overview of the filtering methods. 1 m m xk+1 m≤6 E. In analogy with ordinary NewtonRapson methods for optimization. Figure E. quasi-Newton methods seek a minimum of the non-linear objective function.. In this section this will be denoted by F(θ) i. the likelihood function − ln(L(θ . YN )).8) xk+1 + · · · + (E.e. As m increases the local truncation error decreases.12).9) where is the backward difference operator and D is the differentiation operator. the numerical task is to solve a non-linear zero point problem.e.(4. 0 = −hf (xk+1 ) + xk+1 + 1 2 2 xk+1 + 1 2 2 xk+1 + · · · + 1 m m xk+1 m ≤ 6 (E. Subsampling Linear Equation Solved analytically Predictor−Corrector scheme Solution of a nonliear zero point equation Figure E. often implemented by using ”Newton-like” formulas. or hf (xk+1 ) = i.3 Optimization routine Filtering methods 121 Linear Model Nonlinear Model Subsampling approx.1: Overview of the filtering methods in the program CTSM.E. o Hence. define the short term notation . Adams medhod BDF 1st order Taylor approx.3 Optimization routine The optimization method used in CTSM is a quasi-Newton method based on the BFGS updating formula and a soft line search algorithm to solve the non-linear optimization problem Eq. but the stability properties become worse (Dahlquist & Bj¨rck 1988).

13) j j min min A proper choices of Lagrange multiplier λ. and the limiting values θj and θj the penalty function has no influence of the estimation.e. 2003) for mathematical formulas. i. F(θ i + δ) = F(θ i ) + ∂ F(θ) ∂(θ) δ + o(θ). θ min .10) As well as the Newton-Rapson. not on the boundary. min max θj < θ j < θ j . θ max ) to the objective j j function F(θ) F(θ) = F(θ) + P (λ. .11) the partial derivative in Eq.122 F(θ) = − ln(L(θ . θ. θ max ). the quasi-Newton is based on the Taylor expansion of first order of the gradient F(θ).e. However. The gradient is approximated by finite difference approximation and the Hessian is updated with the BFGS updating formula. i.12) The traditional way of attacking this task is to to defining a new objective function F(θ) by adding a penalty function P (λ. θ. Thus the constrains must be defined such that the optimum parameter values is in between i... θ min . (E. (E. (E. (E.e. YN )) The minimum is found where the gradient is zero. the penalty function will force the finite difference derivative to increase when θj is close to one of the limits. θ=θ i (E. The optimization routine is a routine which finds minima within the limited area.. see (Kristensen et al. F(θ) = 0.11) is the Hessian.

Appendix F Stiff systems .

(Montgomery & Runger 2002) state that if the condition number is less than 100 the system is non-stiff whereas it stars to show stiffness characteristics when the condition number exceeds 100. The phenomenon of stiffness is difficult to define in precise mathematical turns in a satisfactory manner (Lambert 1991). Broadly speaking this means that there are different time scales in the system. the Jacobian ∂f /∂x can be calculated and the characteristics of the Jacobian can be studied. applied to a system with any initial conditions. A frequently used statement is: [S1]: Stiffness occurs when stability requirements. In (Lambert 1991) there is shown that none of these state ments quite cover the phenomena of stiffness. Another statement is: [S2]: Stiffness occurs when some components of the solution decay much more rapidly than others. is forced to use in a certain interval of integration a step-length which is excessively small in relation to the smoothness of the exact solution in that interval. Frequently the ratio λmax /λmin is called the matrix condition number (Montgomery & Runger 2002). For more about stiff systems see . A frequently used definition is [S3]: A linear constant coefficient system is stiff if all of its eigenvalues have negative real part and the stiffness ratio is large. In non-linear systems.124 F. Stiffness has to do with numerical stabilities and step-lengths. rather than those of accuracy constrain the step-length. Furthermore. In (Lambert 1991) the following definition is used [S4]: If a numerical method with a finite region of absolute stability.1 Introduction When a system consists of more than one first order differential equations the possibility of stiffens arises. then the system is said to be stiff in that interval. The stiffness ratio is defined as λmax /λmin if the eigenvalues are Real (as in this project).

Consider system x1 x2 = = −2x1 + 1x2 998x1 − 999x2 x1 (0) = 1 x2 (0) = 1 125 (F. A first order Euler yields xk+1 = (I − Ch)xk = (I − Ch)n+1 x0 (F. a general forward equation would demand a step size h 1/1000 for the method to be stable.7) . or h< 2 λmax (F.1) A solution to this equation is: x1 x2 = = e−t + 1e−1000t e −t (F. Note that the penalty for the stability of the implicit methods is that the inverse of a matrix must be found at each step.6) where λmax is largest eigenvalue of the matrix C.2) (F.1 Introduction (Lambert 1991). thus xn is bounded as n → ∞ only if the largest eigenvalue of (I − Ch) is less than 1. In general for a set of linear differential equations: dx = −Cx dt x(t0 ) = c (F.8) if the eigenvalues of C are λ the the eigenvalues of (I + Ch)−1 are (1 + λh)−1 which has magnitude less than h for all h. However. thus the method is stable for all step sizes h. (F.F. This explains why implicit methods are desirable option when the system is stiff.4) where C is a positive definite matrix. Implicit differences is xk+1 = xk − hC xk+1 or xk+1 = (I + Ch)−1 xk (F.5) A matrix An tends to zero as n → ∞ only if the largest eigenvalue of A has magnitude less then unity.3) − 998e −1000t The e−1000 term is completely negligible in determining the values of x1 and x2 as soon as one is away from the origin.

The largest is 100 times the larger than the smallest and according to (Montgomery & Runger 2002) then the system begins to behave stiff. The linear approximation (a part of the Jacobian) to be considered is the partial drievetive with respect to the state variables in the state space model: A= which is  ∂f ∂xt (F.05 to 5. which succeeded to accomplish. Figure F.θ    −pdd φ(Ts )Ψ(N ) −pdd Ts φ(Ts )Ψ (N )   −pdd Ts φ (Ts )Ψ(N ) − c P φ (Ts )     0 −pdd Ts φ(Ts )Ψ (N )   0 0 −a 0 0 0 0 0             −(f + k1 ) f 0 −k2 (F.t=tj .u=uj . −(f + k1 ) and −k2 are constants which values varies from 0. see Table 1 in Paper [B].9) x=xj|j−1 . In the transforming period then there is little snow left to melt and N converges to zero the derivative alters from being 0 to about 80 .126 F. Furthermore. it is also stiff with respect to the stiffness ratio as in [S3].2 The stiffness of the non-linear system in Paper [B] The non-linear system in Paper [B] is a stiff system. and to achieve a stable solution it was necessary to use an implicit method for ODE solver as described in Section E.2 Furthermore. In order to achieve a solution at all.2 shows its derivative Φ (N ) When there is enough snow to melt the function −pdd Ts φ(Ts )Ψ (N ) is zero and the system is singular.1 shows the threshold function for the snow container Φ(N ) and Figure F.10) The matrix is a lower diagonal matrix and thus the eigenvalues are the values on the diagonal. The system is stiff in that sense that the method controls the convergence. The values −a. the system swings between being singular to being stiff to being singular again which is a real computational challenge.

depending on the value of the temperature T and then the derivative becomes zero.04 0.8 0.02 0.2 0 0 0.01 0.03 0. However. During the optimization the numerical routine uses a singularity route or a non-singularity routine depending on the situation.2 The stiffness of the non-linear system in Paper [B] 127 1 0.5 0.4 0. P si(N ) steep to secure nonnegative values in the snow container.6 0.01 0. It was necessary to have the threshold function for snow.2: The derivative of the threshold function for snow.6 0.1 0.04 0. the steeper the threshold .06 Figure F. or even larger during the optimization procedure.05 0.03 0.4 0.1: The threshold function for snow Ψ(N ) = 100 exp(−100 exp(−200N )). In the shifting phase some eigenvalues can be very small. 100 80 60 40 20 0 0 0.06 Figure F.3 0.6 0. Hence.8 0.02 0. resulting in a large stiffness ration.2 0 0 1 0. the eigenvalue alters from being 0 to being about 4.2 0.05 0.4 0.F.

.128 value. the larger is its derivative. resulting in the stiffer system.

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26 explanatory variable. 65–67 Euler. 40 Archimedes. 22 condition number. 55 ARX. 10. 24. 20 eigenvalues. 2. 45. 26. 119 FIR. 20 ARMAX. 25 Chezy. 12. 26–28 Egypt. 22 anchor ice. 19 conceptual models. 28 discharge.Index Bernoulli. 120 Adams-Moulton. 22. 59. 31 CTSM. 23. 29. 42 distributed models. 10 overland. 62 base flow. 21 Chow. 22 distributed routing. 12. 62 backwater. 12. 20 estimation. 24 continuity equation. 20 flow routing. 27 BDF formula. 124 conditional parametric model. 22 direct runoff. 21 Darcy. 9. 55 flow excess. 20 Ampt. 22. 35. 22 finite differenc. 61 conservation of mass. 21 Adams-Bashford. 21. 120 agricultural evolution. 28 lumped. 28 distributed. 2. 23 routing. 32 basin lag time. 120 black box model. 23. 49. 22. 22. 23 flow of water. 9. 10. 65 Boussinesq. 27 excess rainfall. 22 subsurface. 26. 9. 21 data observed. 31 effective rainfall. 125 energy. 42 bandwidth. 28 . 21 evaporation. 65 catchment. 22 calibration. 61 Fair. 10. 28. 117 Dalton. 2. 5. 4. 11. 30 civilization. 21 Brater.

39 Implicit differences. 20 Green. 10. 124 Kalman filter. 42 icing. 66 input-output. 10 white box. 21. 66 groundwater. 65. 46. 43 ice reduction. 25. 22.INDEX fluid resistance. 22. 119 . 65. 22 lumped flow routing. 29. 65 white box . 12. 3. 22 grey box. 27 hydrolgy. 4. 51. 21 fluid flow. 29 Navier. 22. 55 Kelvin. 12. 22 lag time. 125 frazil. 32 Hatch. 48. 21 force pump. 22. 25 hydropower plant. 22 Hazen. 28 hydrograph. 12. 50 Kalman gain. 22 Muskingum method. 28 hydrologic system. 7 ice. 24 hydrologic systems. 32 inter-modulation distortion. 26 Mesopotamia. 125 impulse response function. 59 Kirchoff. 22 Hursh. 22 irrigation. 23. 25. 21 non-linear. 27 Leonardo da Vinci. 22 McCuen. 30. 40 ice corrupted. 2 hydrological data. 22 grey box model. 29 linear model. 53. 20 model black box. 12. 6. 56 inertia. 21 level pool method. 47. 28 135 Manning. 23. 65 black box. 47 Linsley. 10. 51 Ito process. 2. 30 linear system. 118 McCarthy. 19. 22 Hoover. 27 maximum likelihood. 40 frequency multiplication. 2. 22. 22 distributed. 48 interflow. 21 Kohler. 21 gamma distribution. 53. 22 laws. 45 Muskingum. 21 mass balance. 45. 10. 26. 21 kernel. 21 infiltration. 47. 1. 52 Jacobian. 9. 30 Greeks. 45. 12. 12. 22 Horton. 48 Froude. 21 Newton. 119 linear reservoir. 20 Ito integral. 22 hydraulic routing. 33 hydrology. 48 grey box model. 12 hydrologic routing. 22 Lowdermilk. 45 conceptual. 20 forward equation. 29 lumped routing. 50. 49 non-linear model.

25 subsurface flow. 26 time of concentration. 4. 35 pressure. 65 SETAR. 56 transpiration. 23 Palissy. 12 unit hydrograph. 118. 9. 119 ODE solver. 119 smoother. 12. 22. 22 varying-coefficient models. 54 stiff system. 57 threshold function. 23 permeability. 5. 30 storatge. 29 runoff. 21 optimization. 119 overland flow. 22 singularity. 48 surface runoff. 22. 21 percolate. 28 excess. 22 linear. 22. 21 precipitation. 11 streamflow. 6. 21 routing. 29 lumped. 23 INDEX Saint Venant. 26. 21 SDE. 57 sewage system. 28 distributed. 22 Perrault. 54 state space models. 28 surface. 26 direct. 33. 26 rain gauge. 34 Nipher. 23 subsurface water. 10. 27 tipping bucket. 53. 55 stationary process. 9–11 constant. 47. 23 . 32 superposition. 26 Reynolds. 22 retain. 25. 28 hydrologic. 50 stochastic differential equations. 10. 58 state space model. 21 parameter estimation. 30 response function. 33.136 non-linear systems. 48. 5. 3. 61 vegetation. 21 quickflow. 59 smoothing. 21 Poiseulle. 21 storage. 21 Saint-Venant equations. 10. 38 regulation curve. 10 sewer. 48 Numerical integration. 119 open channel. 49. 34 transfer function. 34 rainfall effective. 123 stochastic differential equation. 48 Pascal. 2. 23 threshold. 22. 21 risk assessment. 21 Sherman. 12. 7 reservoir. 26 rainfall runoff. 4 time base. 31 sanitation. 31 hydraulic. 30. 26 rating curve. 33 tipping bucket. 23. 9. 55. 7 Romans. 48 Stokes. 21 pipe. 28 linear reservoir.

45. 21 flow of. 65 white noise. 21 wheel. 20 resources. 49 Wiener process. 21 white box model. 21 water. 4. 9. 8 Zoch. 25–27 waves. 12. 12. 19 transported. 1. 19 water shortage. 22 137 . 7.INDEX viscosity. 20 water clock. 52 Yevjevich. 20 water resources. 8 watershed. 3. 46. 49. 20. 21 Weisbach.