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We show that the recently introduced two-field flux-balanced Hasegawa-Wakatani (BHW) model captures the key features of drift-wave turbulent transport mediated by zonal flows observed in more complete and accurate gyrokinetic simulations, such as the existence of a nonlinear upshift of the threshold for drift wave turbulence driven transport, often called the Dimits shift, as well as non-local transport with avalanche bursts and solitary propagating structures. Because of the approximations made in the BHW model, these observations are made for the particle flux instead of the heat flux more commonly studied in ion temperature gradient (ITG) driven turbulence in fluid or gyrokinetic codes. Many of these features are not seen in other Hasegawa-Wakatani models, which confirms the critical role of the electron dynamics parallel to the magnetic field lines. To address questions regarding the role of boundary conditions on the drift-wave zonal flow dynamics, we apply our model to both a channel domain geometry and the more typical doubly periodic geometry. We only observe strong soliton-like solutions in the particle flux for the channel geometry, in the vicinity of the boundaries, where strong velocity shear and density gradients are generated which are absent in the doubly periodic simulations. Changing the aspect ratio of the simulation domain also has a significant effect. In domains which are elongated in the radial direction, more complex multiscale dynamics takes place, with multiple zonal jets interacting with each other, and large scale avalanches., Comment: 24 pages, 11 figures

Recent laboratory experiments of Bolles et al. (2019) demonstrate that an abrupt change in bottom topography can trigger anomalous statistics in randomized surface waves. Motivated by these observations, Majda et al. (2019) developed a theoretical framework, based on deterministic and statistical analysis of the truncated Korteweg-de Vries (TKdV) system, that successfully captures key qualitative features of the experiments, including the robust emergence of anomalous statistics and heightened skewness in the outgoing wavefield. Here, we extend these parallel experimental and modeling efforts with several new findings that have resulted from a synergetic interaction between the two. By precisely relating model parameters to physical ones, we calibrate the model inverse temperature to the specific conditions present in the experiments, thereby permitting a quantitative comparison. We find theoretically predicted distributions of surface displacement to match the experimental measurements with surprising detail. Prompted by the presence of surface slope in the TKdV Hamiltonian, we present new experimental measurements on surface slope statistics and compare them to model predictions. Analysis of some deterministic trajectories of TKdV elucidates the experimental length and time scales required for the statistical transition to a skewed state. Finally, the theory predicts a peculiar relationship between the outgoing displacement skewness and the change in slope variance, specifically how their ratio depends on the wave amplitude and depth ratio. New experimental measurements confirm this prediction in spectacular fashion.

A new strategy is presented to explain the creation and persistence of zonal flows widely observed in plasma edge turbulence. The core physics in the edge regime of the magnetic-fusion tokamaks can be described qualitatively by the one-state modified Hasegawa-Mima (MHM) model, which creates enhanced zonal flows and more physically relevant features in comparison with the familiar Charney-Hasegawa-Mima (CHM) model for both plasma and geophysical flows. The generation mechanism of zonal jets is displayed from the secondary instability analysis via nonlinear interactions with a background base state. Strong exponential growth in the zonal modes is induced due to a non-zonal drift wave base state in the MHM model, while stabilizing damping effect is shown with a zonal flow base state. Together with the selective decay effect from the dissipation, the secondary instability offers a complete characterization of the convergence process to the purely zonal structure. Direct numerical simulations with and without dissipation are carried out to confirm the instability theory. It shows clearly the emergence of a dominant zonal flow from pure non-zonal drift waves with small perturbation in the initial configuration. In comparison, the CHM model does not create instability in the zonal modes and usually converges to homogeneous turbulence., Comment: 16 pages, 9 figures

Nonlinear dynamical stochastic models are ubiquitous in different areas. Excitable media models are typical examples with large state dimensions. Their statistical properties are often of great interest but are also very challenging to compute. In this article, a theoretical framework to understand the spatial localization for a large class of stochastically coupled nonlinear systems in high dimensions is developed. Rigorous mathematical theories show the covariance decay behavior due to both local and nonlocal effects, which result from the diffusion and the mean field interaction, respectively. The analysis is based on a comparison with an appropriate linear surrogate model, of which the covariance propagation can be computed explicitly. Two important applications of these theoretical results are discussed. They are the spatial averaging strategy for efficiently sampling the covariance matrix and the localization technique in data assimilation. Test examples of a surrogate linear model and a stochastically coupled FitzHugh-Nagumo model for excitable media are adopted to validate the theoretical results. The latter is also used for a systematical study of the spatial averaging strategy in efficiently sampling the covariance matrix in different dynamical regimes., Comment: 34 pages, 9 figures

We investigate the drift wave -- zonal flow dynamics in a shearless slab geometry with the new flux-balanced Hasegawa-Wakatani model. As in previous Hasegawa-Wakatani models, we observe a sharp transition from a turbulence dominated regime to a zonal jet dominated regime as we decrease the plasma resistivity. However, unlike previous models, zonal structures are always present in the flux-balanced model, even for high resistivity, and strongly reduce the level of particle and vorticity flux. The more robust zonal jets also have a higher variability than in previous models, which is further enhanced when the computational domain is chosen to be elongated in the radial direction. In these cases, we observe complex multi-scale dynamics, with multiple jets interacting with one another, and intermittent bursts. We present a detailed statistical analysis which highlights how the changes in the aspect ratio of the computational domain affect the third-order statistical moments, and thus modify the turbulent dynamics., Comment: 20 pages, 16 figures

We propose a new reduced fluid model for the study of the drift wave -- zonal flow dynamics in magnetically confined plasmas. Our model can be viewed as an extension of the classic Hasegawa-Wakatani (HW) model, and is based on an improved treatment of the electron dynamics parallel to the field lines, to guarantee a balanced electron flux on the magnetic surfaces. Our flux-balanced HW (bHW) model contains the same drift-wave instability as previous HW models, but unlike these models, it converges exactly to the modified Hasegawa-Mima model in the collisionless limit. We rely on direct numerical simulations to illustrate some of the key features of the bHW model, such as the enhanced variability in the turbulent fluctuations, and the existence of stronger and more turbulent zonal jets than the jets observed in other HW models, especially for high plasma resistivity. Our simulations also highlight the crucial role of the feedback of the third-order statistical moments in achieving a statistical equilibrium with strong zonal structures. Finally, we investigate the changes in the observed dynamics when more general dissipation effects are included, and in particular when we include the reduced model for ion Landau damping originally proposed by Wakatani and Hasegawa., Comment: 23 pages, 9 figures

Extreme events and the heavy tail distributions driven by them are ubiquitous in various scientific, engineering and financial research. They are typically associated with stochastic instability caused by hidden unresolved processes. Previous studies have shown that such instability can be modeled by a stochastic damping in conditional Gaussian models. However, these results are mostly obtained through numerical experiments, while a rigorous understanding of the underlying mechanism is sorely lacking. This paper contributes to this issue by establishing a theoretical framework, in which the tail density of conditional Gaussian models can be rigorously determined. In rough words, we show that if the stochastic damping takes negative values, the tail is polynomial; if the stochastic damping is nonnegative but takes value zero, the tail is between exponential and Gaussian. The proof is established by constructing a novel, product-type Lyapunov function, where a Feynman-Kac formula is applied. The same framework also leads to a non-asymptotic large deviation bound for long-time averaging processes., Comment: 34 pages, 4 figures

Turbulent dynamical systems characterized by both a high-dimensional phase space and a large number of instabilities are ubiquitous among many complex systems in science and engineering. The existence of a strange attractor in the turbulent systems containing a large number of positive Lyapunov exponents results in a rapid growth of small uncertainties, requiring naturally a probabilistic characterization for the evolution of the turbulent system. Uncertainty quantification in turbulent dynamical systems is a grand challenge where the goal is to obtain statistical estimates such as the change in mean and variance for key physical quantities in their nonlinear responses to changes in external forcing parameters or uncertain initial data. One central issue in contemporary research is the development of a systematic methodology that can recover the crucial features of the natural system in statistical equilibrium (model fidelity) and improve the imperfect model prediction skill in response to various external perturbations (model sensitivity). A general mathematical framework to construct statistically accurate reduced-order models that have skill in capturing the statistical variability in the principal directions with largest energy of a general class of damped and forced complex turbulent dynamical systems is discussed here. The methods are developed under a universal class of turbulent dynamical systems with quadratic nonlinearity that is representative in many applications in applied mathematics and engineering. The validity of general framework of reduced-order models is demonstrated on instructive stochastic triad models. Recent applications to two-layer baroclinic turbulence in the atmosphere and ocean with combinations of turbulent jets and vortices are also surveyed., Comment: 43 pages, 18 figures

Solving the Fokker-Planck equation for high-dimensional complex turbulent dynamical systems is an important and practical issue. However, most traditional methods suffer from the curse of dimensionality and have difficulties in capturing the fat tailed highly intermittent probability density functions (PDFs) of complex systems in turbulence, neuroscience and excitable media. In this article, efficient statistically accurate algorithms are developed for solving both the transient and the equilibrium solutions of Fokker-Planck equations associated with high-dimensional nonlinear turbulent dynamical systems with conditional Gaussian structures. The algorithms involve a hybrid strategy that requires only a small number of ensembles. Here, a conditional Gaussian mixture in a high-dimensional subspace via an extremely efficient parametric method is combined with a judicious non-parametric Gaussian kernel density estimation in the remaining low-dimensional subspace. Particularly, the parametric method provides closed analytical formulae for determining the conditional Gaussian distributions in the high-dimensional subspace and is therefore computationally efficient and accurate. The full non-Gaussian PDF of the system is then given by a Gaussian mixture. Different from the traditional particle methods, each conditional Gaussian distribution here covers a significant portion of the high-dimensional PDF. Therefore a small number of ensembles is sufficient to recover the full PDF, which overcomes the curse of dimensionality. Notably, the mixture distribution has a significant skill in capturing the transient behavior with fat tails of the high-dimensional non-Gaussian PDFs, and this facilitates the algorithms in accurately describing the intermittency and extreme events in complex turbulent systems.

This article presents a rigorous analysis for efficient statistically accurate algorithms for solving the Fokker-Planck equations associated with high-dimensional nonlinear turbulent dynamical systems with conditional Gaussian structures. Despite the conditional Gaussianity, these nonlinear systems contain many strong non-Gaussian features such as intermittency and fat-tailed probability density functions (PDFs). The algorithms involve a hybrid strategy that requires only a small number of samples $L$ to capture both the transient and the equilibrium non-Gaussian PDFs with high accuracy. Here, a conditional Gaussian mixture in a high-dimensional subspace via an extremely efficient parametric method is combined with a judicious Gaussian kernel density estimation in the remaining low-dimensional subspace. Rigorous analysis shows that the mean integrated squared error in the recovered PDFs in the high-dimensional subspace is bounded by the inverse square root of the determinant of the conditional covariance, where the conditional covariance is completely determined by the underlying dynamics and is independent of $L$. This is fundamentally different from a direct application of kernel methods to solve the full PDF, where $L$ needs to increase exponentially with the dimension of the system and the bandwidth shrinks. A detailed comparison between different methods justifies that the efficient statistically accurate algorithms are able to overcome the curse of dimensionality. It is also shown with mathematical rigour that these algorithms are robust in long time provided that the system is controllable and stochastically stable. Particularly, dynamical systems with energy-conserving quadratic nonlinearity as in many geophysical and engineering turbulence are proved to have these properties., Comment: 35 pages, 8 figures

Predicting Arctic sea ice extent is a notoriously difficult forecasting problem, even for lead times as short as one month. Motivated by Arctic intraannual variability phenomena such as reemergence of sea surface temperature and sea ice anomalies, we use a prediction approach for sea ice anomalies based on analog forecasting. Traditional analog forecasting relies on identifying a single analog in a historical record, usually by minimizing Euclidean distance, and forming a forecast from the analog's historical trajectory. Here an ensemble of analogs are used to make forecasts, where the ensemble weights are determined by a dynamics-adapted similarity kernel, which takes into account the nonlinear geometry on the underlying data manifold. We apply this method for forecasting pan-Arctic and regional sea ice area and volume anomalies from multi-century climate model data, and in many cases find improvement over the benchmark damped persistence forecast. Examples of success include the 3--6 month lead time prediction of pan-Arctic area, the winter sea ice area prediction of some marginal ice zone seas, and the 3--12 month lead time prediction of sea ice volume anomalies in many central Arctic basins. We discuss possible connections between KAF success and sea ice reemergence, and find KAF to be successful in regions and seasons exhibiting high interannual variability.

Contemporary data assimilation often involves millions of prediction variables. The classical Kalman filter is no longer computationally feasible in such a high dimensional context. This problem can often be resolved by exploiting the underlying multiscale structure, applying the full Kalman filtering procedures only to the large scale vari- ables, and estimating the small scale variables with proper statistical strategies, including multiplicative inflation, representation model error in the observations, and crude localization. The resulting two-scale reduced filters can have close to optimal numerical filtering skill based on previous numerical evidence. Yet, no rigorous explanation exists for this success, because these modifications create unavoidable bias and model error. This paper contributes to this issue by establishing a new error analysis framework for two different reduced random Kalman filters, valid independent of the large dimension. The first part of our results examines the fidelity of the covariance estimators, which is essential for accurate uncertainty quantification. In a simplified setting, this is demonstrated by showing the true error covariance is dominated by its estimators. In general settings, the Mahalanobis error and its intrinsic dissipation can indicate covariance fidelity. The second part develops upper bounds for the covariance estimators by comparing with proper Kalman filters. Combining both results, the classical tools for Kalman filters can be used as a-priori performance criteria for the reduced filters. In applications, these criteria guarantee the reduced filters are robust, and accurate for small noise systems. They also shed light on how to tune the reduced filters for stochastic turbulence., Comment: 42 pages, submitted to SIAM JUQ

Contemporary data assimilation often involves more than a million prediction variables. Ensemble Kalman filters (EnKF) have been developed by geoscientists. They are successful indispensable tools in science and engineering, because they allow for computationally cheap low ensemble state approximation for extremely large dimensional turbulent dynamical systems. The practical finite ensemble filter like EnKF necessarily involve modifications such as covariance inflation and localization, and it is a genuine mystery why they perform so well with small ensemble sizes in large dimensions. This paper provides the first rigorous stochastic analysis of the accuracy and covariance fidelity of EnKF in the practical regime where the ensemble size is much smaller than the large ambient dimension for EnKFs with random coefficients. A challenging issue overcome here is that EnKF in huge dimensions introduces unavoidable bias and model errors which need to be controlled and estimated., Comment: 41 pages, all comments are welcomed

A new model is derived and analyzed for tropical-extratropical interactions involving the Madden-Julian oscillation (MJO). The model combines (i) the tropical dynamics of the MJO and equatorial baroclinic waves and (ii) the dynamics of barotropic Rossby waves with significant extratropical structure, and the combined system has a conserved energy. The method of multiscale asymptotics is applied to systematically derive a system of ordinary differential equations (ODEs) for three-wave resonant interactions. Two novel features are (i) a degenerate auxiliary problem with overdetermined equations due to a compatibility condition (meridional geostrophic balance) and (ii) cubic self-interaction terms that are not typically found in three-wave resonance ODEs. Several examples illustrate applications to MJO initiation and termination, including cases of (i) the MJO, equatorial baroclinic Rossby waves, and barotropic Rossby waves interacting, and (ii) the MJO, baroclinic Kelvin waves, and barotropic Rossby waves interacting. Resonance with the Kelvin wave is not possible here if only dry variables are considered, but it occurs in the moist model here through interactions with water vapor and convective activity.

The North Pacific exhibits patterns of low-frequency variability on the intra-annual to decadal time scales, which manifest themselves in both model data and the observational record, and prediction of such low-frequency modes of variability is of great interest to the community. While parametric models, such as stationary and non-stationary autoregressive models, possibly including external factors, may perform well in a data-fitting setting, they may perform poorly in a prediction setting. Ensemble analog forecasting, which relies on the historical record to provide estimates of the future based on past trajectories of those states similar to the initial state of interest, provides a promising, nonparametric approach to forecasting that makes no assumptions on the underlying dynamics or its statistics. We apply such forecasting to low-frequency modes of variability for the North Pacific sea surface temperature and sea ice concentration fields extracted through Nonlinear Laplacian Spectral Analysis. We find such methods may outperform parametric methods and simple persistence with increased predictive skill., Comment: submitted to Climate Dynamics

The Ensemble Kalman filter and Ensemble square root filters are data assimilation methods used to combine high dimensional nonlinear models with observed data. These methods have proved to be indispensable tools in science and engineering as they allow computationally cheap, low dimensional ensemble state approximation for extremely high dimensional turbulent forecast models. From a theoretical perspective, these methods are poorly understood, with the exception of a recently established but still incomplete nonlinear stability theory. Moreover, recent numerical and theoretical studies of catastrophic filter divergence have indicated that stability is a genuine mathematical concern and can not be taken for granted in implementation. In this article we propose a simple modification of ensemble based methods which resolves these stability issues entirely. The method involves a new type of adaptive covariance inflation, which comes with minimal additional cost. We develop a complete nonlinear stability theory for the adaptive method, yielding Lyapunov functions and geometric ergodicity under weak assumptions. We present numerical evidence which suggests the adaptive methods have improved accuracy over standard methods and completely eliminate catastrophic filter divergence. This enhanced stability allows for the use of extremely cheap, unstable forecast integrators, which would otherwise lead to widespread filter malfunction., Comment: 34 pages. 4 figures

In this article we expand and develop the authors' recent proposed methodology for efficient stochastic superparameterization (SP) algorithms for geophysical turbulence. Geophysical turbulence is characterized by significant intermittent cascades of energy from the unresolved to the resolved scales resulting in complex patterns of waves, jets, and vortices. Conventional SP simulates large scale dynamics on a coarse grid in a physical domain, and couples these dynamics to high-resolution simulations on periodic domains embedded in the coarse grid. Stochastic SP replaces the nonlinear, deterministic eddy equations on periodic embedded domains by quasilinear stochastic approximations on formally infinite embedded domains. The result is a seamless algorithm which never uses a small scale grid and is far cheaper than conventional SP, but with significant success in difficult test problems. Various design choices in the algorithm are investigated in detail here, including decoupling the timescale of evolution on the embedded domains from the length of the time step used on the coarse grid, and sensitivity to certain assumed properties of the eddies (e.g. the shape of the assumed eddy energy spectrum). The different design choices are compared and contrasted on a stringent test suite for quasigeostrophic turbulence involving two-layer dynamics on a beta-plane forced by an imposed background shear. The algorithms developed are expected to be particularly useful in providing accurate and efficient stochastic parameterizations for use in ensemble-based state estimation and prediction.

We present a technique for spatiotemporal data analysis called nonlinear Laplacian spectral analysis (NLSA), which generalizes singular spectrum analysis (SSA) to take into account the nonlinear manifold structure of complex data sets. The key principle underlying NLSA is that the functions used to represent temporal patterns should exhibit a degree of smoothness on the nonlinear data manifold M; a constraint absent from classical SSA. NLSA enforces such a notion of smoothness by requiring that temporal patterns belong in low-dimensional Hilbert spaces V_l spanned by the leading l Laplace-Beltrami eigenfunctions on M. These eigenfunctions can be evaluated efficiently in high ambient-space dimensions using sparse graph-theoretic algorithms. Moreover, they provide orthonormal bases to expand a family of linear maps, whose singular value decomposition leads to sets of spatiotemporal patterns at progressively finer resolution on the data manifold. The Riemannian measure of M and an adaptive graph kernel width enhances the capability of NLSA to detect important nonlinear processes, including intermittency and rare events. The minimum dimension of V_l required to capture these features while avoiding overfitting is estimated here using spectral entropy criteria., Comment: 39 pages, 8 figures, invited paper under review in Statistical Analysis and Data Mining

Moist stratified turbulence is studied in a two-dimensional Boussinesq system influenced by condensation and evaporation. The problem is set in a periodic domain and employs simple evaporation and condensation schemes, wherein both the processes push parcels towards saturation. Numerical simulations demonstrate the emergence of a moist turbulent state consisting of ordered structures with a clear power-law type spectral scaling from initially spatially uncorrelated conditions. An asymptotic analysis in the limit of rapid condensation and strong stratification shows that, for initial conditions with enough water substance to saturate the domain, the equations support a straightforward state of moist balance characterized by a hydrostatic, saturated, vertically sheared horizontal flow (VSHF). For such initial conditions, by means of long time numerical simulations, the emergence of moist balance is verified. Specifically, starting from uncorrelated data, subsequent to the development of a moist turbulent state, the system experiences a rather abrupt transition to a regime which is close to saturation and dominated by a strong VSHF. On the other hand, initial conditions which do not have enough water substance to saturate the domain, do not attain moist balance. Rather, the system remains in a turbulent state and oscillates about moist balance. Even though balance is not achieved with these general initial conditions, the time scale of oscillation about moist balance is much larger than the imposed time scale of condensation and evaporation, thus indicating a distinct dominant slow component in the moist stratified two-dimensional turbulent system., Comment: 23 pages. 9 figures

The use of linear response theory for forced dissipative stochastic dynamical systems through the fluctuation dissipation theorem is an attractive way to study climate change systematically among other applications. Here, a mathematically rigorous justification of linear response theory for forced dissipative stochastic dynamical systems is developed. The main results are formulated in an abstract setting and apply to suitable systems, in finite and infinite dimensions, that are of interest in climate change science and other applications., Comment: Fixed font problem