Title: It Never Rains But It Pours: Modeling Mixed Discrete-Continuous Weather Phenomena
1It Never Rains But It PoursModeling Mixed
Discrete-Continuous Weather Phenomena
Based on research being conducted under Adrian E.
Raftery and Tilmann Gneiting
This work was supported by the DoD
Multidisciplinary University Research Initiative
(MURI) program administered by the Office of
Naval Research under Grant N00014-01-10745.
2Ensemble Forecasting
- Single forecast model is run multiple times with
different initial conditions - Ensemble mean tends to outperform individual
members - Spread-skill relationship spread of forecasts
tends to be correlated with magnitude of error - Model is underdispersive (not calibrated)
3Spread/Skill Plot
Spread max forecast min forecast Skill
abs(forecast mean observed)
4Ensemble Member Forecasts
48-hour forecasts for precipitation at 5pm Oct
20, 2003 From http//www.atmos.washington.edu/emm
5rt/ensemble.cgi
5Bayesian Model Averaging
- Weighted average of multiple models
- Weights determined by posterior probabilities of
models - Posterior probabilities given by how well each
member fits the training data - Weights, then, give an indication of the relative
usefulness of ensemble members
6BMA for ensembles
where
is the forecast from member i,
is the weight associated with member i, and
is the estimated distribution function for Y
given member i
Picture taken from Raftery, Balabdaoui, Gneiting,
and Polakowski (2003), Calibrated
MesoscaleShort-Range Ensemble Forecasting Using
Bayesian Model Averaging.
7The Trouble With Our Models
- Forecasts never predict zero artifact of
differential equations used to create forecasts - Observed wind speed is often zero
- Wind speed, even ignoring zeroes, is not normally
distributed
8What Wind Speed Looks Like
Wind Speed Histogram Several exceptionally
high values make it harder to see clearly
Wind Speed Histogram truncated to only go up to
fifty there is a spike at zero
Wind Speed Histogram without zeroes
9What Forecasts Look Like
Forecast histogram on left (all eight forecasts
have similar histograms) and observed histogram
on right even after removing zeroes from the
actual histogram, the shape is still not quite
right actual is more sharply skewed.
10The Problem With Reality
- As we saw, the histograms for forecasts do not
match the histogram for observations very well - Maximal observed value is 124.000
- Maximal values for each model
AVN CMCG Eta GASP JMA NGPS TCWB UKMO
44.591 54.566 44.722 51.732 51.829 45.383 45.125 49.243
11More Trouble With Reality
AVN CMCG Eta GASP JMA NGPS TCWB UKMO Y
AVN 1.000 0.826 0.845 0.797 0.795 0.783 0.731 0.840 0.417
CMCG 0.826 1.000 0.822 0.807 0.819 0.797 0.770 0.805 0.402
Eta 0.845 0.822 1.000 0.789 0.793 0.781 0.747 0.800 0.406
GASP 0.797 0.807 0.789 1.000 0.788 0.779 0.747 0.786 0.394
JMA 0.795 0.819 0.793 0.788 1.000 0.788 0.756 0.783 0.400
NGPS 0.783 0.797 0.781 0.779 0.788 1.000 0.757 0.779 0.388
TCWB 0.731 0.770 0.747 0.747 0.756 0.757 1.000 0.721 0.384
UKMO 0.840 0.805 0.800 0.786 0.783 0.779 0.721 1.000 0.415
Y 0.417 0.402 0.406 0.394 0.400 0.388 0.384 0.415 1.000
Pairwise correlations Y is observed value,
others are the various forecasts
12(No Transcript)
13Time Trends
Left - average observed wind speed per day Right
same, but smoothed to average over 3-week
interval
14Time Trend Troubles
- Higher winds in summer, lower in winter (note
that this appears to be an odd trait of the
northwest) - Need model to reflect seasonal patterns
- Would still like to just have a simple model
based on forecasts
15A Recap Of All The Things That Make Life
Interesting and Miserable
- Distribution not normal
- Time
- Forecasts not very highly corellated with
observations - Zeroes
16What to do about distributions?
- Model using another distribution Gammas and
Weibulls are popular models for windspeed - Can apply a transformation to the data
Left Root of forecast windspeed from model
1 Right Root of observed windspeed (excluding
zeroes for easier visualization)
17What to do about time?
- Rather than using all available data as training
set, only train on recent data - Trade-off between lower variance of estimates
with more data, and better picture of current
trends with less data - Previous research (on temperature and pressure)
indicates 40-day window of training data seems to
give a good balance
18What to do about the forecasts?
- Were not making the forecasts, just using them
- We can apply a bias-correction by performing a
linear regression of observed on forecasts (this
is commonly done in forecasting already) - We can see from our weight terms which models
perform better and which perform worse, and
report that to the folks making the forecasts - We can hope that the science of meteorology
continues to move forward as it has thus far
19What to do about zeroes?
- We need a model that includes a point mass at
zero - Two main possibilities
- We could model a weighted average of eight
distributions, each of which is a normal plus a
point mass at zero - Or, we could first model probability of zero or
non-zero, then, conditioned on non-zero, the
weighted average of eight normals - We will pursue the second option for now
20So, lets get to it then
- Probability of zero can be modeled by a logistic
regression on the eight forecasts - Then, the weighted average of normals can be
determined by the EM algorithm - Assume each normal has the bias-corrected
forecast as its mean, and has a constant variance - Alternate between predicting membership based on
weights and variances, and weights and variances
based on membership - Make sure to also include probability of being
non-zero when evaluating our functions
21Lets try out a simple test case first
- Generate a sample of 100,000 ordered triples
(x1, x2, y), x1 uniform over 30 to 50, x2 uniform
over 10 to 20 - logistic regression coefficients of a10, b1-.2,
b2-.6 - with probability determined by logistic
regression, y0 - otherwise, with probability .6, y is normal
around x1 with sd of 1, and with probability .4
is normal around x2 with sd of 3.14
22How did we do?
- Predicted logisitic coefficients of a10.257,
b1-0.206, b2-0.600 - weights of 0.598 and 0.402
- sds of 1.000 and 3.414
- Seems to be able to model pretty well under ideal
artificial conditions - So now lets try the real thing
23How do we do?
RMSE from creating forecasts for 33 days, using
40 day training periods black is without
modeling zeroes, red is with modeling zeroes
24Iterations to convergence again, black is without
modeling zeroes, red is with
25How do we feel about this?
- Including modeling of zeroes doesnt appear to
help our error much (p0.4734), which is somewhat
disappointing - However, we get our model much faster
(p2.104e-08), which is a concern when having to
do a lot of these
26What We Would Have Done Next Had We Not Been
Distracted By More Pressing Matters
- Consider fitting different distributions rather
than using a transformation - Fit a model with point masses at zero for each
individual component - Try additional bias corrections
- Compare results for different training windows
- Investigate importance of starting values in EM
algorithm - Evaluate performances of prediction intervals
rather than just prediction means
27Three Months Later
- In the distraction interim, precipitation data
became available - Precipitation forecasts tend to be better than
wind forecasts - Weather people tend to be more interested in
precipitation forecasts - And so, we have abandoned (for now) wind speed,
and are looking at precipitation instead
28How is rain different?
- Distribution doesnt look normal, even under
transformations - Models do predict zero, but we still see point
masses at zero
29Conditional Histograms
Observed given forecast from 1.5 to 4
Observed given forecast from 55 to 80
in .01
30Fitting Gammas
Shape Parameter Rate Parameter
Coef. Of Variation
31Somethings Not Quite Right
Sample Mean Estimated Mean
32At least something worked out nicely
Proportion of Zeroes
33And Now?
- First, find out whats going funny with our gamma
fitting - Then, try to come up with a way to do some sort
of gamma fitting in the EM algorithm - Then, look at all those things we wanted to look
at before