joint with David Tweed
One way the Azimuth Project can help save the planet is to get bright young students interested in ecology, climate science, green technology, and stuff like that. So, we are writing an article for Math Horizons, an American magazine for undergraduate math majors. This blog article is a draft of that. You can also see it in PDF form here.
We’d really like to hear your comments! There are severe limits on including more detail, since the article should be easy to read and short. So please don’t ask us to explain more stuff: we’re most interested to know if you sincerely don’t understand something, or feel that students would have trouble understanding something. For comparison, you can see sample Math Horizons articles here.
They look placid lapping against the beach on a calm day, but the oceans are actually quite dynamic. The ocean currents act as ‘conveyor belts’, transporting heat both vertically between the water’s surface and the depths and laterally from one area of the globe to another. This effect is so significant that the temperature and precipitation patterns can change dramatically when currents do.
For example: shortly after the last ice age, northern Europe experienced a shocking change in climate from 10,800 to 9,500 BC. At the start of this period temperatures plummeted in a matter of decades. It became 7° Celsius colder, and glaciers started forming in England! The cold spell lasted for over a thousand years, but it ended as suddenly as it had begun.
Why? The most popular theory is that that a huge lake in North America formed by melting glaciers burst its bank—and in a massive torrent lasting for years, the water from this lake rushed out to the northern Atlantic ocean. By floating atop the denser salt water, this fresh water blocked a major current: the Atlantic Meridional Overturning Circulation. This current brings warm water north and helps keep northern Europe warm. So, when iit shut down, northern Europe was plunged into a deep freeze.
Right now global warming is causing ice sheets in Greenland to melt and release fresh water into the North Atlantic. Could this shut down the Atlantic Meridional Overturning Circulation and make the climate of Northern Europe much colder? In 2010, Keller and Urban [KU] tackled this question using a simple climate model, historical data, probability theory, and lots of computing power. Their goal was to understand the spectrum of possible futures compatible with what we know today.
Let us look at some of the ideas underlying their work.
The earth’s physical behaviour, including the climate is far too complex to simulate from the bottom up using basic physical principles, at least for now. The most detailed models today can take days to run on very powerful computers. So to make reasonable predictions on a laptop in a tractable time-frame, geophysical modellers use some tricks.
First, it is possible to split geophysical phenomena into ‘boxes’ containing strongly related things. For example: atmospheric gases, particulate levels and clouds all affect each other strongly; likewise the heat content, currents and salinity of the oceans all interact strongly. However, the interactions between the atmosphere and the oceans are weaker, and we can approximately describe them using just a few settings, such as the amount of atmospheric CO2 entering or leaving the oceans. Clearly these interactions must be consistent—for example, the amount of CO2 leaving the atmosphere box must equal the amount entering the ocean box—but breaking a complicated system into parts lets different specialists focus on different aspects; then we can combine these parts and get an approximate model of entire planet. The box model used by Keller and Urban is shown in Figure 1.
Second, it turn out that simple but effective box models can be distilled from the complicated physics in terms of forcings and feedbacks. Essentially a forcing is a measured input to the system, such as solar radiation or CO2 released by burning fossil fuels. As an analogy, consider a child on a swing: the adult’s push every so often is a forcing. Similarly a feedback describes how the current ‘box variables’ influence future ones. In the swing analogy, one feedback is how the velocity will influence the future height. Specifying feedbacks typically uses knowledge of the detailed low-level physics to derive simple, tractable functional relationships between groups of large-scale observables, a bit like how we derive the physics of a gas by thinking about collisions of lots of particles.
However, it is often not feasible to get actual settings for the parameters in our model starting from first principles. In other words, often we can get the general form of the equations in our model, but they contain a lot of constants that we can estimate only by looking at historical data.
Suppose we have a box model that depends on some settings For example, in Keller and Urban’s model, is a list of 18 numbers. To keep things simple, suppose the settings are element of some finite set. Suppose we also have huge hard disc full of historical measurements, and we want to use this to find the best estimate of Because our data is full of ‘noise’ from other, unmodeled phenomena we generally cannot unambiguously deduce a single set of settings. Instead we have to look at things in terms of probabilities. More precisely, we need to study the probability that take some value given that the measurements take some value. Let’s call the measurements , and again let’s keep things simple by saying takes values in some finite set of possible measurements.
The probability that given that takes some value is called the conditional probability How can we compute this conditional probability? This is a somewhat tricky problem.
One thing we can more easily do is repeatedly run our model with randomly chosen settings and see what measurements it predicts. By doing this, we can compute the probability that given setting values the model predicts measurements This again is a conditional probability, but now it is called
This is not what we want: it’s backwards! But here Bayes’ rule comes to the rescue, relating what we want to what we can more easily compute:
Here is the probability that the settings take a specific value and similarly for Bayes’ rule is quite easy to prove, and it is actually a general rule that applies to any random variables, not just the settings and the measurements in our problem [Y]. It underpins most methods of figuring out hidden quantities from observed ones. For this reason, it is widely used in modern statistics and data analysis [K].
How does Bayes’ rule help us here? When we repeatedly run our model with randomly chosen settings, we have control over As mentioned, we can compute Finally, is independent of our choice of settings. So, we can use Bayes’ rule to compute up to a constant factor. And since probabilities must sum to 1, we can figure out this constant.
This lets us do many things. It lets us find the most likely values of the settings for our model, given our hard disc full of observed data. It also lets us find the probability that the settings lie within some set. This is important: if we’re facing the possibility of a climate disaster, we don’t just want to know the most likely outcome. We would like to know to know that with 95% probability, the outcome will lie in some range.
Let us look at an example much simpler than that considered by Keller and Urban. Suppose our measurements are real numbers related by
Here a real constant, is our ‘setting’, while is some ‘noise’: an independent Gaussian random variable for each time each with mean zero and some fixed standard deviation. Then the measurements will have roughly sinusoidal behavior but with irregularity added by the noise at each time step, as illustrated in Figure 2.
2. The example system: red are predicted measurements for a given value of the settings, green is another simulation for the same value and blue is a simulation for a slightly different
Note how there is no clear signal from either the curves or the differences that the green curve is at the correct setting value while the blue one has the wrong one: the noise makes it nontrivial to estimate This is a baby version of the problem faced by Keller and Urban.
Markov Chain Monte Carlo
Having glibly said that we can compute the conditional probability how do we actually do this? The simplest way would be to run our model many, many times with the settings set at and determine the fraction of times it predicts measurements equal to This gives us an estimate of Then we can use Bayes’ rule to work out at least up to a constant factor.
Doing all this by hand would be incredibly time consuming and error prone, so computers are used for this task. In our example, we do this in Figure 3. As we keep running our model over and over, the curve showing as a function of settles down to the right answer.
3. The estimates of as a function of using uniform sampling, ending up with 480 samples at each point.
However, this is computationally inefficient, as shown in the probability distribution for small numbers of samples. This has quite a few ‘kinks’, which only disappear later. The problem is that there are lots of possible choices of to try. And this is for a very simple model!
When dealing with the 18 settings involved in the model of Keller and Urban, trying every combination would take far too long. A way to avoid this is Markov Chain Monte Carlo sampling. Monte Carlo is famous for its casinos, so a ‘Monte Carlo’ algorithm is one that uses randomness. A ‘Markov chain’ is a random walk: for example, where you repeatedly flip a coin and take one step right when you get heads, and one step right when you get tails. So, in Markov Chain Monte Carlo, we perform a random walk through the collection of all possible settings, collecting samples.
The key to making this work is that at each step on the walk a proposed modification to the current settings is generated randomly—but it may be rejected if it does not seem to improve the estimates. The essence of the rule is:
The modification is randomly accepted with a probability equal to the ratio
Otherwise the walk stays at the current position.
If the modification is better, so that the ratio is greater than 1, the new state is always accepted. With some additional tricks—such as discarding the very beginning of the walk—this gives a set of samples from which can be used to compute Then we can compute using Bayes’ rule.
Figure 4 shows the results of using the Markov Chain Monte Carlo procedure to figure out in our example.
4. The estimates of curves using Markov Chain Monte Carlo, showing the current distribution estimate at increasing intervals. The red line shows the current position of the random walk. Again the kinks are almost gone in the final distribution.
Note that the final distribution has only peformed about 66 thousand simulations in total, while the full sampling peformed over 1.5 million. The key advantage of Markov Chain Monte Carlo is that it avoids performing many simulations in areas where the probability is low, as we can see from the way the walk path remains under the big peak in the probability density almost all the time. What is more impressive is that it achieves this without any global view of the probability density, just by looking at how changes when we make small changes in the settings. This becomes even more important as we move to dealing with systems with many more dimensions and settings, where it proves very effective at finding regions of high probability density whatever their shape.
Why is it worth doing so much work to estimate the probability distribution for settings for a climate model? One reason is that we can then estimate probabilities of future events, such as the collapse of the Atlantic Meridional Ocean Current. And what’s the answer? According to Keller and Urban’s calculation, this current will likely weaken by about a fifth in the 21st century, but a complete collapse is unlikely before 2300. This claim needs to be checked in many ways—for example, using more detailed models. But the importance of the issue is clear, and we hope we have made the importance of good mathematical ideas for climate science clear as well.
Exploring the topic
The Azimuth Project is a group of scientists, engineers and computer programmers interested in questions like this [A]. If you have questions, or want to help out, just email us. Versions of the computer programs we used in this paper will be made available here in a while.
Here are some projects you can try, perhaps with the help of Kruschke’s textbook [K]:
• There are other ways to do setting estimation using time series: compare some to MCMC in terms of accuracy and robustness.
• We’ve seen a 1-dimensional system with one setting. Simulate some multi-dimensional and multi-setting systems. What new issues arise?
Acknowledgements. We thank Nathan Urban and other
members of the Azimuth Project for many helpful discussions.
[A] Azimuth Project, http://www.azimuthproject.org.
[KU] Klaus Keller and Nathan Urban, Probabilistic hindcasts and projections of the coupled climate, carbon cycle and Atlantic meridional overturning circulation system: a Bayesian fusion of century-scale measurements with a simple model, Tellus A 62 (2010), 737–750. Also available free online.
[K] John K. Kruschke, Doing Bayesian Data Analysis: A Tutorial with R and BUGS, Academic Press, New York, 2010.
[Y] Eliezer S. Yudkowsky, An intuitive explanation of Bayes’ theorem.