Data assimilation aims at determining as accurately as possible the state of a dynamical system by combining heterogeneous sources of information in an optimal way. Generally speaking, the mathematical methods of data assimilation describe algorithms for forming optimal combinations of observations of a system, a numerical model that describes its evolution, and appropriate prior information. Data assimilation has a long history of application to high-dimensional geophysical systems dating back to the 1960s, with application to the estimation of initial conditions for weather forecasts. It...