% cat file_one
chr coord array value
1   100   5730_1 0.123
1   200   5730_1 4.567

...

21  400   5785_3 2.345

% cat file_two
chr coord new_annotation 
1   100   1   
1   200   1   

...

21  400   60  

% cat out_file
chr coord new_annotation value
1   100   1   0.123
1   200   1   4.567

...

21  400   60  2.345