arXiv Open Access 2015

Multilevel ensemble Kalman filtering

Håkon Hoel Kody J. H. Law Raul Tempone

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Abstrak

This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and noisy discrete-time observations. The signal dynamics is assumed to be governed by a stochastic differential equation (SDE), and a hierarchy of time grids is introduced for multilevel numerical integration of that SDE. The resulting multilevel EnKF is proved to asymptotically outperform EnKF in terms of computational cost versus approximation accuracy. The theoretical results are illustrated numerically.

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math.NA math.PR stat.CO

Penulis (3)

Håkon Hoel

Kody J. H. Law

Raul Tempone

Format Sitasi

APA MLA BibTeX

Hoel, H., Law, K.J.H., Tempone, R. (2015). Multilevel ensemble Kalman filtering. https://arxiv.org/abs/1502.06069

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2015
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓