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Multilevel ensemble Kalman filtering

Bibliography:

Håkon Hoel, Kody J. H. Law, Raul Tempone, Multilevel ensemble Kalman filtering, to appear in SIAM Journal on Numerical Analysis, 2016.​

Authors:

Håkon Hoel, Kody J. H. Law, Raul Tempone

Keywords:

Multilevel ensemble Kalman filtering

Year:

2016

Abstract:

This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (ENKF), thereby yielding a multilevel ensemble Kalman filter (MLENKF) which has provably superior asymptotic cost to a given accuracy level. The theoretical results are illustrated numerically.

ISSN:

2016