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