000263563 001__ 263563
000263563 005__ 20190626190052.0
000263563 0247_ $$2doi$$a10.5075/epfl-MATHICSE-263563
000263563 037__ $$aREP_WORK
000263563 245__ $$aMATHICSE Technical Report : Multilevel ensemble Kalman filtering for spatio-temporal processes
000263563 269__ $$a2017-10-20
000263563 260__ $$aÉcublens$$c2017-10-20$$bMATHICSE
000263563 300__ $$a39
000263563 336__ $$aWorking Papers
000263563 500__ $$aMATHICSE Technical Report Nr. 22.2017 October 2017
000263563 520__ $$aThis work concerns state-space models, in which the state-space is an infinite-dimensional spatial field, and the evolution is in continuous time, hence requiring approximation in space and time. The multilevel Monte Carlo (MLMC) sampling strategy is leveraged in the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman filter (MLEnKF) for spatio-temporal models, which has provably superior as- ymptotic error/cost ratio. A practically relevant stochastic partial differential equation (SPDE) example is presented, and numerical experiments with this example support our theoretical findings.
000263563 6531_ $$aMonte Carlo
000263563 6531_ $$amultilevel filtering
000263563 6531_ $$aKalman filter
000263563 6531_ $$aensemble Kalman filter
000263563 6531_ $$apartial differential equations (PDE)
000263563 700__ $$aChernov, Alexey
000263563 700__ $$g277383$$aHoel, Hakon Andreas$$0250394
000263563 700__ $$aLaw, Kody J.H.
000263563 700__ $$aNobile, Fabio$$0241873$$g118353
000263563 700__ $$aTempone, Raúl
000263563 710__ $$aMATHICSE-Group
000263563 787__ $$eIs Previous Version Of$$whttps://infoscience.epfl.ch/record/231876
000263563 8564_ $$uhttps://infoscience.epfl.ch/record/263563/files/Report-22.2017_AC_HAH_KL_FN_RT.pdf$$s960454
000263563 8560_ $$ffabio.nobile@epfl.ch
000263563 909CO $$qGLOBAL_SET$$pSB$$pDOI$$pworking$$ooai:infoscience.epfl.ch:263563
000263563 909C0 $$xU12495$$pCSQI$$0252411
000263563 960__ $$ajulien.junod@epfl.ch
000263563 961__ $$ajulien.junod@epfl.ch
000263563 973__ $$aEPFL$$sPUBLISHED$$rREVIEWED
000263563 981__ $$aoverwrite
000263563 980__ $$aREP_WORK