Dynamical Low-Rank Filters for Data Assimilation

DOI10.48550/arXiv.2607.27432MaRDI QIDQ7284530zbMATH OpenarXivFDO

Authors Yoshihito Kazashi, Youssef M. Marzouk, F. Nobile, Fabio Zoccolan, Youssef Marzouk, Fabio Nobile

Publication date 29 July 2026

Published in arXiv

Tldr We derive dynamical low-rank filters for data-assimilation problems based on stochastic differential equations (SDEs). Main contribution is a novel strategy that allows the main subspace to evolve according to the observation operator.

Full work available at URL https://doi.org/10.48550/arXiv.2607.27432

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Inference from stochastic processes and prediction (62M20) Stochastic particle methods (65C35) Numerical methods for low-rank matrix approximation; matrix compression (65F55)

arXiv classification

math.NA

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