Dynamical Low-Rank Smoothing

DOI10.48550/arXiv.2607.27438MaRDI QIDQ7284529zbMATH OpenarXivFDO

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

Publication date 29 July 2026

Published in arXiv

Tldr We develop a dynamical low-rank approximation (DLRA) to reduce computational costs in high-dimensional data assimilation problems, extending joint mean-and-covariance optimization filtering to derive reduced-order smoothers via Rauch-Tung-Striebel recursion and Kalman-Bucy smoothing for affine drift dynamics.

Full work available at URL https://doi.org/10.48550/arXiv.2607.27438

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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