Dynamical Low-Rank Filters for Data Assimilation (Q7284530)
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| English | Dynamical Low-Rank Filters for Data Assimilation |
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Dynamical Low-Rank Filters for Data Assimilation (English)
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29 July 2026
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math.NA
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Yoshihito Kazashi
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Youssef Marzouk
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Fabio Nobile
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Fabio Zoccolan
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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.
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Data Assimilation
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Stochastic Differential Equations
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Filtering Methods
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