Iterative algorithms for multiscale state estimation. II: Numerical investigations

DOI10.1023/A:1012697811006MaRDI QIDQ5956969zbMATH OpenOpenAlexWikidataFDO

Authors Thomas Binder, Luise Blank, Wolfgang Dahmen, Wolfgang Marquardt

Publication date 26 February 2002

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1012697811006

zbMATH Keywords

iterative methodsJacobi preconditioningregularization parametersimplified Uzawa scheme

Mathematics Subject Classification ID

Iterative numerical methods for linear systems (65F10) Estimation and detection in stochastic control theory (93E10)

Review text

This paper is the continuation of Part I [ibid. 111, 501-527 (2001; Zbl 1001.93076)] in which the main elements of the theory are described. Here the authors analyze the numerical feature of the approach and investigate several iterative schemes in the context of multiscale state estimation. It is shown that the so-called simplified Uzawa scheme with Jacobi preconditioning and suitable regularization parameter is the most efficient. Comparison of different system formulations, comparison of different iterative methods, and comparison of different preconditioners are performed.

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Cited in

(2)

• Iterative algorithms for multiscale state estimation. I: Concepts
• Introduction: Wolfgang Dahmen's mathematical work (as of 2009)

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