Multi-index ensemble Kalman filtering

DOI10.1016/J.JCP.2022.111561MaRDI QIDQ2083644zbMATH OpenOpenAlexFDO

Authors Håkon Hoel, Gaukhar Shaimerdenova, R. Tempone

Publication date 11 October 2022

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2104.07263

zbMATH Keywords

multilevelKalman filterMonte Carloconvergence ratesensemble Kalman filtermulti-index

Mathematics Subject Classification ID

Stochastic analysis (60Hxx) Numerical methods for partial differential equations, initial value and time-dependent initial-boundary value problems (65Mxx) Probabilistic methods, stochastic differential equations (65Cxx)

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Cites work

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Cited in

(3)

• Multi-index ensemble Kalman filtering
• Multimodal ensemble Kalman filtering using Gaussian mixture models
• On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering

Describes a project that uses

Uses Software

• Julia

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