Multilevel ensemble Kalman filtering for spatio-temporal processes
From MaRDI portal
Publication:1996221
Abstract: We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensional spatio-temporal process. We consider underlying models that needs to be simulated by numerical methods, with discretization in both space and time. The multilevel Monte Carlo (MLMC) sampling strategy, achieving variance reduction through pairwise coupling of ensemble particles on neighboring resolutions, is used in the sample-moment step of MLEnKF to produce an efficient hierarchical filtering method for spatio-temporal models. Under sufficient regularity, MLEnKF is proven to be more efficient for weak approximations than EnKF, asymptotically in the large-ensemble and fine-numerical-resolution limit. Numerical examples support our theoretical findings.
Recommendations
Cites work
- A deterministic filter for non-Gaussian Bayesian estimation -- Applications to dynamical system estimation with noisy measurements
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- A stable particle filter for a class of high-dimensional state-space models
- Antithetic multilevel Monte Carlo estimation for multi-dimensional SDEs without Lévy area simulation
- Can local particle filters beat the curse of dimensionality?
- Complexity analysis of accelerated MCMC methods for Bayesian inversion
- Convergence of the square root ensemble Kalman filter in the large ensemble limit
- Curse-of-dimensionality revisited: Collapse of the particle filter in very large scale systems
- Data Assimilation
- Deterministic mean-field ensemble Kalman filtering
- FORWARD AND INVERSE UNCERTAINTY QUANTIFICATION USING MULTILEVEL MONTE CARLO ALGORITHMS FOR AN ELLIPTIC NONLOCAL EQUATION
- scientific article; zbMATH DE number 3791330 (Why is no real title available?)
- scientific article; zbMATH DE number 2000348 (Why is no real title available?)
- scientific article; zbMATH DE number 2106098 (Why is no real title available?)
- Importance sampling: intrinsic dimension and computational cost
- Improving multilevel Monte Carlo for stochastic differential equations with application to the Langevin equation
- Large sample asymptotics for the ensemble Kalman filter
- Multilevel ensemble Kalman filtering
- Multilevel ensemble transform particle filtering
- Multilevel Monte Carlo Path Simulation
- Multilevel Particle Filters
- Multilevel sequential Monte Carlo samplers
- Multilevel Sequential Monte Carlo Samplers for Normalizing Constants
- Nonlinear stability and ergodicity of ensemble based Kalman filters
- On the convergence of the ensemble Kalman filter.
- On the stability and the uniform propagation of chaos of a class of extended ensemble Kalman-Bucy filters
- On the stability and the uniform propagation of chaos properties of ensemble Kalman-Bucy filters
- On the stability of sequential Monte Carlo methods in high dimensions
- Overcoming the order barrier in the numerical approximation of stochastic partial differential equations with additive space-time noise
- Particle Filtering for Stochastic Navier--Stokes Signal Observed with Linear Additive Noise
- Particle filtering with path sampling and an application to a bimodal ocean current model
- Sequential Monte Carlo methods for high-dimensional inverse problems: a case study for the Navier-Stokes equations
- Stochastic processes and filtering theory
- Taylor approximations for stochastic partial differential equations
- The Mathematical Theory of Finite Element Methods
- The sample size required in importance sampling
Cited in
(21)- Multi-index ensemble Kalman filtering
- Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling
- A multigrid/ensemble Kalman filter strategy for assimilation of unsteady flows
- Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
- Assessment of multilevel ensemble-based data assimilation for reservoir history matching
- Efficient spatio-temporal Gaussian regression via Kalman filtering
- Multilevel ensemble transform particle filtering
- Multilevel ensemble Kalman filtering
- A seamless multilevel ensemble transform particle filter
- Multilevel ensemble Kalman-Bucy filters
- Ensemble Kalman methods for high-dimensional hierarchical dynamic space-time models
- Multimodal ensemble Kalman filtering using Gaussian mixture models
- Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
- A Simple, Bias-free Approximation of Covariance Functions by the Multilevel Monte Carlo Method Having Nearly Optimal Complexity
- A sparse matrix formulation of model-based ensemble Kalman filter
- Multi-index sequential Monte Carlo ratio estimators for Bayesian inverse problems
- On the mean field theory of ensemble Kalman filters for SPDEs
- Ensemble Kalman methods: a mean-field perspective
- An adaptive hierarchical ensemble Kalman filter with reduced basis models
- Multi-level data assimilation for ocean forecasting using the shallow-water equations
- The model forest ensemble Kalman filter
This page was built for publication: Multilevel ensemble Kalman filtering for spatio-temporal processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1996221)
