Multilevel ensemble transform particle filtering
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Publication:2805012
DOI10.1137/15M1038232zbMATH Open1338.65006arXiv1509.00325OpenAlexW2963298797MaRDI QIDQ2805012FDOQ2805012
Authors: A. Gregory, C. J. Cotter, Sebastian Reich 
Publication date: 9 May 2016
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Abstract: This paper extends the Multilevel Monte Carlo variance reduction technique to nonlinear filtering. In particular, Multilevel Monte Carlo is applied to a certain variant of the particle filter, the Ensemble Transform Particle Filter. A key aspect is the use of optimal transport methods to re-establish correlation between coarse and fine ensembles after resampling; this controls the variance of the estimator. Numerical examples present a proof of concept of the effectiveness of the proposed method, demonstrating significant computational cost reductions (relative to the single-level ETPF counterpart) in the propagation of ensembles.
Full work available at URL: https://arxiv.org/abs/1509.00325
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Cited In (23)
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