On dimension reduction in Gaussian filters

DOI10.1088/0266-5611/32/4/045003zbMath1361.65036arXiv1508.06452OpenAlexW1902776040WikidataQ58650089 ScholiaQ58650089MaRDI QIDQ2806026

Janne Hakkarainen, Antti Solonen, Youssef M. Marzouk, Tiangang Cui

Publication date: 13 May 2016

Published in: Inverse Problems (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.06452

zbMATH Keywords

state estimationdimension reductionKalman filterensemble Kalman filterBayesian filtering

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Bayesian inference (62F15) Numerical solution to inverse problems in abstract spaces (65J22)

Related Items (7)

Accelerating inverse inference of ensemble Kalman filter via reduced-order model trained using adaptive sparse observations ⋮ Ensemble transport smoothing. II: Nonlinear updates ⋮ A Defensive Marginal Particle Filtering Method for Data Assimilation ⋮ Efficient State/Parameter Estimation in Nonlinear Unsteady PDEs by a Reduced Basis Ensemble Kalman Filter ⋮ A marginalized unscented Kalman filter for efficient parameter estimation with applications to finite element models ⋮ Bayesian inverse regression for supervised dimension reduction with small datasets ⋮ Enhancing Compressed Sensing 4D Photoacoustic Tomography by Simultaneous Motion Estimation

Uses Software

• EnKF
• ARPACK
• GMRFLib

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