The Ensemble Kalman Filter for Rare Event Estimation

DOI10.1137/21M1404119zbMath1482.62083arXiv2106.10062MaRDI QIDQ5862907

Fabian Wagner, Iason Papaioannou, Elisabeth Ullmann

Publication date: 10 March 2022

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.10062

zbMATH Keywords

importance samplinginverse problemsreliability analysisensemble Kalman filter

Mathematics Subject Classification ID

Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Sequential estimation (62L12) Numerical methods for inverse problems for boundary value problems involving PDEs (65N21) Stochastic particle methods (65C35)

Uses Software

• EnKF

Cites Work

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• Monte Carlo sampling methods using Markov chains and their applications
• Data Assimilation
• Brownian Motion

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