A practical polynomial chaos Kalman filter implementation using nonlinear error projection on a reduced polynomial chaos expansion

DOI10.1002/NME.5586MaRDI QIDQ6557516zbMATH OpenFDO

Authors Wael Slika, George Saad

Publication date 18 June 2024

Published in International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/NME.5586

zbMATH Keywords

curse of dimensionalitydata assimilationuncertainty quantificationpolynomial chaos Kalman filter

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Inference from stochastic processes and prediction (62M20)

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Cites work

• scientific article; zbMATH DE number 3494099 (Why is no real title available?)
• A generalized polynomial chaos based ensemble Kalman filter with high accuracy
• A method for the solution of certain non-linear problems in least squares
• A non-intrusive model reduction approach for polynomial chaos expansion using proper orthogonal decomposition
• A scalable framework for the solution of stochastic inverse problems using a sparse grid collocation approach
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Analysis of the ensemble and polynomial chaos Kalman filters in Bayesian inverse problems
• Asymptotic behavior of the extended Kalman filter as a parameter estimator for linear systems
• Dimensionality reduction and polynomial chaos acceleration of Bayesian inference in inverse problems
• New results in linear filtering and prediction theory
• Reduced chaos expansions with random coefficients in reduced-dimensional stochastic modeling of coupled problems
• Sampling-free linear Bayesian update of polynomial chaos representations
• The Homogeneous Chaos

Cited in

(2)

• A non-Gaussian Bayesian filter for sequential data assimilation with non-intrusive polynomial chaos expansion
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