A generalized polynomial chaos based ensemble Kalman filter with high accuracy
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Publication:834092
DOI10.1016/j.jcp.2009.04.029zbMath1280.93084OpenAlexW2120731138MaRDI QIDQ834092
Publication date: 19 August 2009
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jcp.2009.04.029
Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Stochastic processes (60G99) Numerical chaos (65P20)
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Uses Software
Cites Work
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- Likelihood approximation by numerical integration on sparse grids
- On numerical properties of the ensemble Kalman filter for data assimilation
- Ingredients for a general purpose stochastic finite elements implementation
- Stochastic processes and filtering theory
- Spectral Methods for Time-Dependent Problems
- Gaussian filters for nonlinear filtering problems
- The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
- High-Order Collocation Methods for Differential Equations with Random Inputs
- Data Assimilation
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