Large-scale Kalman filtering using the limited memory BFGS method

MaRDI QIDQ964112zbMATH OpenFDO

Authors H. Auvinen, Johnathan M. Bardsley, Heikki Haario, T. Kauranne

Publication date 14 April 2010

Published in ETNA - Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/231746, http://www.emis.de/journals/ETNA/vol.35.2009/pp217-233.dir/pp217-233.pdf

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zbMATH Keywords

Bayesian estimationinversion of matricesKalman filterlarge-scale optimizationlimited memory Broyden-Fletcher-Goldfarb-Shanno methodmultiplication of matricesnumerical examples

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Filtering in stochastic control theory (93E11)

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Cited in

(8)

• When long memory meets the Kalman filter: a comparative study
• Switching and information exchange in compressed estimation of coupled high dimensional processes
• Stabilized BFGS approximate Kalman filter
• The variational Kalman filter and an efficient implementation using limited memory BFGS
• Optimal low-rank approximations of Bayesian linear inverse problems
• Goal-oriented optimal approximations of Bayesian linear inverse problems
• Krylov space approximate Kalman filtering
• Numerical linear algebra in data assimilation

Describes a project that uses

Uses Software

• L-BFGS

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