Multilevel Ensemble Kalman–Bucy Filters
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Publication:5097838
DOI10.1137/21M1423762zbMath1493.65022arXiv2011.04342MaRDI QIDQ5097838
Neil K. Chada, Ajay Jasra, Fangyuan Yu
Publication date: 1 September 2022
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2011.04342
Filtering in stochastic control theory (93E11) Monte Carlo methods (65C05) Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic particle methods (65C35)
Related Items (6)
Efficient derivative-free Bayesian inference for large-scale inverse problems ⋮ Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Multi-index ensemble Kalman filtering ⋮ Improved efficiency of multilevel Monte Carlo for stochastic PDE through strong pairwise coupling ⋮ Gradient flow structure and convergence analysis of the ensemble Kalman inversion for nonlinear forward models
Uses Software
Cites Work
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