Multilevel Ensemble Kalman–Bucy Filters

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

zbMATH Keywords

filteringpropagation of chaosensemble Kalman filtermultilevel Monte CarloKalman-Bucy filter

Mathematics Subject Classification ID

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

• EnKF

Cites Work

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