【摘 要】
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This work embeds a multilevel Monte Carlo(MLMC)sampling strategy into the Monte Carlo step of the ensemble Kalman filter(ENKF),thereby yielding a multilevel
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This work embeds a multilevel Monte Carlo(MLMC)sampling strategy into the Monte Carlo step of the ensemble Kalman filter(ENKF),thereby yielding a multilevel ensemble Kalman filter(MLENKF)which has provably superior asymptotic cost to a given accuracy level.The theoretical results are illustrated numerically.
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