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  5. Multilevel Ensemble Kalman Filter

Multilevel Ensemble Kalman Filter

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：asxy7777
【摘 要】
：
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 pro
【作 者】
：
Law Kody TEMPONE RAUL Hoel Haakon 
【机 构】
：
ORNL KING ABDULLAH Univ.OF Sci.&Tech.
【出 处】
：
第八届工业与应用数学国际大会
【发表日期】
：
2015年5期
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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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