Multilevel ensemble Kalman filtering for spatially extended models
arXiv:1608.08558
Abstract
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 development of MLEnKF for finite-dimensional state-spaces in the work [20] is here extended to models with infinite-dimensional state- spaces in the form of spatial fields. A concrete example is given to illustrate the results.
arXiv commentarXiv admin note: substantial text overlap with arXiv:1502.06069
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