7 citations · 7 across the 3 of their papers we have counts for
3 papers
Importance sampling for rare event tracking within the ensemble Kalman filtering framework
Nadhir Ben Rached, Erik von Schwerin, Gaukhar Shaimerdenova +1
In this work we employ importance sampling (IS) techniques to track a small over-threshold probability of a running maximum associated with the solution of a stochastic differentia…
Multi-index ensemble Kalman filtering
Håkon Hoel, Gaukhar Shaimerdenova, Raúl Tempone
In this work we combine ideas from multi-index Monte Carlo and ensemble Kalman filtering (EnKF) to produce a highly efficient filtering method called multi-index EnKF (MIEnKF). MIE…
Multilevel Ensemble Kalman Filtering based on a sample average of independent EnKF estimators
Håkon Hoel, Gaukhar Shaimerdenova, Raúl Tempone
We introduce a new multilevel ensemble Kalman filter method (MLEnKF) which consists of a hierarchy of independent samples of ensemble Kalman filters (EnKF). This new MLEnKF method…