5 papers
Dynamical Low-Rank Approximations for Kalman Filtering
Fabio Nobile, Thomas Trigo Trindade
We propose a dynamical low rank approximation of the Kalman-Bucy process (DLR-KBP), which evolves the filtering distribution of a partially continuously observed linear SDE on a sm…
Dynamical Low-Rank Ensemble Kalman filter for State/Parameter estimation
Fabio Nobile, Sébastien Riffaud, Thomas Trigo Trindade
We propose a Dynamical Low-Rank Ensemble Kalman Filter (DLR-ENKF) for efficient joint state-parameter estimation in high-dimensional dynamical systems. The method extends the DLR-E…
Robust high-order low-rank BUG integrators based on explicit Runge--Kutta methods
Fabio Nobile, Sébastien Riffaud
In this work, we introduce high-order Basis-Update & Galerkin (BUG) integrators based on explicit Runge-Kutta methods for large-scale matrix differential equations. These dynamical…
Multilevel quadrature formulae for the optimal control of random PDEs
Fabio Nobile, Tommaso Vanzan
This manuscript presents a framework for using multilevel quadrature formulae to compute the solution of optimal control problems constrained by random partial differential equatio…
Probabilistic Load Forecasting of Distribution Power Systems based on Empirical Copulas
PÃ¥l Forr Austnes, Celia GarcÃa-Pareja, Fabio Nobile +1
Accurate and reliable electricity load forecasts are becoming increasingly important as the share of intermittent resources in the system increases. Distribution System Operators (…