2 citations · 3 across the 3 of their papers we have counts for
6 papers · 1 filter
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…
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…
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…
Petrov-Galerkin Dynamical Low Rank Approximation:SUPG stabilisation of advection-dominated problems
Fabio Nobile, Thomas Trigo Trindade
We propose a novel framework of generalised Petrov-Galerkin Dynamical Low Rank Approximations (DLR) in the context of random PDEs. It builds on the standard Dynamical Low Rank Appr…
Error estimates for SUPG-stabilised Dynamical Low Rank Approximations
Fabio Nobile, Thomas Trigo Trindade
We perform an error analysis of a fully discretised Streamline Upwind Petrov Galerkin Dynamical Low Rank (SUPG-DLR) method for random time-dependent advection-dominated problems. T…