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math.NA2025
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…
math.NA2025★ 1 cited
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…