447 citations · 2.5k across the 63 of their papers we have counts for
5 papers · 1 filter
Multilevel particle filter
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this paper the filtering of partially observed diffusions, with discrete-time observations, is considered. It is assumed that only biased approximations of the diffusion can be…
Data Assimilation: A Mathematical Introduction
K. J. H. Law, A. M. Stuart, K. C. Zygalakis
These notes provide a systematic mathematical treatment of the subject of data assimilation.
Accelerated dimension-independent adaptive Metropolis
Yuxin Chen, David Keyes, Kody J. H. Law +1
This work considers black-box Bayesian inference over high-dimensional parameter spaces. The well-known adaptive Metropolis (AM) algorithm of (Haario etal. 2001) is extended herein…
Multilevel Sequential Monte Carlo Samplers
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario ap…
Multilevel ensemble Kalman filtering
Håkon Hoel, Kody J. H. Law, Raul Tempone
This work embeds a multilevel Monte Carlo sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF) in the setting of finite dimensional signal evolution and…