447 citations · 2.5k across the 63 of their papers we have counts for
5 papers · 1 filter
Multilevel ensemble Kalman filtering for spatio-temporal processes
Alexey Chernov, Håkon Hoel, Kody J. H. Law +2
We design and analyse the performance of a multilevel ensemble Kalman filter method (MLEnKF) for filtering settings where the underlying state-space model is an infinite-dimensiona…
Advanced Multilevel Monte Carlo Methods
Ajay Jasra, Kody Law, Carina Suciu
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which c…
A Multi-Index Markov Chain Monte Carlo Method
Ajay Jasra, Kengo Kamatani, Kody Law +1
In this article we consider computing expectations w.r.t.~probability laws associated to a certain class of stochastic systems. In order to achieve such a task, one must not only r…
Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
Alexandros Beskos, Ajay Jasra, Kody Law +2
In this article we develop a new sequential Monte Carlo (SMC) method for multilevel (ML) Monte Carlo estimation. In particular, the method can be used to estimate expectations with…
Bayesian Static Parameter Estimation for Partially Observed Diffusions via Multilevel Monte Carlo
Ajay Jasra, Kengo Kamatani, Kody J. H. Law +1
In this article we consider static Bayesian parameter estimation for partially observed diffusions that are discretely observed. We work under the assumption that one must resort t…