3 papers
math.NA2026
Dynamical Low-Rank Smoothing
Youssef Marzouk, Fabio Nobile, Fabio Zoccolan
Computational costs often make smoothing procedures prohibitive for high-dimensional data assimilation problems. To address this challenge, we propose a dynamical low-rank approxim…
math.NA2026
Dynamical Low-Rank Filters for Data Assimilation
Yoshihito Kazashi, Youssef Marzouk, Fabio Nobile +1
We propose dynamical low-rank (DLR) type filters for data-assimilation problems based on stochastic differential equations (SDEs). In detail, first we derive a DLRA filter for mini…
math.NA2026
Numerical Methods for Dynamical Low-Rank Approximations of Stochastic Differential Equations -- Part I: Time discretization
Yoshihito Kazashi, Fabio Nobile, Fabio Zoccolan
In this work (Part I), we study three time-discretization schemes for the Dynamical Low-Rank Approximation (DLRA) of high-dimensional stochastic differential equations (SDEs). Spec…