data assimilation 1dynamical low-rank approximation 1ensemble methods 1kalman filter 1particle filters 1stochastic differential equations 1
From the 1 of 3 linked papers with an AI index.
3 papers
math.NA2026
Dynamical Low-Rank Filters for Data Assimilation
Yoshihito Kazashi, Youssef Marzouk, Fabio Nobile +1
The paper introduces dynamical low-rank (DLR) filters for data assimilation, deriving methods that jointly minimize mean and covariance errors and extending them to Kalman‑Bucy, en…
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…
math.NA2024
Dynamical Low-Rank Approximation for Stochastic Differential Equations
Yoshihito Kazashi, Fabio Nobile, Fabio Zoccolan
In this paper, we set the mathematical foundations of the Dynamical Low-Rank Approximation (DLRA) method for stochastic differential equations (SDEs). DLRA aims at approximating th…