Multilevel ensemble Kalman filtering

Multilevel ensemble Kalman filtering

Håkon Hoel, Kody J. H. Law, Raul Tempone, "Multilevel ensemble Kalman filtering", SIAM Journal on Numerical Analysis, Volume 54 no.3, (2016). 1813–1839
Håkon Hoel, Kody J. H. Law, Raul Tempone
Multilevel ensemble Kalman filtering
2016
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (ENKF), thereby yielding a multilevel ensemble Kalman filter (MLENKF) which has provably superior asymptotic cost to a given accuracy level. The theoretical results are illustrated numerically.
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