Handle URI:
http://hdl.handle.net/10754/624792
Title:
Multilevel ensemble Kalman filter
Authors:
Chernov, Alexey; Hoel, Haakon; Law, Kody; Nobile, Fabio; Tempone, Raul ( 0000-0003-1967-4446 )
Abstract:
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.
KAUST Department:
Computer, Electrical and Mathematical Sciences & Engineering (CEMSE)
Conference/Event name:
Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)
Issue Date:
6-Jan-2016
Type:
Poster
Appears in Collections:
Posters; Conference on Advances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)

Full metadata record

DC FieldValue Language
dc.contributor.authorChernov, Alexeyen
dc.contributor.authorHoel, Haakonen
dc.contributor.authorLaw, Kodyen
dc.contributor.authorNobile, Fabioen
dc.contributor.authorTempone, Raulen
dc.date.accessioned2017-06-08T06:32:26Z-
dc.date.available2017-06-08T06:32:26Z-
dc.date.issued2016-01-06-
dc.identifier.urihttp://hdl.handle.net/10754/624792-
dc.description.abstractThis work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF). In terms of computational cost vs. approximation error the asymptotic performance of the multilevel ensemble Kalman filter (MLEnKF) is superior to the EnKF s.en
dc.subjectBayesianen
dc.titleMultilevel ensemble Kalman filteren
dc.typePosteren
dc.contributor.departmentComputer, Electrical and Mathematical Sciences & Engineering (CEMSE)en
dc.conference.dateJanuary 5-10, 2016en
dc.conference.nameAdvances in Uncertainty Quantification Methods, Algorithms and Applications (UQAW 2016)en
dc.conference.locationKAUSTen
dc.contributor.institutionÉcole Polytechnique Fédérale de Lausanneen
dc.contributor.institutionUniversität Oldenburgen
dc.contributor.institutionUniversity Osloen
dc.contributor.institutionOak Ridge National Laboratoryen
kaust.authorLaw, Kodyen
kaust.authorTempone, Raulen
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