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Multilevel ensemble Kalman filtering for spatio-temporal processes. (English) Zbl 1460.65006

Summary: 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-dimensional spatio-temporal process. We consider underlying models that needs to be simulated by numerical methods, with discretization in both space and time. The multilevel Monte Carlo sampling strategy, achieving variance reduction through pairwise coupling of ensemble particles on neighboring resolutions, is used in the sample-moment step of MLEnKF to produce an efficent hierarchical filtering method for spatio-temporal models. Under sufficent regularity, MLEnKF is proven to be more efficient for weak approximations than EnKF, asymptotically in the large-ensemble and fine-numerical-resolution limit. Numerical examples support our theoretical findings.

MSC:

65C30 Numerical solutions to stochastic differential and integral equations
65Y20 Complexity and performance of numerical algorithms
62M20 Inference from stochastic processes and prediction
65C05 Monte Carlo methods
93E11 Filtering in stochastic control theory

Software:

EnKF
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Full Text: DOI arXiv

References:

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