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| Titel |
Multilevel Ensemble Transform Particle Filtering |
| VerfasserIn |
Alastair Gregory, Colin Cotter, Sebastian Reich |
| Konferenz |
EGU General Assembly 2016
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| Medientyp |
Artikel
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| Sprache |
en
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| Digitales Dokument |
PDF |
| Erschienen |
In: GRA - Volume 18 (2016) |
| Datensatznummer |
250123122
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| Publikation (Nr.) |
 EGU/EGU2016-2322.pdf |
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| Zusammenfassung |
| This presentation extends the Multilevel Monte Carlo variance reduction technique to nonlinear filtering. In particular, Multilevel Monte Carlo is applied to a certain variant of the particle filter, the Ensemble Transform Particle Filter (ETPF). A key aspect is the use of optimal transport methods to re-establish correlation between coarse and fine ensembles after resampling; this controls the variance of the estimator. Numerical examples present a proof of concept of the effectiveness of the proposed method, demonstrating significant computational cost reductions (relative to the single-level ETPF counterpart) in the propagation of ensembles. |
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