SSD - Hoel Seminar

Location: AICES Seminar Room 115, 1st floor, Schinkelstr. 2, 52062 Aachen

Prof. Dr. Hakon Hoel - Multilevel Monte Carlo Methods for Data Assimilation

Department of Mathematics, RWTH Aachen University

Abstract

The ensemble Kalman filter (EnKF) is a sequential filtering method
based on an ensemble of particle paths and sample moment (Monte Carlo)
approximations of true moments required in the filter update
step. EnKF is often both robust and efficient, but its performance may
suffer in settings where the computational cost of accurate
simulations of particles is high. The multilevel Monte Carlo method
(MLMC) is an extension of the classical Monte Carlo method which by
sampling stochastic realizations on a hierarchy of resolutions may
reduce the computational cost of moment approximations by orders of
magnitude.  In this talk I will present recent results on combining MLMC and EnKF 
to construct the multilevel ensemble Kalman filter (MLEnKF).
Theoretical results and numerical evidence of the performance gain of
MLEnKF over EnKF will be presented.