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Multilevel ensemble transform particle filtering

Gregory, A., Cotter, C. J. and Reich, S. (2016) Multilevel ensemble transform particle filtering. SIAM Journal on Scientific Computing, 38 (3). A1317-A1338. ISSN 1064-8275

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To link to this item DOI: 10.1137/15M1038232

Abstract/Summary

This paper 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 (EPTF). 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.

Item Type:Article
Refereed:Yes
Divisions:Faculty of Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:67471
Publisher:Society for Industrial and Applied Mathematics

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