Imperial College London

ProfessorColinCotter

Faculty of Natural SciencesDepartment of Mathematics

Professor of Computational Mathematics
 
 
 
//

Contact

 

+44 (0)20 7594 3468colin.cotter

 
 
//

Location

 

755Huxley BuildingSouth Kensington Campus

//

Summary

 

Publications

Citation

BibTex format

@article{Gregory:2017:10.1002/qj.3052,
author = {Gregory, ACA and Cotter, CJ},
doi = {10.1002/qj.3052},
journal = {Quarterly Journal of the Royal Meteorological Society},
pages = {1929--1935},
title = {On the Calibration of Multilevel Monte Carlo Ensemble Forecasts},
url = {http://dx.doi.org/10.1002/qj.3052},
volume = {143},
year = {2017}
}

RIS format (EndNote, RefMan)

TY  - JOUR
AB - The multilevel Monte Carlo method can efficiently compute statistical estimates ofdiscretized random variables for a given error tolerance. Traditionally, only a certainstatistic is computed from a particular implementation of multilevel Monte Carlo. Thisarticle considers the multilevel case in which one wants to verify and evaluate a singleensemble that forms an empirical approximation to many different statistics, namely anensemble forecast. We propose a simple algorithm that, in the univariate case, allows oneto derive a statistically consistent single ensemble forecast from the hierarchy of ensemblesthat are formed during an implementation of multilevel Monte Carlo. This ensembleforecast then allows the entire multilevel hierarchy of ensembles to be evaluated usingstandard ensemble forecast verification techniques. We demonstrate the case of evaluatingthe calibration of the forecast.
AU - Gregory,ACA
AU - Cotter,CJ
DO - 10.1002/qj.3052
EP - 1935
PY - 2017///
SN - 1477-870X
SP - 1929
TI - On the Calibration of Multilevel Monte Carlo Ensemble Forecasts
T2 - Quarterly Journal of the Royal Meteorological Society
UR - http://dx.doi.org/10.1002/qj.3052
UR - http://hdl.handle.net/10044/1/48152
VL - 143
ER -