Imperial College London
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ProfessorColinCotter

Faculty of Natural Sciences, Department of Mathematics

Professor of Computational Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 3468colin.cotter

 
 
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Location

 

755Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Gregory:2016:10.1137/15M1038232,
author = {Gregory, A and Cotter, CJ and Reich, S},
doi = {10.1137/15M1038232},
journal = {SIAM Journal on Scientific Computing},
pages = {A1317--A1338},
title = {Multilevel Ensemble Transform Particle Filtering},
url = {http://dx.doi.org/10.1137/15M1038232},
volume = {38},
year = {2016}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - This paper extends the multilevel Monte Carlo variance reduction technique tononlinear filtering. In particular, multilevel Monte Carlo is applied to a certain variant of the particlefilter, the ensemble transform particle filter (EPTF). A key aspect is the use of optimal transportmethods to re-establish correlation between coarse and fine ensembles after resampling; this controlsthe variance of the estimator. Numerical examples present a proof of concept of the effectivenessof the proposed method, demonstrating significant computational cost reductions (relative to thesingle-level ETPF counterpart) in the propagation of ensembles.
AU  - Gregory,A
AU  - Cotter,CJ
AU  - Reich,S
DO  - 10.1137/15M1038232
EP  - 1338
PY  - 2016///
SN  - 1095-7197
SP  - 1317
TI  - Multilevel Ensemble Transform Particle Filtering
T2  - SIAM Journal on Scientific Computing
UR  - http://dx.doi.org/10.1137/15M1038232
UR  - http://hdl.handle.net/10044/1/29727
VL  - 38
ER  -
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