@article{GregoryCotterReich2016,
  author    = {Gregory, A. and Cotter, C. J. and Reich, Sebastian},
  title     = {MULTILEVEL ENSEMBLE TRANSFORM PARTICLE FILTERING},
  series = {SIAM journal on scientific computing},
  volume    = {38},
  journal   = {SIAM journal on scientific computing},
  publisher = {Society for Industrial and Applied Mathematics},
  address   = {Philadelphia},
  issn      = {1064-8275},
  doi       = {10.1137/15M1038232},
  pages     = {A1317 -- A1338},
  year      = {2016},
  abstract  = {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.},
  language  = {en}
}