TY  - JOUR
A1  - Gregory, A.
A1  - Cotter, C. J.
A1  - Reich, Sebastian
T1  - MULTILEVEL ENSEMBLE TRANSFORM PARTICLE FILTERING
JF  - SIAM journal on scientific computing
N2  - 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.
KW  - multilevel Monte Carlo
KW  - sequential data assimilation
KW  - optimal transport
Y1  - 2016
U6  - https://doi.org/10.1137/15M1038232
SN  - 1064-8275
SN  - 1095-7197
VL  - 38
SP  - A1317
EP  - A1338
PB  - Society for Industrial and Applied Mathematics
CY  - Philadelphia
ER  -