A seamless multilevel ensemble transform particle filter
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Published version
OA Location
Author(s)
Gregory, ACA
Cotter, CJ
Type
Journal Article
Abstract
This paper presents a seamless algorithm for the application of the multilevel Monte
Carlo (MLMC) method to the ensemble transform particle filter (ETPF). The algorithm uses a combi-
nation of optimal coupling transformations between coarse and fine ensembles in difference estimators
within a multilevel framework, to minimise estimator variance. It differs from that of Gregory et al.
(2016) in that strong coupling between the coarse and fine ensembles is seamlessly maintained during
all stages of the assimilation algorithm, instead of using independent transformations to equal weights
followed by recoupling with an assignment problem. This modification is found to lead to an increased
rate in variance decay between coarse and fine ensembles with level in the hierarchy, a key component
of MLMC. This offers the potential for greater computational cost reductions. This is shown, alongside
evidence of asymptotic consistency, in numerical examples.
Carlo (MLMC) method to the ensemble transform particle filter (ETPF). The algorithm uses a combi-
nation of optimal coupling transformations between coarse and fine ensembles in difference estimators
within a multilevel framework, to minimise estimator variance. It differs from that of Gregory et al.
(2016) in that strong coupling between the coarse and fine ensembles is seamlessly maintained during
all stages of the assimilation algorithm, instead of using independent transformations to equal weights
followed by recoupling with an assignment problem. This modification is found to lead to an increased
rate in variance decay between coarse and fine ensembles with level in the hierarchy, a key component
of MLMC. This offers the potential for greater computational cost reductions. This is shown, alongside
evidence of asymptotic consistency, in numerical examples.
Date Issued
2017-11-28
Date Acceptance
2017-06-20
Citation
SIAM Journal on Scientific Computing, 2017, 39 (6), pp.A2684-A2701
ISSN
1095-7197
Publisher
Society for Industrial and Applied Mathematics
Start Page
A2684
End Page
A2701
Journal / Book Title
SIAM Journal on Scientific Computing
Volume
39
Issue
6
Copyright Statement
© 2017 SIAM. Published by SIAM under the terms of the Creative Commons 4.0 license
License URL
Sponsor
Engineering & Physical Science Research Council (E
Grant Number
FG4500853166-RG.MATH.103301
Subjects
math.NA
0102 Applied Mathematics
0103 Numerical And Computational Mathematics
0802 Computation Theory And Mathematics
Numerical & Computational Mathematics
Publication Status
Published