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kalman-bucy-filter

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fangyuan-ksgk / Multilevel-Ensemble-Kalman-Bucy-Filter

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This repository contains an implementation of the Multilevel Ensemble Kalman Bucy Filter. Code for HPC implementation with MPI cores, designed to run on Supercomputer Shaheen is also included. The algorithm deals with linear Gaussian filtering problems in continuous time and has appealing performance in high dimensions.

hpc supercomputer multilevel-models filtering-algorithm kalman-bucy-filter
  • Updated May 19, 2021
  • Jupyter Notebook

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