PhD candidate Gaukhar Shaimerdenova attended the conference SIAM UQ in person held between April 12-15, 2022 in Atlanta, Georgia, U.S.
She was a session chair in the "UQ in Scientific and Statistical Computing - Part II" conference program. She presented the work "Multi-index Ensemble Kalman Filtering" by Håkon A. Hoel, Gaukhar Shaimerdenova, and Raul Tempone.
Abstract: In this work we marry multi-index Monte Carlo with en- semble Kalman filtering (EnKF) to produce the multi- index EnKF method (MIEnKF). The MIEnKF method is based on independent samples of four-coupled EnKF esti- mators on a multi-index hierarchy of resolution levels, and it may be viewed as an extension of the multilevel EnKF (MLEnKF) method developed by the same authors in 2020. Multi-index here refers to a two-index method, consisting of a hierarchy of EnKF estimators that are coupled in two degrees of freedom: time discretization and ensemble size. Under certain assumptions, the MIEnKF method is proven to be more tractable than EnKF and MLEnKF, and this is also verified in numerical examples.