Time-parallelization of sequential data assimilation problems
Optimization and Control
2022-12-06 v1
Abstract
This paper is devoted to the problem of time parallelization of assimilation methods applying on unbounded time domain. In this way, we present a general procedure to couple the Luenberger observer with time parallelization algorithm. Our approach is based on a posteriori error estimates of the latter and preserves the rate of the non-parallelized observer. We then focus on the case where the Parareal algorithm is used as time parallelization algorithm, and derive a bound of the efficiency of our procedure. A variant devoted to the case a large number of processors is also proposed. We illustrate the performance of our approach with numerical experiments.
Cite
@article{arxiv.2212.02377,
title = {Time-parallelization of sequential data assimilation problems},
author = {Sebastián Riffo and Félix Kwok and Julien Salomon},
journal= {arXiv preprint arXiv:2212.02377},
year = {2022}
}