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filtering-algorithm

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Code for the nested hybrid filters (NHFs), including four different implementations using sequential Monte Carlo (SMC), sequential quasi-Monte Carlo (SQMC), extended Kalman filters (EKFs) and ensemble Kalman filters (EnKFs). I have also included the implementation of the nested particle filter (NPF) and the two-stage filter to compare performance.

  • Updated Mar 11, 2024
  • MATLAB

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.

  • Updated May 19, 2021
  • Jupyter Notebook

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