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arXiv · 2212.02377

Time-parallelization of sequential data assimilation problems

Sebastián Riffo·Félix Kwok·Julien Salomon
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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.

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Sebastián Riffo, Félix Kwok, Julien Salomon. 2022-12-05. Time-parallelization of sequential data assimilation problems. https://arxiv.org/abs/2212.02377

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