Polynomial Chaos based on the parallelized ensemble Kalman filter to estimate precipitation states

  • Luis Sanchez universidad de carabobo
  • Saba Infante
  • Jose Marcano
  • Victor Griffin


This article develops a methodology combining methods of numerical analysis and stochastic differential equations with computational algorithms to treat problems which have complex nonlinear dynamics in high dimensions. A method to estimate parameters and states of a dynamic system is proposed inspired by the parallelized ensemble Kalman filter (PEnKF) and the polynomial chaos theory of Wiener-Askey. The main advantage of the proposal is in providing a precise efficient algorithm with low computational cost. For the analysed data, the methods provide good predictions, spatially and temporally, for the unknown precipitation states for the first 24 hours. Two goodness of fit measures provide confidence in the quality of the model predictions. The performance of the parallel algorithm, measured by the acceleration and efficiency factors, shows an increase of 7% in speed with respect to the sequential version and is most efficient for P = 2 threads.


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How to Cite
Sanchez, L., Infante, S., Marcano, J., & Griffin, V. (2015). Polynomial Chaos based on the parallelized ensemble Kalman filter to estimate precipitation states. Statistics, Optimization & Information Computing, 3(1), 79-95. https://doi.org/10.19139/soic.v3i1.113
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