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Code for joint online parameter estimation and optimal sensor placement.

License: MIT License

C 2.56% R 97.44%
parameter-estimation sensor-placement stochastic-gradient-descent stochastic-differential-equations

rml-rosp's Introduction

RML-ROSP

This resository contains code for performing joint online parameter estimation and optimal sensor placement for a (partially observed) stochastic advection diffusion equation. It accompanies the following paper:

  • Sharrock, L. and Kantas, N. (2020). Joint Online Parameter Estimation and Optimal Sensor Placement for the Partially Observed Stochastic Advection Diffusion Equation. SIAM Journal of Uncertainty Quantification, 10(1), 55-95. DOI: https://doi.org/10.1137/20M1375073.

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