A Kalman filter powered by $\mathcal{H}^2$-matrices for quasi-continuous   data assimilation problems
  Continuously tracking the movement of a fluid or a plume in the subsurface is a challenge that is often encountered in applications, such as tracking a plume of injected CO$_2$ or of a hazardous substance. Advances in monitoring techniques have made it possible to collect measurements at a high frequency while the plume moves, which has the potential advantage of providing continuous high-resolution images of fluid flow with the aid of data processing. However, the applicability of this approach is limited by the high computational cost associated with having to analyze large data sets within the time constraints imposed by real-time monitoring. Existing data assimilation methods have computational requirements that increase super-linearly with the size of the unknowns $m$. In this paper, we present the HiKF, a new Kalman filter (KF) variant powered by the hierarchical matrix approach that dramatically reduces the computational and storage cost of the standard KF from $\mathcal{O}(m^2)$ to $\mathcal{O}(m)$, while producing practically the same results. The version of HiKF that is presented here takes advantage of the so-called random walk dynamical model, which is tailored to a class of data assimilation problems in which measurements are collected quasi-continuously. The proposed method has been applied to a realistic CO$_2$ injection model and compared with the ensemble Kalman filter (EnKF). Numerical results show that HiKF can provide estimates that are more accurate than EnKF, and also demonstrate the usefulness of modeling the system dynamics as a random walk in this context. 
Judith Y. Li, Sivaram Ambikasaran, Eric F. Darve, Peter K. Kitanidis
math.NA cs.NA stat.CO