Estimation of Spatially Varying Parameters with Application to Hyperbolic SPDES

Algorithm 4

KBF-EnKBF dual filter.

Require:, , , , and .

Ensure:, .

1: forto, do

2: fortodo

3:  Update using Equations (47a) and (47b)

4:  Update parameters using (48)

5:  end for

6:  Compute

7:  Compute

8: end for