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.