Abstract
A fast multiscale optimal interpolation algorithm has been adapted to the mapping of hydrographic and other oceanographic data. This multiscale algorithm produces solution and error estimates which are consistent with those obtained from exact least-squares methods, but at a small fraction of the computational cost. Problems whose solution would be completely impractical using exact least-squares, that is problems with tens or hundreds of thousands of measurements and estimation grid points, can easily be solved on a small workstation using the multiscale algorithm. Contrary to methods previously proposed for solving large least-squares problems, the multiscale approach provides error statistics while permitting long-range correlations, using all measurements, and permitting arbitrary measurement locations.
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