On the computation of derivatives within LD factorization of parametrized matrices

MaRDI QIDQ1717383zbMATH OpenFDO

Authors J. V. Tsyganova, A. V. Tsiganov

Publication date 5 February 2019

Published in The Bulletin of Irkutsk State University. Series Mathematics (Search for Journal in Brave)

Full work available at URL http://mathizv.isu.ru/journal/downloadArticle?article=_0ced65a7d3a94a32be48d16155b4cb92&lang=rus

zbMATH Keywords

computation of derivativesLD factorizationmodified weighted Gram-Schmidt orthogonalizationparametrized matrices

Mathematics Subject Classification ID

Factorization of matrices (15A23) Numerical differentiation (65D25)

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Cites work

• A parallel architecture for Kalman filter measurement update and parameter estimation
• Computational aspects of maximum likelihood estimation and reduction in sensitivity function calculations
• Computing the gradient of the auxiliary quality functional in the parametric identification problem for stochastic systems
• Constructing numerically stable Kalman filter-based algorithms for gradient-based adaptive filtering
• Experiments on Error Growth Associated with Some Linear Least-Squares Procedures
• Factorization methods for discrete sequential estimation
• scientific article; zbMATH DE number 1522903 (Why is no real title available?)
• Likelihood Gradient Evaluation Using Square-Root Covariance Filters
• Maximum likelihood estimation using square root information filters
• Maximum likelihood estimation via the extended covariance and combined square-root filters
• On efficient parametric identification methods for linear discrete stochastic systems
• On the Compuation of Lyapunov Exponents for Continuous Dynamical Systems
• Smooth factorizations of matrix valued functions and their derivatives
• Solvability of interval linear equations and data analysis under uncertainty
• Solving linear least squares problems by Gram-Schmidt orthogonalization
• State Sensitivity Evaluation Within UD Based Array Covariance Filters

Cited in

(1)

• A general approach for designing the MWGS-based information-form Kalman filtering methods

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