Efficient time propagation of U-D covariance factors

DOI10.1109/TAC.1981.1102737zbMATH Open0579.93070MaRDI QIDQ3703779FDOQ3703779

Authors: Gerald J. Bierman 

Publication date: 1981

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

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zbMATH Keywords

Gram-Schmidt orthogonalization algorithmKalman filter covariance matrixTime propagation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Orthogonalization in numerical linear algebra (65F25)

Cited In (3)

• A new forward-pass fixed-interval smoother using the U-D information matrix factorization
• Discussion on: ``UDU factored discrete-time Lyapunov recursions and optimal reduced-order LQG problems
• Fast Kalman filter using hierarchical matrices and a low-rank perturbative approach

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