Efficient time propagation of U-D covariance factors

DOI10.1109/TAC.1981.1102737zbMath0579.93070MaRDI QIDQ3703779

Gerald J. Bierman

Publication date: 1981

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

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)

Related Items (2)

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

This page was built for publication: Efficient time propagation of U-D covariance factors