Condensed Forms for Efficient Time-Invariant Kalman Filtering

DOI10.1137/0909034MaRDI QIDQ3788979zbMATH OpenOpenAlexFDO

Authors Paul van Dooren, Michel Verhaegen

Publication date 1988

Published in SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0909034

zbMATH Keywords

linear systemcomputational efficiencycondensed formssquare root filtertime-invariant Kalman filtering

Mathematics Subject Classification ID

Numerical optimization and variational techniques (65K10) Filtering in stochastic control theory (93E11)

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Cited in

(2)

• Computational Methods for Linear Matrix Equations
• Unified forms for Kalman and finite impulse response filtering and smoothing

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