Condensed Forms for Efficient Time-Invariant Kalman Filtering

DOI10.1137/0909034zbMATH Open0645.65036OpenAlexW1983153116MaRDI QIDQ3788979FDOQ3788979

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

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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)

Cited In (2)

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

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