An algorithm for propagating the square-root covariance matrix in triangular form

DOI10.1109/TAC.1976.1101134MaRDI QIDQ4079461zbMATH OpenFDO

Authors B. D. Tapley, C. Y. Choe

Publication date 1976

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

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation and detection in stochastic control theory (93E10)

Cited in

(2)

• Factorization methods for linear quadratic optimal control
• Square-root algorithms for parallel processing in optimal estimation

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