Square-root RTS smoothing algorithms

DOI10.1080/00207179508921582MaRDI QIDQ4858852zbMATH OpenOpenAlexFDO

Authors Poogyeon Park, T. Kailath

Publication date 23 June 1996

Published in International Journal of Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207179508921582

zbMATH Keywords

smoothingKalman filteringparallel implementationinformation updatessquare-root algorithmscovariance updates

Mathematics Subject Classification ID

Data smoothing in stochastic control theory (93E14)

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Cites work

• A Square Root and Division Free Givens Rotation for Solving Least Squares Problems on Systolic Arrays
• A new forward-pass fixed-interval smoother using the U-D information matrix factorization
• A parallel architecture for Kalman filter measurement update and parameter estimation
• A unified square-root-free approach for QRD-based recursive-least-squares estimation
• Covariance factorization algorithms for fixed-interval smoothing of linear discrete dynamic systems
• Extension of square-root filtering to include process noise
• Least Squares Computations by Givens Transformations Without Square Roots
• New computationally efficient formula for backward-pass fixed-interval smoother and its UD factorisation algorithm
• New square-root algorithms for Kalman filtering
• Numerical methods for solving linear least squares problems
• Sequential square root filtering and smoothing of discrete linear systems
• Some new algorithms for recursive estimation in constant linear systems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• Square-root algorithms for least-squares estimation

Cited in

(6)

• Fast algorithms for linear least squares smoothing problems in one and two dimensions using generalized discrete Bellman-Siegert-Krein resolvent identities
• New square-root algorithms for Kalman filtering
• The square-root overdetermined recursive instrumental variable algorithm
• Square-root Bryson-Frazier smoothing algorithms
• scientific article; zbMATH DE number 4184815 (Why is no real title available?)
• What is the Covariance Analog of the Paige and Saunders Information Filter?

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