Square-root RTS smoothing algorithms

DOI10.1080/00207179508921582zbMATH Open0839.93075OpenAlexW2010941966MaRDI QIDQ4858852FDOQ4858852

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

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zbMATH Keywords

smoothingKalman filteringparallel implementationinformation updatessquare-root algorithmscovariance updates

Mathematics Subject Classification ID

Data smoothing in stochastic control theory (93E14)

Cites Work

• Numerical methods for solving linear least squares problems
• Least Squares Computations by Givens Transformations Without Square Roots
• Extension of square-root filtering to include process noise
• Square-root algorithms for least-squares estimation
• Some new algorithms for recursive estimation in constant linear systems
• Some new algorithms for recursive estimation in constant, linear, discrete-time systems
• New square-root algorithms for Kalman filtering
• Sequential square root filtering and smoothing of discrete linear systems
• New computationally efficient formula for backward-pass fixed-interval smoother and its UD factorisation algorithm
• Covariance factorization algorithms for fixed-interval smoothing of linear discrete dynamic systems
• 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 Square Root and Division Free Givens Rotation for Solving Least Squares Problems on Systolic Arrays
• A unified square-root-free approach for QRD-based recursive-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
• Title not available (Why is that?)
• What is the Covariance Analog of the Paige and Saunders Information Filter?

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