Sequential Estimation Algorithm Using a Continuous UDU' Covariance Factorization

DOI10.2514/3.55997MaRDI QIDQ4746767zbMATH OpenOpenAlexFDO

Authors B. D. Tapley, Joseph G. Peters

Publication date 1980

Published in Journal of Guidance and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2514/3.55997

zbMATH Keywords

covariance factorizationfiltering methodsGivens' transformationnumerical stabilitysquare root measurement update method

Mathematics Subject Classification ID

Factorization of matrices (15A23) Analysis of variance and covariance (ANOVA) (62J10) Sequential estimation (62L12) Probabilistic methods, stochastic differential equations (65C99)

Cited in

(1)

• The periodic optimality of LQ controllers satisfying strong stabilization.

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