Square-root algorithms for least-squares estimation

DOI10.1109/TAC.1975.1100994MaRDI QIDQ4085594zbMATH OpenOpenAlexFDO

Authors Martin Morf, T. Kailath

Publication date 1975

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

Full work available at URL https://doi.org/10.1109/tac.1975.1100994

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10)

Cited in

(37)

• A parallel architecture for Kalman filter measurement update and parameter estimation
• Least squares modifications with inverse factorizations: Parallel implications
• Tracking the condition number for RLS in signal processing
• Adaptive Lanczos methods for recursive condition estimation
• On a Schur-algorithm based approach to spectral factorization: Connection with the Riccati equation
• Fast algorithm of Chandrasekhar type for ARMA model identification
• Square-root Kalman filtering of descriptor systems
• Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method
• Square-root algorithms for parallel processing in optimal estimation
• Inner-outer factorization and the inversion of locally finite systems of equations
• A tensor network Kalman filter with an application in recursive MIMO Volterra system identification
• Analytic derivatives for estimation of linear dynamic models
• A unified square-root approach for the score and Fisher information matrix computation in linear dynamic systems
• A general approach to constructing parameter identification algorithms in the class of square root filters with orthogonal and \(J\)-orthogonal tranformations
• Singular Riccati equations stabilizing large-scale systems
• Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems
• FILTERING AND SMOOTHING IN STATE SPACE MODELS WITH PARTIALLY DIFFUSE INITIAL CONDITIONS
• An implementation method for the discrete Kalman filter with applications to large-scale systems
• Semi- and quasi-separable systems
• Reduced-rank unscented Kalman filtering using Cholesky-based decomposition
• Analytical uses of Kalman filtering in econometrics — A survey
• Periodic solutions of Riccati equations applied to multirate sampling
• Some alternatives in recursive estimation†
• Matrix factorization and Chandrasekhar equations techniques in the design of linear quadratic optimal control systems
• Parallel computation of the modified extended kalman filter
• On efficient parametric identification methods for linear discrete stochastic systems
• Accuracy and efficiency of alternative spline smoothing algorithms
• Square-root RTS smoothing algorithms
• On practical implementation of robust kalman filtering
• Acoustic full-waveform inversion and its uncertainty estimation based on a vector-version square-root variable metric method
• STABLE ALGORITHMS FOR THE STATE SPACE MODEL
• An implicit and explicit dual model predictive control formulation for a steel recycling process
• Improved discrete-time Kalman filtering within singular value decomposition
• On the LU factorization of infinite systems of semi-separable equations
• An improved algorithm to solve a discrete matrix Riccati equation
• Maximum likelihood estimation of linear stochastic systems in the class of sequential square-root orthogonal filtering methods
• The exact likelihood for a multivariate ARMA model

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