Square-root algorithms for parallel processing in optimal estimation

DOI10.1016/0005-1098(79)90046-3MaRDI QIDQ1258711zbMATH OpenOpenAlexFDO

Authors J. R. Dobbins, T. Kailath, Martin Morf, Benjamin Friedlander

Publication date 1979

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(79)90046-3

zbMATH Keywords

Discrete-Time Linear SystemsKalman FiltersLarge Scale SystemsParallel ProcessingSquare-Root AlgorithmsState EstimationTime- Invariant

Mathematics Subject Classification ID

Theory of operating systems (68N25) Large-scale systems (93A15) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Cites work

• A prefiltering version of the Kalman filter with new numerical integration formulas for Riccati equations
• A square root formulation of the Kalman covariance equations.
• A unifying framework for linear estimation: Generalized partitioned algorithms
• An algorithm for propagating the square-root covariance matrix in triangular form
• An application of the square-root information filter to large scale linear interconnected systems
• Factorization methods for discrete sequential estimation
• scientific article; zbMATH DE number 3159653 (Why is no real title available?)
• Integration-free interval doubling for Riccati equation solutions
• Optimal non-linear estimation†
• Riccati differential equations
• Scattering theory and linear least squares estimation. II: Discrete-time problems
• Square-root algorithms for least-squares estimation
• Square-root algorithms for the continuous-time linear least-square estimation problem

Cited in

(8)

• Discussion of Square root algorithms for parallel processing in optimal estimation
• Inner-outer factorization and the inversion of locally finite systems of equations
• Optimal structurally partitioned filter for undisturbable stochastic systems Part I. Basic theory
• ARMAX lattice algorithm for identification and prediction of dynamic systems
• Stability of dynamic models obtained by ARMAX lattice predictor
• Periodic solutions of Riccati equations applied to multirate sampling
• Some alternatives in recursive estimation†
• Parallel smoothing

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