Square-root filtering via covariance SVD factors in the accurate continuous-discrete extended-cubature Kalman filter
DOI10.1016/j.apnum.2021.08.013zbMath1482.65008OpenAlexW3196685191MaRDI QIDQ2238819
Publication date: 2 November 2021
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2021.08.013
singular value decompositioncubature Kalman filtersquare-root filteringordinary differential questions solvers
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Numerical methods for initial value problems involving ordinary differential equations (65L05) Multistep, Runge-Kutta and extrapolation methods for ordinary differential equations (65L06) Numerical solutions to stochastic differential and integral equations (65C30) Numerical methods for stiff equations (65L04)
Uses Software
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