Sequential square root filtering and smoothing of discrete linear systems

DOI10.1016/0005-1098(74)90020-XzbMath0274.93061MaRDI QIDQ2265381

Gerald J. Bierman

Publication date: 1974

Published in: Automatica (Search for Journal in Brave)

Mathematics Subject Classification ID

Estimation and detection in stochastic control theory (93E10) Survival analysis and censored data (62N99)

Related Items (10)

Square-root RTS smoothing algorithms ⋮ Analytical uses of Kalman filtering in econometrics — A survey ⋮ Systems of seemingly unrelated regression equations with time varying coefficients -- an interplay of Kalman filtering, scoring, EM- and MINQUE-method ⋮ Supplement to 'A survey of data smoothing' ⋮ Measurement updating using the U-D factorization ⋮ A new forward-pass fixed-interval smoother using the U-D information matrix factorization ⋮ Construction and applications of discrete-time smoothing error models ⋮ Matrix factorization and Chandrasekhar equations techniques in the design of linear quadratic optimal control systems ⋮ Estimation: A brief survey ⋮ A new computationally efficient fixed-interval, discrete-time smoother

Cites Work

• Unnamed Item
• Unnamed Item
• Extension of square-root filtering to include process noise
• Extensions and Applications of the Householder Algorithm for Solving Linear Least Squares Problems
• Sensitivity analysis of discrete filtering and smoothing algorithms
• Fixed interval smoothing with discrete measurements

This page was built for publication: Sequential square root filtering and smoothing of discrete linear systems