Stabilized BFGS approximate Kalman filter

DOI10.3934/ipi.2015.9.1003zbMath1335.60057OpenAlexW2278591591MaRDI QIDQ256092

Antti Solonen, Alexander Bibov, Heikki Haario

Publication date: 9 March 2016

Published in: Inverse Problems and Imaging (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/ipi.2015.9.1003

zbMATH Keywords

chaotic dynamicsextended Kalman filterapproximate Kalman filterBFGS updatelow-memory storageNewton-Schultz matrix inversion formulaeobservation-deficient inversion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Direct numerical methods for linear systems and matrix inversion (65F05)

Cites Work

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• An Improved Newton Iteration for the Generalized Inverse of a Matrix, with Applications
• Least Change Secant Updates for Quasi-Newton Methods
• Quasi-Newton Methods, Motivation and Theory
• Numerical Optimization
• Krylov space approximate Kalman filtering
• A Note on an Iterative Method for Generalized Inversion of Matrices

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