Condensed Forms for Efficient Time-Invariant Kalman Filtering

DOI10.1137/0909034zbMath0645.65036OpenAlexW1983153116MaRDI QIDQ3788979

Verhaegen, Michel, Paul Van Dooren

Publication date: 1988

Published in: SIAM Journal on Scientific and Statistical Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0909034

zbMATH Keywords

linear systemcomputational efficiencycondensed formssquare root filtertime-invariant Kalman filtering

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10)

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