Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

DOI10.1145/66888.69647zbMath0900.65399OpenAlexW2060213556MaRDI QIDQ4371624

Paul Van Dooren, Verhaegen, Michel, M. Vanbegin

Publication date: 4 February 1998

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: http://www.acm.org/pubs/contents/journals/toms/1989-15/

zbMATH Keywords

Kalman filteringnumerical algorithmssquare root covariance filtercondensed formssquare root information filter

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Signal detection and filtering (aspects of stochastic processes) (60G35) Probabilistic methods, stochastic differential equations (65C99)

Related Items (1)

Algorithm 675

Uses Software

• BLAS

This page was built for publication: Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms