The Geometry of Low-Rank Kalman Filters

DOI10.1007/978-3-642-30232-9_3zbMath1269.93120arXiv1203.4049OpenAlexW1881096647MaRDI QIDQ5325892

Silvère Bonnabel, Rodolphe J. Sepulchre

Publication date: 31 July 2013

Published in: Matrix Information Geometry (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1203.4049

zbMATH Keywords

Kalman filtersymmetric positive definite matricesRiccati flowlow-rank flow

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Control/observation systems governed by ordinary differential equations (93C15)

Related Items (3)

Rank Deficiency of Kalman Error Covariance Matrices in Linear Time-Varying System With Deterministic Evolution ⋮ On the mathematical theory of ensemble (linear-Gaussian) Kalman-Bucy filtering ⋮ Rank-preserving geometric means of positive semi-definite matrices

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