Low-rank plus diagonal approximations for Riccati-like matrix differential equations

DOI10.1137/23M1587610MaRDI QIDQ6623661

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Publication date: 24 October 2024

Published in: SIAM Journal on Matrix Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

Kalman filterRiccati equationlow-rank approximationhigh dimensionmatrix differential equationmatrix manifoldsGaussian variational inference

Mathematics Subject Classification ID

Numerical analysis (65-XX)

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