Large-scale Kalman filtering using the limited memory BFGS method

zbMath1188.65084MaRDI QIDQ964112

Heikki Haario, Harri Auvinen, Johnathan M. Bardsley, Tuomo Kauranne

Publication date: 14 April 2010

Published in: ETNA. Electronic Transactions on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/231746

zbMATH Keywords

large-scale optimizationnumerical examplesKalman filterBayesian estimationmultiplication of matricesinversion of matriceslimited memory Broyden-Fletcher-Goldfarb-Shanno method

Mathematics Subject Classification ID

Related Items (5)

Optimal Low-rank Approximations of Bayesian Linear Inverse Problems ⋮ Numerical linear algebra in data assimilation ⋮ Goal-Oriented Optimal Approximations of Bayesian Linear Inverse Problems ⋮ Krylov space approximate Kalman filtering ⋮ Stabilized BFGS approximate Kalman filter

Uses Software

• L-BFGS

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