Square-root algorithms of RLS Wiener filter and fixed-point smoother in linear discrete stochastic systems

This paper addresses the QR decomposition and UD factorization based square-root algorithms of the recursive least-squares (RLS) Wiener fixed-point smoother and filter. In the RLS Wiener estimators, the Riccati-type difference equations for the auto-variance function of the filtering estimate are in...

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Vydané v:	Applied mathematics and computation Ročník 203; číslo 1; s. 186 - 193
Hlavný autor:	Nakamori, S.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	New York, NY Elsevier Inc 01.09.2008 Elsevier
Predmet:	Algebra Algebraic geometry Covariance information Discrete-time systems Exact sciences and technology Finite differences and functional equations Global analysis, analysis on manifolds Mathematical analysis Mathematics Numerical analysis Numerical analysis. Scientific computation Numerical linear algebra Sciences and techniques of general use Square-root algorithms Topology. Manifolds and cell complexes. Global analysis and analysis on manifolds Wiener–Hopf equation Discrete-time systems Wiener–Hopf equation Covariance information Square-root algorithms Wiener Hopf equation Error estimation Decomposition method Discrete system Difference equation Stochastic system Variance Direct method Fix point Least squares method Factorization method Numerical stability Transcendental equation Filtering Recurrence relation Numerical linear algebra Recursive algorithm Numerical analysis Linear system Matrix inversion Applied mathematics Symmetric matrix Positive definite matrix Discrete time Riccati equation Wiener-Hopf equation
ISSN:	0096-3003, 1873-5649
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