Square-root Bryson-Frazier smoothing algorithms

Some new square-root algorithms for Bryson-Frazier smoothing formulas are suggested: square-root algorithms and a fast square-root (or so-called Chandrasekhar type) algorithm. The new square-root algorithms use square-root arrays composed of smoothed estimates and their error covariances. These algo...

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Bibliographic Details
Published in:IEEE transactions on automatic control Vol. 40; no. 4; pp. 761 - 766
Main Authors: PooGyeon Park, Kailath, T.
Format: Journal Article
Language:English
Published: New York, NY IEEE 01.04.1995
Institute of Electrical and Electronics Engineers
Subjects:
Applied sciences
Covariance matrix
Detection, estimation, filtering, equalization, prediction
Exact sciences and technology
Filtering algorithms
Information, signal and communications theory
Kalman filters
Monitoring
Numerical stability
Prediction algorithms
Riccati equations
Signal and communications theory
Signal, noise
Smoothing methods
State estimation
Systolic arrays
Telecommunications and information theory
Signal processing
Parameter estimation
Filtering
Algorithm
Kalman filter
Signal estimation
ISSN:0018-9286
Online Access:Get full text
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Summary:Some new square-root algorithms for Bryson-Frazier smoothing formulas are suggested: square-root algorithms and a fast square-root (or so-called Chandrasekhar type) algorithm. The new square-root algorithms use square-root arrays composed of smoothed estimates and their error covariances. These algorithms provide many advantages over the conventional algorithms with respect to systolic array and parallel implementations as well as numerical stability and conditioning. For the case of constant-parameter systems, a fast square-root algorithm is suggested, which requires less computation than others.< >
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ISSN:0018-9286
DOI:10.1109/9.376092