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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Vydáno v:	IEEE transactions on automatic control Ročník 40; číslo 4; s. 761 - 766
Hlavní autoři:	PooGyeon Park, Kailath, T.
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	New York, NY IEEE 01.04.1995 Institute of Electrical and Electronics Engineers
Témata:	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
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Abstract	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.< >
AbstractList	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 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.< >
Author	PooGyeon Park Kailath, T.
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Cites_doi	10.1109/CDC.1988.194429 10.2514/6.1963-333 10.1109/TIT.1973.1055104 10.1086/144950 10.1049/ip-d.1989.0011 10.1007/BF01436075 10.1016/0005-1098(74)90020-X 10.1109/9.384225 10.1016/0005-1098(86)90051-8 10.1109/TAC.1975.1100994 10.1109/TAC.1971.1099816 10.1007/978-3-7091-2804-6 10.1007/BF00929358 10.1109/TAC.1974.1100576 10.1109/9.58568
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References	ref13 kaminski (ref9) 1971 ref14 ref20 ref11 watanabe (ref12) 1989; 136 ref22 ref10 ref1 dobbins (ref15) 1979 ref19 ref17a ref8 anderson (ref7) 1979 chandrasekhar (ref18) 1960 ref4 schmidt (ref2) 1970 ref3 ref6 ref5 bryson (ref21) 1963 kailath (ref16) 1980 (ref17b) 0
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SubjectTerms	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
Title	Square-root Bryson-Frazier smoothing algorithms
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