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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