Square Root Modified Bryson-Frazier Smoother

We derive here an algorithm for a complete square root implementation of the modified Bryson-Frazier (MBF) smoother. The MBF algorithm computes the smoothed covariance as the difference of two symmetric matrices. Numerical errors in this differencing can result in the covariance matrix not being pos...

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Bibliographic Details
Published in:	IEEE transactions on automatic control Vol. 56; no. 2; pp. 452 - 456
Main Author:	Gibbs, R G
Format:	Journal Article
Language:	English
Published:	New York, NY IEEE 01.02.2011 Institute of Electrical and Electronics Engineers The Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subjects:	Algorithms Applied sciences Automatic control Computation Computer science; control theory; systems Control theory. Systems Covariance Covariance matrix Equations Estimation Exact sciences and technology Kalman filtering Kalman filters Mathematical analysis Mathematical model Matrices Matrix decomposition Matrix methods Modelling and identification Roots Smoothing methods Symmetric matrices Covariance Symmetric matrix Kalman filter Estimation Positive definite matrix Householder transformation Kalman filtering Covariance matrix
ISSN:	0018-9286, 1558-2523
Online Access:	Get full text
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