Square-root algorithms for the continuous-time linear least-square estimation problem

We present a simple differential equation for the triangular square root of the state error variance of the continuous-time Kalman filter. Unlike earlier methods of Andrews, and Tapley and Choe, this algorithm does not explicitly involve any antisymmetric matrix in the differential equation for the...

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Vydané v:	IEEE transactions on automatic control Ročník 23; číslo 5; s. 907 - 911
Hlavní autori:	Morf, M., Levy, B., Kailath, T.
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	IEEE 01.10.1978
Predmet:	Argon Contracts Differential equations Information systems Kalman filters Riccati equations Smoothing methods Stability State estimation White noise
ISSN:	0018-9286
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