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...

Full description

Bibliographic Details

Published in:	IEEE transactions on automatic control Vol. 23; no. 5; pp. 907 - 911
Main Authors:	Morf, M., Levy, B., Kailath, T.
Format:	Journal Article
Language:	English
Published:	IEEE 01.10.1978
Subjects:	Argon Contracts Differential equations Information systems Kalman filters Riccati equations Smoothing methods Stability State estimation White noise
ISSN:	0018-9286
Online Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!