Square-root RTS smoothing algorithms

Two kinds of new square-root algorithms for Rauch-Tung-Striebel (RTS) smoothing formulas are suggested: stable square-root algorithms and a fast square-root (or so-called Chandrasekhar-type) algorithm. The new stable square-root algorithms use square-root arrays composed of smoothed estimates and th...

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Vydané v:International journal of control Ročník 62; číslo 5; s. 1049 - 1060
Hlavní autori: PARK, POOGYEON, KAILATH, THOMAS
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: London Taylor & Francis Group 01.11.1995
Taylor & Francis
Predmet:
Applied sciences
Computer science; control theory; systems
Control theory. Systems
Exact sciences and technology
Modelling and identification
Kalman filtering
Square root
Smoothing
Algorithm
ISSN:0020-7179, 1366-5820
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Popis
Shrnutí:Two kinds of new square-root algorithms for Rauch-Tung-Striebel (RTS) smoothing formulas are suggested: stable square-root algorithms and a fast square-root (or so-called Chandrasekhar-type) algorithm. The new stable square-root algorithms use square-root arrays composed of smoothed estimates and their error covariances. These square-root 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.
Bibliografia:ObjectType-Article-2
SourceType-Scholarly Journals-1
ObjectType-Feature-1
content type line 23
ISSN:0020-7179
1366-5820
DOI:10.1080/00207179508921582