A new square root filtering algorithm

This paper introduces a new L-D measurement update algorithm. The new algorithm is superior to the conventional one when the ratio between the dimension of the state vector and the number of states directly related to the measurements is greater than one. The computational efficiency of the new algorithm is directly proportional to this ratio. The new algorithm is developed and discussed and its computation load is analyzed in comparison with the conventional L-D algorithm. An example demonstrates its efficiency. This measurement update algorithm together with recently introduced modified L-D propagation algorithm render an overall efficient L-D filtering scheme.