Efficient square-root algorithms for PDA, IMM and IMMPDA filters

Square-root formulations have not been developed for state-of-the-art tracking algorithms. The only exception is the square-root implementation of the PDAF by R. Kenefic (1990). It is shown that there is a substantially better implementation of the square-root probabilistic data association filter (PDAF) than Kenefic´s algorithm in terms of both numerical robustness and computational efficiency. On the average, the proposed algorithm requires half the number of computations required by Kenefic´s algorithm for square-root PDAF. The same approach is extended to develop computationally efficient square-root algorithms for the interesting multiple model (IMM) and IMM probabilistic data association (IMMPDA) filters