Square-root Bryson-Frazier smoothing algorithms

Author

Park, PooGyeon ; Kailath, Thomas

Author_Institution

Dept. of Electr. Eng., Stanford Univ., CA, USA

Volume

40

Issue

4

fYear

1995

fDate

4/1/1995 12:00:00 AM

Firstpage

761

Lastpage

766

Abstract

Some new square-root algorithms for Bryson-Frazier smoothing formulas are suggested: square-root algorithms and a fast square-root (or so-called Chandrasekhar type) algorithm. The new square-root algorithms use square-root arrays composed of smoothed estimates and their error covariances. These 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

Keywords

Kalman filters; numerical stability; smoothing methods; Chandrasekhar type algorithm; conditioning; error covariances; numerical stability; parallel implementations; smoothed estimates; square-root Bryson-Frazier smoothing algorithms; square-root arrays; systolic array; Covariance matrix; Filtering algorithms; Kalman filters; Monitoring; Numerical stability; Prediction algorithms; Riccati equations; Smoothing methods; State estimation; Systolic arrays;

fLanguage

English

Journal_Title

Automatic Control, IEEE Transactions on

Publisher

ieee

ISSN

0018-9286

Type

jour

DOI

10.1109/9.376092

Filename

376092