Title :
A square-root data array solution of the continuous-discrete filtering problem
Author_Institution :
California Institute of Technology, Pasadena, CA, USA
fDate :
12/1/1973 12:00:00 AM
Abstract :
The Dyer-McReynolds [1] discrete square-root filtering algorithm is extended to accommodate continuous dynamics. Differential equations are given to represent the time evolution of the filter data array. These equations are nonlinear, but it is shown that the nonlinearities act to enhance the stability of the solution.
Keywords :
Linear systems, time-varying; State estimation; Time-varying systems, linear; Automatic control; Covariance matrix; Differential equations; Filtering algorithms; Kalman filters; Nonlinear equations; Stability; State estimation; Writing;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1973.1100437
