DocumentCode
813401
Title
A square-root data array solution of the continuous-discrete filtering problem
Author
Bierman, G.
Author_Institution
California Institute of Technology, Pasadena, CA, USA
Volume
18
Issue
6
fYear
1973
fDate
12/1/1973 12:00:00 AM
Firstpage
675
Lastpage
676
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;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1973.1100437
Filename
1100437
Link To Document