• DocumentCode
    850881
  • Title

    Numerical aspects of different Kalman filter implementations

  • Author

    Verhaegen, Michel ; Dooren, Paul

  • Author_Institution
    NASA Ames Research Center, Moffett Field, CA, USA
  • Volume
    31
  • Issue
    10
  • fYear
    1986
  • fDate
    10/1/1986 12:00:00 AM
  • Firstpage
    907
  • Lastpage
    917
  • Abstract
    A theoretical analysis is made of the error propagation due to numerical roundoff for four different Kalman filter implementations: the conventional Kalman filter, the square root covariance filter, the square root information filter, and the Chandrasekhar square root filter. An experimental analysis is performed to validate the new insights gained by the theoretical analysis.
  • Keywords
    Finite-wordlength effects; Kalman filtering, linear systems; Square-rooting; Analytical models; Covariance matrix; Enterprise resource planning; Information analysis; Information filtering; Information filters; Noise measurement; Performance analysis; Recursive estimation; Vectors;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1986.1104128
  • Filename
    1104128
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=850881