Triangular Decomposition of a Positive Definite Matrix Plus a Symmetric Dyad with Applications to Kalman Filtering

Abstract

An algorithm for the triangular decomposition of the sum of a positive definite matrix and a symmetric dyad is described. Several applications of the algorithm to the implementation of a square root Kalman filter are given.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1972
Accession Number
AD0751784

Entities

People

  • Robert H. Turner
  • William S. Agee

Tags

Communities of Interest

  • Weapons Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Computational Science
  • Computations
  • Covariance
  • Decomposition
  • Equations
  • Filters
  • Filtration
  • Kalman Filtering
  • Kalman Filters
  • Linear Algebra
  • Measurement
  • Measuring Instruments
  • New Mexico
  • Numerical Analysis
  • Square Roots

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Approximation Theory.
  • Organizational Psychology.