A Simple Means of Updating the SRIF Filter When the State Equations are in Triangular Form.

Abstract

The square-root information filter (SRIF), which is a numerical method of implementing the Kalman filter, was investigated. Under an important special case of no process noise and an upper triangular form of the state transition matrix the prediction process of the filter is of simple form. The transformed smoothed and predicted states are identical, and the smoothed and predicted covariance factors are related by a simple matrix transform. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Mar 29, 1978
Accession Number
ADA053356

Entities

People

  • Ben H. Cantrell

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Cartesian Coordinates
  • Covariance
  • Equations
  • Equations Of State
  • Filters
  • Gaussian Noise
  • Geometry
  • Kalman Filters
  • Measurement
  • Military Research
  • New York
  • Noise
  • Security
  • Square Roots
  • Transitions
  • Two Dimensional

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Linear Algebra