Updating the Kalman Filter in Terms of Correlation Coefficients and Standard Deviations.

Abstract

A factorization method of updating the Kalman filter is examined. The covariances are factored in terms of correlation coefficients and standard deviations. The covariances of the Kalman filter are then updated in terms of the factors. The technique is similar in principle to Carlson's UDU method but differs in the covariance factorization. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 17, 1978
Accession Number
ADA056359

Entities

People

  • B. H. Cantrell
  • Gerard V. Trunk

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Coefficients
  • Computations
  • Covariance
  • Equations
  • Equations Of State
  • Filters
  • Gaussian Noise
  • Kalman Filters
  • Measurement
  • Military Research
  • New York
  • Noise
  • Numbers
  • Square Roots
  • Standards

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Calculus or Mathematical Analysis