A Modified SRIF Filter Using LDL' Factorizations.

Abstract

The square-root information filter (SRIF filter), which is a numerical method of implementing the Kalman filter, was investigated. The SRIF filter was modified to accommodate LDL' factorization of the covariance rather than the usual LL' factorizations. This modification led to eliminating the square-root operations in the prewhiting process and a simple means of implementing a fading memory. (Author)

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Document Details

Document Type
Technical Report
Publication Date
May 15, 1978
Accession Number
ADA060745

Entities

People

  • B. H. Cantrell

Organizations

  • United States Naval Research Laboratory

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

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

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.