Titre du document / Document title

Square-root RTS smoothing algorithms

Auteur(s) / Author(s)

POOGYEON PARK ; KAILATH T. ;

Affiliation(s) du ou des auteurs / Author(s) Affiliation(s)

Stanford univ., dep. electrical eng., information systems lab., Stanford CA 94305-4055, ETATS-UNIS

Résumé / Abstract

Two kinds of new square-root algorithms for Rauch-Tung-Striebel (RTS) smoothing formulas are suggested : stable square-root algorithms and a fast square-root (or so-called Chandrasekhar-type) algorithm. The new stable square-root algorithms use square-root arrays composed of smoothed estimates and their error covariances. These square-root algorithms provide many advantages over the conventional algorithms with respect to systolic array and parallel implementations as well as numerical stability and conditioning. For the case of constant-parameter systems, a fast square-root algorithm is suggested, which requires less computation than others.

Revue / Journal Title

International Journal of Control   ISSN 0020-7179   CODEN IJCOAZ 

Source / Source

1995, vol. 62, n^o5, pp. 1049-1060 (1 p.)

Langue / Language

Anglais

Editeur / Publisher

Taylor & Francis, London, ROYAUME-UNI  (1965) (Revue)

Mots-clés anglais / English Keywords

Smoothing ; Algorithm ; Square root ; Kalman filtering ;

Mots-clés français / French Keywords

Lissage ; Algorithme ; Racine carrée ; Filtrage Kalman ; Formule Rauch Tung Striebel ;

Mots-clés espagnols / Spanish Keywords

Alisamiento ; Algoritmo ; Raíz cuadrada ; Filtrado Kalman ;

Localisation / Location

INIST-CNRS, Cote INIST : 7803 B, 35400005857389.0040