An application of the square-root information filter to large scale linear interconnected systems

The paper considers the use of numerically stable square-root information filter (SRIF) algorithms to reduce the computation and storage requirements of a certain class of large-scale linear interconnected systems (multistation satellite tracking is examined as an example). The reductions are in comparison with conventional sequential covariance type formulations. To illustrate the SRIF algorithm: a 40 subsystem, 10 state problem, for example, has its storage requirements reduced by a full order of magnitude (from 84255 to 8100).