Measurement updating using the U-D factorizationA new mechanization of the Kalman updating algorithm based on a U-D factorization of the estimate error covariance is introduced. Efficient and stable updating recursions are developed for the unit upper triangular factor U and the diagonal factor D, treating only the parameter estimation problem. Properties of the factorization update performed here include efficient one point at a time processing that requires little more computation than the optimal but numerically unstable conventional Kalman measurement update algorithm, and stability that compares with the square root filter.
Document ID
19770029583
Acquisition Source
Legacy CDMS
Document Type
Conference Proceedings
Authors
Bierman, G. J. (California Institute of Technology, Jet Propulsion Laboratory, Pasadena Calif., United States)