A triangular covariance factorization for sequential filtering algorithms

A method for propagating the square-root of the state error covariance matrix in lower triangular UDU form is described. This update method can be combined with the UDU transformation used by Bierman to obtain the equations of a square-root free triangular estimation algorithm. The method is compared with the state transition matrix time update algorithm on the basis of integration accuracy, computational efficiency and storage requirements.