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- W1881096647 abstract "An important property of the Kalman filter is that the underlying Riccati flow is a contraction for the natural metric of the cone of symmetric positive definite matrices. The present paper studies the geometry of a low-rank version of the Kalman filter. The underlying Riccati flow evolves on the manifold of fixed rank symmetric positive semidefinite matrices. Contraction properties of the low-rank flow are studied by means of a suitable metric recently introduced by the authors." @default.
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- W1881096647 date "2012-08-04" @default.
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- W1881096647 title "The Geometry of Low-Rank Kalman Filters" @default.
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- W1881096647 doi "https://doi.org/10.1007/978-3-642-30232-9_3" @default.
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