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- W2105413061 abstract "Time propagation of the Kalman filter covariance matrix involves an operation of the form <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>Phi P Phi^{T}</tex> . For many applications <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>Phi</tex> has a block triangular structure. When the filter implementation employs <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>U-D</tex> covariance factorization (i.e., recursions for <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>U</tex> and <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>D</tex> are used, where <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>P=UDU^{T}</tex> , with <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>U</tex> unit upper triangular and <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>D</tex> diagonal) this matrix structure can be used to reduce the computation cost of time propagation. The contribution of this paper is a streamlined Gram-Schmidt orthogonalization algorithm that can dramatically reduce <tex xmlns:mml=http://www.w3.org/1998/Math/MathML xmlns:xlink=http://www.w3.org/1999/xlink>U-D</tex> time update computation costs." @default.
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- W2105413061 date "1981-08-01" @default.
- W2105413061 modified "2023-09-23" @default.
- W2105413061 title "Efficient time propagation of U-D covariance factors" @default.
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- W2105413061 doi "https://doi.org/10.1109/tac.1981.1102737" @default.
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