Accession Number:

ADA053356

Title:

A Simple Means of Updating the SRIF Filter When the State Equations are in Triangular Form.

Descriptive Note:

Interim rept.,

Corporate Author:

NAVAL RESEARCH LAB WASHINGTON D C

Personal Author(s):

Report Date:

1978-03-29

Pagination or Media Count:

14.0

Abstract:

The square-root information filter SRIF, which is a numerical method of implementing the Kalman filter, was investigated. Under an important special case of no process noise and an upper triangular form of the state transition matrix the prediction process of the filter is of simple form. The transformed smoothed and predicted states are identical, and the smoothed and predicted covariance factors are related by a simple matrix transform. Author

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE