Title :
Numerical aspects of different Kalman filter implementations
Author :
Verhaegen, Michel ; Dooren, Paul
Author_Institution :
NASA Ames Research Center, Moffett Field, CA, USA
fDate :
10/1/1986 12:00:00 AM
Abstract :
A theoretical analysis is made of the error propagation due to numerical roundoff for four different Kalman filter implementations: the conventional Kalman filter, the square root covariance filter, the square root information filter, and the Chandrasekhar square root filter. An experimental analysis is performed to validate the new insights gained by the theoretical analysis.
Keywords :
Finite-wordlength effects; Kalman filtering, linear systems; Square-rooting; Analytical models; Covariance matrix; Enterprise resource planning; Information analysis; Information filtering; Information filters; Noise measurement; Performance analysis; Recursive estimation; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1986.1104128
