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A square-root data array solution of the continuous-discrete filtering problem

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1 Author(s)
Bierman, G. ; California Institute of Technology, Pasadena, CA, USA

The Dyer-McReynolds [1] discrete square-root filtering algorithm is extended to accommodate continuous dynamics. Differential equations are given to represent the time evolution of the filter data array. These equations are nonlinear, but it is shown that the nonlinearities act to enhance the stability of the solution.

Published in:

Automatic Control, IEEE Transactions on  (Volume:18 ,  Issue: 6 )