Efficient square-root algorithms for PDA, IMM and IMMPDA filters

Square-root formulations have not been developed for state-of-the-art tracking algorithms. The only exception is the square-root implementation of the PDAF by R. Kenefic (1990). It is shown that there is a substantially better implementation of the square-root probabilistic data association filter (PDAF) than Kenefic's algorithm in terms of both numerical robustness and computational efficiency. On the average, the proposed algorithm requires half the number of computations required by Kenefic's algorithm for square-root PDAF. The same approach is extended to develop computationally efficient square-root algorithms for the interesting multiple model (IMM) and IMM probabilistic data association (IMMPDA) filters.<
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