On practical implementation of robust kalman filtering
作者:
Rosario Romera,
Tomas Cipra,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1995)
卷期:
Volume 24,
issue 2
页码: 461-488
ISSN:0361-0918
年代: 1995
DOI:10.1080/03610919508813252
出版商: Marcel Dekker, Inc.
关键词: Robust Kalman Filter;Square Root Kalman Filter;Parallel Algorithm;Numerical Stability
数据来源: Taylor
摘要:
A parallel algorithm for Kalman filtering with contaminated observations is developed. This algorithm is suitable for the parallel computer implementation allowing to treat dynamic linear systems with large number of state variables in a robust recursive way. The implementation is based on the square root version of the Kalman filter. It represents a great improvement over serial implementations reducing drastically computational costs for each state update and avoiding numerical instability problems.
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