Numerical aspects of different Kalman filter implementations
- 1 October 1986
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Automatic Control
- Vol. 31 (10), 907-917
- https://doi.org/10.1109/tac.1986.1104128
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
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