A New Algorithm for Optimal Filtering of Discrete-Time Stationary Processes
- 1 November 1974
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control
- Vol. 12 (4) , 736-746
Abstract
An algorithm (which does not involve the usual Riccati-type equation) for computing the gain matrices of the Kalman filter is presented. If the dimension k of the state space is much larger than that of the observation process, the number of nonlinear equations to be solved in each step is of order k rather than $k^2$ as by the usual procedure.
Keywords
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