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Extension of square-root filtering to include process noise

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Abstract

Two different square-root filters, one obtained by Potter and the other employing Householder transformations, are extended to include process noise. The relative numerical accuracy of various sequential filters is explored with several examples.

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Authors and Affiliations

  1. Jet Propulsion Laboratory, Pasadena, California

    P. Dyer (Senior Research Engineer)

  2. Space Guidance Theory Group, Jet Propulsion Laboratory, Pasadena, California

    S. McReynolds (Supervisor)

Authors
  1. P. Dyer
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  2. S. McReynolds
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Additional information

Communicated by Y. C. Ho

This paper presents the results of one phase of research performed at the Jet Propulsion Laboratory, California Institute of Technology, under NASA Contract No. NAS 7-100.

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Dyer, P., McReynolds, S. Extension of square-root filtering to include process noise. J Optim Theory Appl 3, 444–458 (1969). https://doi.org/10.1007/BF00929358

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  • DOI: https://doi.org/10.1007/BF00929358

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