Abstract
The Rauch-Tung-Streibel smoother recursion is used to derive a new smoother algorithm based upon a decomposition of the linear model dynamical equation and maximizing use of rank 1 matrix modification. This new algorithm, it turns out, parallels Bierman's forward recursive square-root information filter/backward recursive U-D factorized covariance algorithm. The new result features computational efficiency, reliance on numerically stable matrix modification algorithms, and reduced computer storage.
Full Text
Published Version
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call