Comments on "Efficient time propagation of U-D covariance factors

Abstract

In a recent paper Bierman presented an efficient time propagation technique of the U - D covariance factors for the form \phiP\phi^{T} , when the transition matrix \Phi has a block triangular structure. This note contributes some useful remarks related to the paper, and also presents an efficient implementation of a similar technique for the form \Phi P \Phi^{T}+ Q .