Efficient square root algorithm for measurement update in Kalman filtering

Abstract

This paper introduces a new L-D measurement update algorithm. The new algorithm is superior to the conventional one when only part of the states are directly related to the measurements. As the number of these states decreases, the computational efficiency of the new algorithm improves. The new algorithm is developed and discussed and its computation load is analyzed in comparison with th£ conventional L-D algorithm. An example demonstrates its efficiency. This measurement update algorithm together with a recently introduced modified UD propagation algorithm render an overall efficient square root filtering scheme. Identical results are obtained when a U-D rather than the L-D algorithm is used.