Fast Kalman Filter - Description

Description

The Fast Kalman filter applies only to systems with sparse matrices (Lange, 2001), since HWB is an inversion method to solve sparse linear equations (Wolf, 1978).

The ordinary Kalman filter is optimal for general systems. However, an optimal Kalman filter is probably stable only if Kalman's observability and controllability conditions are also satisfied (Kalman, 1960). These conditions are challenging to continuously maintain for a large system which means that even an optimal Kalman filter may diverge towards false solutions. Fortunately, the stability of an optimal Kalman filter can be controlled by monitoring its error variances if these can be reliably estimated. Their precise computation is, however, much more demanding than the optimal filtering itself but the FKF method may provide the required speed-up also in this respect.

Read more about this topic:  Fast Kalman Filter

Famous quotes containing the word description:

    I fancy it must be the quantity of animal food eaten by the English which renders their character insusceptible of civilisation. I suspect it is in their kitchens and not in their churches that their reformation must be worked, and that Missionaries of that description from [France] would avail more than those who should endeavor to tame them by precepts of religion or philosophy.
    Thomas Jefferson (1743–1826)

    The next Augustan age will dawn on the other side of the Atlantic. There will, perhaps, be a Thucydides at Boston, a Xenophon at New York, and, in time, a Virgil at Mexico, and a Newton at Peru. At last, some curious traveller from Lima will visit England and give a description of the ruins of St Paul’s, like the editions of Balbec and Palmyra.
    Horace Walpole (1717–1797)

    Do not require a description of the countries towards which you sail. The description does not describe them to you, and to- morrow you arrive there, and know them by inhabiting them.
    Ralph Waldo Emerson (1803–1882)