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:
“The great object in life is Sensation—to feel that we exist, even though in pain; it is this “craving void” which drives us to gaming, to battle, to travel, to intemperate but keenly felt pursuits of every description whose principal attraction is the agitation inseparable from their accomplishment.”
—George Gordon Noel Byron (1788–1824)
“Whose are the truly labored sentences? From the weak and flimsy periods of the politician and literary man, we are glad to turn even to the description of work, the simple record of the month’s labor in the farmer’s almanac, to restore our tone and spirits.”
—Henry David Thoreau (1817–1862)
“He hath achieved a maid
That paragons description and wild fame;
One that excels the quirks of blazoning pens.”
—William Shakespeare (1564–1616)