Factorization Methods for Discrete Sequential Estimation

Gerald J Bierman
Dover Publications
 9780486449814
0-486-44981-5

This estimation reference text thoroughly describes matrix factorization methods successfully employed by numerical analysts, familiarizing readers with the techniques that lead to efficient, economical,.

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reliable, and flexible estimation algorithms.Topics include a review of least squares data processing and the Kalman filter algorithm; positive definite matrices, the Cholesky decomposition, and some of their applications; Householder orthogonal transformations; sequential square root data processing; mapping effects and process noise; biases and correlated process noise; and covariance analysis of effects due to mismodeled variables and incorrect filter a priori statistics. The concluding chapters explore SRIF error analysis of effects due to mismodeled variables and incorrect filter a priori statistics as well as square root information smoothing. Geared toward advanced undergraduates and graduate students, this pragmatically oriented and detailed presentation is also a useful reference, featuring numerous helpful appendixes throughout the text.