论文信息 - Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

In this paper, codes are provided for two of the most popular square root filters: the Square Root Covariance Filter and the Square Root Information Filter. We also give efficient implementations for the time invariant case based on so-called condensed forms. All routines make extensive use of BLAS routines.

[1] B. Anderson,et al. Optimal Filtering , 1979, IEEE Transactions on Systems, Man, and Cybernetics.

[2] P. Dooren,et al. Condensed forms for efficient time-invariant Kalman filtering , 1988 .

[3] Michel Verhaegen,et al. On the use of unitary state-space transformations , 1985 .

[4] Jack J. Dongarra,et al. An extended set of FORTRAN basic linear algebra subprograms , 1988, TOMS.

[5] Charles L. Lawson,et al. Basic Linear Algebra Subprograms for Fortran Usage , 1979, TOMS.

[6] Charles R. Johnson,et al. Linear algebra and its role in systems theory , 1985 .

[7] G. Bierman. Factorization methods for discrete sequential estimation , 1977 .

[8] Charles L. Lawson,et al. Algorithm 539: Basic Linear Algebra Subprograms for Fortran Usage [F1] , 1979, TOMS.