Algorithm 900: A discrete time Kalman filter package for large scale problems

Abstract

Data assimilation is the process of feeding a partially unknown prediction model with available information from observations, with the objective of correcting and improving the modeled results. One of the most important mathematical tools to perform data assimilation is the Kalman filter. This is essentially a predictor-corrector algorithm that is optimal… (More)
DOI: 10.1145/1644001.1644012

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