Block diagonally dominant positive definite approximate filters and smoothers

@article{Riedel1993BlockDD,
  title={Block diagonally dominant positive definite approximate filters and smoothers},
  author={Kurt S. Riedel},
  journal={Autom.},
  year={1993},
  volume={29},
  pages={779-783}
}
  • K. Riedel
  • Published 20 May 1993
  • Mathematics, Computer Science, Engineering
  • Autom.
We examine stochastic dynamical systems where the transition matrix, ∅, and the system noise, ГQГT, covariance are nearly block diagonal. When HTR−1H is also nearly block diagonal, where R is the observation noise covariance and H is the observation matrix, our suboptimal filter/smoothers are always positive semidefinite, and have improved numerical properties. Applications for distributed dynamical systems with time dependent pixel imaging are discussed. 
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