Lids-p-2152 Multiscale Systems , Kalman Filters , and Riccati Equations

@inproceedings{Choul2006Lidsp2152MS,
  title={Lids-p-2152 Multiscale Systems , Kalman Filters , and Riccati Equations},
  author={Kenneth C. Choul and Salih Alan and Willsky and Ramine Nikoukhah},
  year={2006}
}
In [1] we introduced a class of multiscale dynamic models described in terms of scale-recursive state space equations on a dyadic tree. An algorithm analogous to the Rauch-Tung-Striebel algorithmconsisting of a fine-to-coarse Kalman-filter-like sweep followed by a coarse-to-fine smoothing stepwas developed. In this paper we present a detailed system… CONTINUE READING