The cause of “exponential” divergence due to finite precision effects in the Fast Kalman algorithm

Abstract

In this paper, the exact and actual cause of the failure of the Fast-Kalman Algorithm due to the generation and propagation of finite-precision or quantization error is presented. It is demonstrated that out of all the formulas that constitute this fast Recursive Least Squares (RLS) scheme only three generate an amount of finite precision error that… (More)

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