Journal article
Square-Root Quadrature Kalman Filtering
Abstract
The quadrature Kalman filter (QKF) is a recursive, nonlinear filtering algorithm developed in the Kalman filtering framework. It computes the mean and covariance of all conditional densities using the Gauss–Hermite quadrature rule. In this correspondence, we develop a square-root extension of the quadrature Kalman filter using matrix triangularizations. The square-root quadrature Kalman filter (SQKF) propagates the mean and the square root of …
Authors
Arasaratnam I; Haykin S
Journal
IEEE Transactions on Signal Processing, Vol. 56, No. 6, pp. 2589–2593
Publisher
Institute of Electrical and Electronics Engineers (IEEE)
Publication Date
June 1, 2008
DOI
10.1109/tsp.2007.914964
ISSN
1053-587X