Kalman filtering: theory and practice
Kalman filtering: theory and practice
Detection of abrupt changes: theory and application
Detection of abrupt changes: theory and application
Detection, Estimation, and Modulation Theory: Radar-Sonar Signal Processing and Gaussian Signals in Noise
Parallel Implementation of the Extended Square-Root Covariance Filter for Tracking Applications
IEEE Transactions on Parallel and Distributed Systems
On effective computation of the logarithm of the likelihood ratio function for Gaussian signals
ICCS'03 Proceedings of the 2003 international conference on Computational science: PartII
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An efficient method of scalarized calculation of the logarithmic likelihood function based on the array square-root implementation methods for Kalman filtering formulas was proposed. The algorithms of this kind were shown to be more stable to the roundoff errors than the conventional Kalman filter. The measurement scalarization technique enables a substantial reduction in the computational complexity of the algorithm. Additionally, the new implementations are classified with the array filtering algorithms and thereby are oriented to the parallel calculations. Computational results corroborated effectiveness of the new algorithm.