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Systolic approach to square root information Kalman filtering. (English) Zbl 0683.93081

Summary: The systolic approach to Kalman filtering is described, which reduces an algorithm to its computational components which can then be mapped onto a parallel processing array. Square root information processing is considered, and two new algorithms are derived from a least-squares viewpoint and are shown to be equivalent to the Kalman filter. Candidate systolic array architectures are developed, which compare favourably with recently published results [M. J. Chen and K. Yao, On realizations of least-squares estimation and Kalman filtering, Proc. 1st Int. Workshop systolic arrays, Oxford 1986, 161-170 (1986); S. Y. Kung, VLSI array processors (Englewood Cliffs/NJ 1988)].

MSC:

93E11 Filtering in stochastic control theory
93E25 Computational methods in stochastic control (MSC2010)
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References:

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