论文标题
仅使用QR分解的正方形的Kalman滤波器
A Square-Root Kalman Filter Using Only QR Decompositions
论文作者
论文摘要
卡尔曼过滤器通过以平均值和协方差的形式存储对州估计的高斯描述来运行。 Square-Root Kalman滤波器不是直接存储和操纵协方差矩阵，而仅形成并更新协方差矩阵的三角矩阵平方根。所得算法在数值上比传统的卡尔曼过滤器更稳定，从而使工作精度的双倍受益。本文提出了平方根卡尔曼滤波器的公式，该滤波器利用QR分解以极大地简化所得算法。
The Kalman filter operates by storing a Gaussian description of the state estimate in the form of a mean and covariance. Instead of storing and manipulating the covariance matrix directly, a square-root Kalman filter only forms and updates a triangular matrix square root of the covariance matrix. The resulting algorithm is more numerically stable than a traditional Kalman filter, benefiting from double the working precision. This paper presents a formulation of the square root Kalman filter that leverages the QR decomposition to dramatically simplify the resulting algorithm.
