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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao IFAC Proceedings Vol...arrow_drop_down
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
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Article . 2008 . Peer-reviewed
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Square-Root Algorithms of Recursive Least-Squares Wiener Estimators in Linear Discrete-Time Stochastic Systems

Authors: Seiichi Nakamori;

Square-Root Algorithms of Recursive Least-Squares Wiener Estimators in Linear Discrete-Time Stochastic Systems

Abstract

Abstract This paper addresses the QR decomposition and UD factorization based square-root algorithms of the recursive least-squares (RLS) Wiener fixed-point smoother and filter. In the RLS Wiener estimators, the Riccati-type difference equations for the auto-variance function of the filtering estimate are included. Hence, by the roundoff errors, in the case of the small value of the observation noise variance, under a single precision computation, the auto-variance function becomes asymmetric and the estimators tend to be numerically instable. From this viewpoint, in the proposed square-root RLS Wiener estimators, in each stage updating the estimates, the auto-variance function of the filtering estimate is expressed in a symmetric positive semi-definite matrix and the stability of the RLS Wiener estimators is improved. In addition, in the square-root RLS Wiener estimation algorithms, the variance function of the state prediction error is expressed as a symmetric positive semi-definite matrix in terms of the UD factorization method.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
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