C.H. Wells
Abstract
This correspondence presents the results of the application of the matrix inversion lemma to the Kalman filter equation. This operation eliminates the inversion process in the Kalman filter and enables one to sequentially compute the optimum estimate of the state without the use of the inversion process.
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This correspondence presents the results of the application of the matrix inversion lemma to the Kalman filter equation. This operation eliminates the inversion process in the Kalman filter and enables one to sequentially compute the optimum estimate of the state without the use of the inversion process.
Key concepts: Ensemble Kalman filter, Kalman filter, Invariant extended Kalman filter, Fast Kalman filter, Alpha beta filter, Inversion (geology), Extended Kalman filter, Control theory (sociology)