Cholesky-based reduced-rank square-root Kalman filtering

Proceedings of the American Control Conference

Volumn , Issue , 2008, Pages 3987-3992

  Chandrasekar, J ^a   Kim, I S ^a   Bernstein, D S ^a   Ridley, A J ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 52149114303     PISSN: 07431619     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/ACC.2008.4587116     Document Type: Conference Paper

References (14)

1. M. Lewis, S. Lakshmivarahan, and S. Dhall, Dynamic Data Assimilation: A Least Squares Approach, Cambridge, 2006.
2. G. Evensen, Data Assimilation: The Ensemble Kalman Filter, Springer, 2006.
3. D. S. Bernstein and D. C. Hyland, "The Optimal Projection Equations for Reduced-Order State Estimation," IEEE Trans. Autom. Contr., vol. AC-30, pp. 583-585, 1985.
4. P. Hippe and C. Wurmthaler, "Optimal Reduced-Order Estimators in the Frequency Domain: The Discrete-Time Case," Int. J. Contr., vol. 52, pp. 1051-1064, 1990.
5. J. Ballabrera-Poy, A. J. Busalacchi, and R. Murtugudde, "Application of a Reduced-Order Kalman Filter to Initialize a Coupled Atmosphere-Ocean Model: Impact on the Prediction of El Nino," J. Climate, vol. 14, pp.1720-1737, 2001.
6. S. F. Farrell and P. J. Ioannou, "State Estimation Using a Reduced-Order Kalman Filter," J. Atmos. Sci., vol. 58, pp. 3666-3680, 2001.
7. I. S. Kim, J. Chandrasekar, H. J. Palanthandalam-Madapusi, A. Ridley, and D. S. Bernstein, "State Estimation for Large-Scale Systems Based on Reduced-Order Error-Covariance Propagation," Proc. Amer. Contr. Conf., New York, June 2007.
8. S. Gillijns, D. S. Bernstein, and B. D. Moor, "The Reduced Rank Transform Square Root Filter for Data Assimilation," Proc. of the 14th IFAC Symposium on System Identification (SYSID2006), Newcastle, Australia, vol. 11, pp. 349-368, 2006.
9. M. Verlaan and A. W. Heemink, "Tidal Flow Forecasting Using Reduced-Rank Square-Root Filters," Stochastics Hydrology and Hydraulics, vol. 11, pp. 349-368, 1997.
10. J. L. Anderson, "An Ensemble Adjustment Kalman Filter for Data Assimilation," Monthly Weather Review, vol. 129, pp. 2884-2903, 2001.
11. M. K. Tippett, J. L. Anderson, C. H. Bishop, T. M. Hamill, and J. S. Whitaker, Monthly Weather Review, vol. 131, pp. 1485-1490, 2003.
12. G. W. Stewart, "Matrix Algorithms Volume 1: Basic Decompositions," SIAM, 1998.
13. D. S. Bernstein and D. C. Hyland, "Compartmental Modeling and Second-Moment Analysis of State Space Systems," SIAM J. Matrix Anal. Appl., vol. 14, no. 3, pp. 880-901, 1993.
14. D. S. Bernstein, Matrix Mathematics, Princeton University Press, 2005.