Citation
Abstract
A self-contained derivation of several square-root filter and smoother formulas is presented. The formulas include square-root versions of the Kalman filter, Rauch-Tung-Striebel (RTS) smoother, and Dyer-McReynolds Covariance Smoother (DMCS), along with the square-root information filter (SRIF). A stabilized version of the RTS smoother is also included. While most of the presented formulas have been independently derived and well documented, this presentation takes an unified approach through a random process named boomerang prediction residual, which simplifies both the derivations and formulas.
Keywords
Kalman filter
RTS smoother
square-root filter
SRIF
Details
- Volume
- 42-233
- Published
- May 15, 2023
- Pages
- 1–23
- File Size
- 369.0 KB