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Data filters may be separated into two categories being continuous filters or discrete filters. Continuous data filters are described by a matrix differential equation or Ricatti equation and discrete filters are obtained by solving the continuous equations over some finite time interval.
A new method to efficiently downdate an estimate and covariance generated by a discrete time Square Root Information Filter (SRIF) is presented. The method combines the QR factor downdating algorithm of Gill and the decentralized SRIF algorithm of Bierman. Efficient removal of either measurements or a priori information is possible without loss of numerical integrity. Moreover, the method includes features for detecting potential numerical degradation. Performance on a 300 parameter system with 5800 data points shows that the method can be used in real time and hence is a promising tool for interactive data analysis. Additionally, updating a time-varying SRIF filter with either additional measurements or a priori information proceeds analogously.
It is demonstrated that use of the square root information filter (SRIF) can reduce the storage and computation required for estimation of certain classes of large-scale interconnected systems. The SRIF uses an information array that is related to the Kalman filter covariance and estimate. The SRIF algorithm, which is optimal, is a direct application of matrix partitioning to some optimal filtering algorithms described in the literature. The SRIF algorithm is able to reduce the storage requirements of a 40-subsystem 10-state problem by a full order of magnitude.
The paper considers the use of numerically stable square-root information filter (SRIF) algorithms to reduce the computation and storage requirements of a certain class of large-scale linear interconnected systems (multistation satellite tracking is examined as an example). The reductions are in comparison with conventional sequential covariance type formulations. To illustrate the SRIF algorithm: a 40 subsystem, 10 state problem, for example, has its storage requirements reduced by a full order of magnitude (from 84255 to 8100).