1 research outputs found
Block Diagonally Dominant Positive Definite Sub-optimal Filters and Smoothers
We examine stochastic dynamical systems where the transition matrix, ,
and the system noise, , covariance are nearly
block diagonal. When is also nearly block
diagonal, where is the observation noise covariance and is
the observation matrix, our suboptimal filter/smoothers are always positive
semi-definite, and have improved numerical properties. Applications for
distributed dynamical systems with time dependent pixel imaging are discussed