Comments on "Efficient time propagation of U-D covariance factors
Lawrence O. Lupash · IEEE Transactions on Automatic Control · 1983
In a recent paper Bierman presented an efficient time propagation technique of theU - Dcovariance factors for the form\phiP\phi^{T}, when the transition matrix\Phihas a block triangular structure. This note contributes some useful remarks related to the paper, and also presents an efficient implementation of a similar technique for the form\Phi P \Phi^{T}+ Q.