Some implementation considerations for numerically stable flight filters
Sam Strickland, Juris Vagners · 1979
In this paper, an efficient error covariance reset scheme is presented for upper-unitary triangulardiagonal (U-D) factored multimode filter applications. The numerical sensitivity of the U-D measurement update algorithm to state vector ordering is investigated, and the algorithm is shown to be sensitive to ordering of the measurement matrix with respect to zero and non-zero elements. An ordering scheme which takes advantage of this sensitivity is suggested by the results.