An algorithm for propagating the square-root covariance matrix in triangular form
Byron D. Tapley, C. Choe · IEEE Transactions on Automatic Control · 1976
A method for propagating the square root of the state error covariance matrix in lower triangular form is described. The algorithm can be combined with any triangular square-root measurement update algorithm to obtain a triangular square-root sequential estimation algorithm. The triangular square-root algorithm compares favorably with the convential sequential estimation algorithm with regard to computation time.