Factorized extended Kalman filter for optical processing
James L. Fisher, David P. Casasent, Charles P. Neuman · Applied Optics · 1986
Kalman filtering represents formidable linear algebra computational requirements for each new input measurement vector. An architecture-motivated implementation of a discrete-time extended Kalman filter algorithm is presented. This particular formulation takes advantage of the following features of the optical processor architecture: the ability to perform matrix–vector operations, floating-point capabilities, and specially designed matrix–vector L U decomposition operations. A factorized L D LT algorithm is used to propagate the covariance matrices between sample times. The air-to-air missile guidance problem is used as a case study wherein an extended Kalman filter is required due to the nonlinear nature of the measurement equations.