Stabilizing the fast Kalman algorithms
Jean-Luc Botto, George V. Moustakides · IEEE Transactions on Acoustics Speech and Signal Processing · 1989
The fast Kalman algorithms are stabilized by introducing a quantity that measures the accumulation of the roundoff errors. This quantity is used to correct the variables of the algorithm at every time step. The correction is defined as the solution of a specific minimization problem. The resulting algorithm still has the nice complexity properties of the original algorithm (linear in the number of parameters to be estimated), but it has a much more stable behavior.>