Block Diagonally Dominant Positive Definite Sub-optimal Filters and Smoothers

03/14/2018

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by   Kurt S. Riedel, et al.

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We examine stochastic dynamical systems where the transition matrix, Φ, and the system noise, ΓQΓ^T, covariance are nearly block diagonal. When H^T R^-1H is also nearly block diagonal, where R is the observation noise covariance and H is the observation matrix, our suboptimal filter/smoothers are always positive semi-definite, and have improved numerical properties. Applications for distributed dynamical systems with time dependent pixel imaging are discussed.