文章基本信息

标题：Algorithms for Block Tridiagonal Systems: Stability Results for Generalized Kalman Smoothing
本地全文：下载
作者：Aleksandr Y. Aravkin ; James V. Burke ; Bradley M. Bell 等
期刊名称：IFAC PapersOnLine
印刷版ISSN：2405-8963
出版年度：2021
卷号：54
期号：7
页码：821-826
DOI：10.1016/j.ifacol.2021.08.463
语种：English
出版社：Elsevier
摘要：AbstractBlock tridiagonal systems appear in classic Kalman smoothing problems, as well in generalized Kalman smoothing, where problems may have nonsmooth terms, singular covariance, constraints, nonlinear models, and unknown parameters. In this paper, first we interpret all the classic smoothing algorithms as different approaches to solve positive definite block tridiagonal linear systems. Then, we obtain new results on their numerical stability. Our outcomes apply to all systems with dynamic structure, informing both classic and modern inference for generalized Kalman smoothing.
关键词：Keywordsgeneralized Kalman smoothinglinear algebranumerical stabilityoptimization