A Square-Root Kalman Filter Using Only QR Decompositions

Code

• github.com/kevin-tracy/qrkalmanfilter
  OfficialIn papernone★ 23

Abstract

The Kalman filter operates by storing a Gaussian description of the state estimate in the form of a mean and covariance. Instead of storing and manipulating the covariance matrix directly, a square-root Kalman filter only forms and updates a triangular matrix square root of the covariance matrix. The resulting algorithm is more numerically stable than a traditional Kalman filter, benefiting from double the working precision. This paper presents a formulation of the square root Kalman filter that leverages the QR decomposition to dramatically simplify the resulting algorithm.

Reproductions