Abstract:
This paper considers the problem of constructing a square-root modification of the S. Gillijns and B. D. Moor algorithm for simultaneous estimation of the state and the input of a discrete linear stochastic system in a state space.
In contrast to the solution proposed earlier by other authors, the obtained modification is written in the original covariance form.
Keywords:discrete linear stochastic system, Gillijns – De Moor algorithm, square-root algorithm.