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TOMS Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

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TOMS Algorithm 675

Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

Original source code may be downloaded from Netlib.

Use of this algorithm is subject to the ACM Software License Agreement.

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TOMS Algorithm 675: Fortran subroutines for computing the square root covariance filter and square root information filter in dense or Hessenberg forms

fortran filter information square optimal root acm filtering covariance kalman toms hessenberg-forms

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Fortran 100.0%