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Title: Algorithms for Block Tridiagonal Systems: Stability Results for Generalized Kalman Smoothing
Block 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.Elsevier  more » « less
Award ID(s):
1908890
PAR ID:
10310859
Author(s) / Creator(s):
; ; ;
Editor(s):
Díez, Jose Luis
Publisher / Repository:
Elsevier
Date Published:
Journal Name:
IFAC-PapersOnLine
Volume:
54
Issue:
7
ISSN:
2405-8963
Page Range / eLocation ID:
821-826
Subject(s) / Keyword(s):
generalized Kalman smoothing, linear algebra, numerical stability, optimization
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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