3 papers
math.NA2025
Computing the matrix exponential and the Cholesky factor of a related finite horizon Gramian
Tony Stillfjord, Filip Tronarp
In this article, an efficient numerical method for computing both the matrix exponential and a finite horizon controllability Gramian in Cholesky-factored form is proposed. The met…
stat.ME2025
Numerically robust Gaussian state estimation with singular observation noise
Nicholas Krämer, Filip Tronarp
This article proposes numerically robust algorithms for Gaussian state estimation with singular observation noise. Our approach combines a series of basis changes with Bayes' rule,…
stat.ME2025
The two filter formula reconsidered: Smoothing in partially observed Gauss--Markov models without information parametrization
Filip Tronarp
In this article, the two filter formula is re-examined in the setting of partially observed Gauss--Markov models. It is traditionally formulated as a filter running backward in tim…