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math.OC2024
Low-rank approximated Kalman filter using Oja's principal component flow for discrete-time linear systems
Daiki Tsuzuki, Kentaro Ohki
The Kalman filter is indispensable for state estimation across diverse fields but faces computational challenges with higher dimensions. Approaches such as Riccati equation approxi…
math.OC2024
Low-rank approximated Kalman-Bucy filters using Oja's principal component flow for linear time-invariant systems
Daiki Tsuzuki, Kentaro Ohki
The Kalman-Bucy filter is extensively utilized across various applications. However, its computational complexity increases significantly in large-scale systems. To mitigate this c…