Numerically robust square root implementations of statistical linear regression filters and smoothers

Filip Tronarp

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arXiv · 2406.05188

Numerically robust square root implementations of statistical linear regression filters and smoothers

Filip Tronarp

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Abstract

In this article, square-root formulations of the statistical linear regression filter and smoother are developed. Crucially, the method uses QR decompositions rather than Cholesky downdates. This makes the method inherently more numerically robust than the downdate based methods, which may fail in the face of rounding errors. This increased robustness is demonstrated in an ill-conditioned problem, where it is compared against a reference implementation in both double and single precision arithmetic. The new implementation is found to be more robust, when implemented in lower precision arithmetic as compared to the alternative.

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Filip Tronarp. 2024-06-07. Numerically robust square root implementations of statistical linear regression filters and smoothers. https://arxiv.org/abs/2406.05188

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