Large-scale Kalman filtering using the limited memory BFGS method.

Auvinen, H., et al. "Large-scale Kalman filtering using the limited memory BFGS method.." ETNA. Electronic Transactions on Numerical Analysis [electronic only] 35 (2009): 217-233. <http://eudml.org/doc/231746>.

@article{Auvinen2009,
author = {Auvinen, H., Bardsley, J.M., Haario, H., Kauranne, T.},
journal = {ETNA. Electronic Transactions on Numerical Analysis [electronic only]},
keywords = {Kalman filter; Bayesian estimation; large-scale optimization; numerical examples; multiplication of matrices; inversion of matrices; limited memory Broyden-Fletcher-Goldfarb-Shanno method},
language = {eng},
pages = {217-233},
publisher = {Kent State University, Department of Mathematics and Computer Science},
title = {Large-scale Kalman filtering using the limited memory BFGS method.},
url = {http://eudml.org/doc/231746},
volume = {35},
year = {2009},
}

TY - JOUR
AU - Auvinen, H.
AU - Bardsley, J.M.
AU - Haario, H.
AU - Kauranne, T.
TI - Large-scale Kalman filtering using the limited memory BFGS method.
JO - ETNA. Electronic Transactions on Numerical Analysis [electronic only]
PY - 2009
PB - Kent State University, Department of Mathematics and Computer Science
VL - 35
SP - 217
EP - 233
LA - eng
KW - Kalman filter; Bayesian estimation; large-scale optimization; numerical examples; multiplication of matrices; inversion of matrices; limited memory Broyden-Fletcher-Goldfarb-Shanno method
UR - http://eudml.org/doc/231746
ER -