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The Computer Journal 1971 14(3):285-290; doi:10.1093/comjnl/14.3.285
© 1971 by British Computer Society
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A computational algorithm for sequential estimation*

R. J. Hanson1 § and P. Dyer2 ¶

1 Section 391, California Institute of Technology, Jet Propulsion Laboratory, 4800 Oak Grove Drive, Pasadena, California, USA, 2 Imperial Chemical Industries Ltd., Central Instrument Research Laboratory, Bozedown House, Whitchurch Hill, Reading, UK

This paper details a highly reliable computational algorithm for sequential least squares estimation (filtering) with process noise. The various modular components of the algorithm are described in detail so that their conversion to computer code is straightforward. These components can also be used to solve any least squares problem with possibly rank deficient coefficient matrices.

Received February 1969. Revised October 1970.

* This paper presents the results of one phase of research carried out at the Jet Propulsion Laboratory, California Institute of Technology, under Contract No. NAS 7-100, sponsored by the National Aeronautics and Space Administration.

§ Section 391, California Institute of Technology, Jet Propulsion Laboratory, 4800 Oak Grove Drive, Pasadena, California 91103, USA

Imperial Chemical Industries Ltd., Central Instrument Research Laboratory, Bozedown House, Whitchurch Hill, Berkshire


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