Fast J-Unitary Array Form of the Hyper H Filter


IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences   Vol.E88-A    No.11    pp.3143-3150
Publication Date: 2005/11/01
Online ISSN: 
DOI: 10.1093/ietfec/e88-a.11.3143
Print ISSN: 0916-8508
Type of Manuscript: PAPER
Category: Digital Signal Processing
H filter,  fast algorithm,  J-unitary transformation,  Kalman filter,  system identification,  

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In our previous work, the hyper H filter is developed for tracking of unknown time-varying systems. Additionally, a fast algorithm, called the fast H filter, of the hyper H filter is derived on condition that the observation matrix has a shifting property. This algorithm has a computational complexity of O(N) where N is the dimension of the state vector. However, there still remains a possibility of deriving alternative forms of the hyper H filter. In this work, a fast J-unitary form of the hyper H filter is derived, providing a new H fast algorithm, called the J-fast H filter. The J-fast H filter possesses a computational complexity of O(N), and the resulting algorithm is very amenable to parallel processing. The validity and performance of the derived algorithm are confirmed by computer simulations.