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Table 2 Full-horizon TV UFIR filtering algorithm

From: Iterative unbiased FIR state estimation: a review of algorithms

Stage

 

Given:

K, nK.

Set:

x ̂ K 1 by (69) and G K−1 by (70) for m=0.

Update:

G n = [ H n T H n + ( F n G n 1 F n T ) 1 ] 1 ,

 

x ̂ n = F n x ̂ n 1 + G n H n T ( z n H n F n x ̂ n 1 ).