Publication at Faculty of Mathematics and Physics |
2011
Abstract
Kalman filter is used in many applications such as GPS navigation systems and etc. When using Kalman filter on high-dimensional spaces, there is a problem with covariance matrix, which is, in many cases, too big to store in any computer memory.
Selected solutions to this problem, with a special attention to the Ensemble Kalman filter, are described in the presented paper. Plans for future research are briefly presented in the last part of the paper.