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84. J. J. Dongarra, C. B. Moler, J. R. Bunch, and G. W. Stewart, LINPACK Users' Guide,
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88. W. C. Gear, Numerical Initial Value Problems in Ordinary Differential Equations,
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89. G. H. Golub and C. F. Van Loan, Matrix Computations, 2nd ed., Johns Hopkins
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91. C. L. Lawson and R. J. Hanson, Solving Least Squares Problems, Prentice-Hall,
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92. J. C. Nash, Compact Numerical Methods for Computers: Linear Algebra and Function
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94. A. Ralston and P. Rabinowitz, A First Course in Numerical Analysis, McGraw-Hill,
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95. J. Stoer and R. Bulirsh, Introduction to Numerical Analysis, Springer-Verlag, New York,
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96. S. Van Huffel and J. Vanderwalle, The Total Least Squares Problem: Computational
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Miscellaneous Books
97. R. M. L. Baker and M. W. Makemson, An Introduction to Astrodynamics, Academic,
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98. G. M. Jenkins and D. G. Watts, Spectral Analysis and Its Applications, Holden-Day, San
Francisco, 1968.
99. T. Kailath, ``Equations of Wiener-Hopf type in ®ltering theory and related applications,''
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100. M. Schwartz and L. Shaw, Signal Processing, Discrete Spectral Analysis, Detection, and
Estimation, McGraw-Hill, New York, 1975.
101. L. Strachey, Eminent Victorians, Penguin Books, London, 1988.
102. D. J. Struik, A Concise History of Mathematics, Dover, New York, 1987.
103. N. Wiener, Time Series, MIT Press, Cambridge, MA, 1964 (originally published in 1949
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104. N. Wiener, Ex-Pridigy: My Childhood and Youth, MIT Press, Cambridge, MA, 1964.
105. N. Wiener, I Am a Mathematician, MIT Press, Cambridge, MA, 1964.
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107. ANSI=IEEE Std. 754-1985, IEEE Standard for Binary Floating-Point Arithmetic, The
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108. J. L. Center, J. A. D'Appolito, and S. I. Marcus, Reduced-Order Estimators and Their
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110. R. C. DiPietro and F. A. Farrar, Comparative Evaluation of Numerical Methods for
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111. R. M. DuPlessis, Poor Man's Explanation of Kalman Filtering, or How I Stopped
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112. M. S. Grewal and A. P. Andrews, Application of Kalman Filtering to GPS, INS, &
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113. K. Ito, Lectures on Stochastic Processes, Tata Institute of Fundamental Research,
Ã
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114. R. E. Kalman, Phase-Plane Analysis of Nonlinear Sampled-Data Servomechanisms,
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115. P. G. Kaminski, Square Root Filtering and Smoothing for Discrete Processes, Ph.D.
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116. C. T. Leondes, Ed., Theory and Applications of Kalman Filtering, AGARDograph No.
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1970.
117. C. T. Leondes, Ed., Advances in the Techniques and Technology of the Application of
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for Aerospace Research and Development, Paris, 1982.
118. L. A. McGee and S. F. Schmidt, Discovery of the Kalman Filter as a Practical Tool for
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119. J. E. Potter, A Matrix Equation Arising in Statistical Estimation Theory, Report No.
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120. J. M. Rankin, Kalman Filtering Approach to Market Price Forecasting, Ph.D. Thesis,
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121. J. M. Richardson and K. A. Marsh, ``Nonlinear ®ltering theory and its applications,''
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122. G. T. Schmidt, Ed., Practical Aspects of Kalman Filtering Implementation, AGARD±LS±
82, NATO Advisory Group for Aerospace Research and Development, London, May
1976.
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123. S. F. Schmidt, ``Computational techniques in Kalman ®ltering,'' in Theory and Applica-
tions of Kalman Filtering, AGARDograph 139, NATO Advisory Group for Aerospace
Research and Development, London, Feb. 1970.
124. C. L. Thornton, Triangular Covariance Factorizations for Kalman Filtering, Ph.D.
Thesis, University of California at Los Angeles, School of Engineering, 1976.
125. C. L. Thornton and G. J. Bierman, A Numerical Comparison of Discrete Kalman
Filtering Algorithms: An Orbit Determination Case Study, JPL Technical Memorandum
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126. W. S. Widnall and P. A. Grundy, Inertial Navigation System Error Models, Tech. Rep.
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127. M. A. Woodbury, Inverting Modi®ed Matrices, Memorandum Report 42, Statistical
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129. B. D. O. Anderson, ``Second-order convergent algorithms for the steady-state Riccati
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130. A. Andrews, ``A square root formulation of the Kalman covariance equations,'' AIAA
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131. A. Andrews, ``Marginal optimization of observation schedules,'' AIAA Journal of
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132. R. B. Asher, P. S. Maybeck, and R. A. K. Mitchell, ``Filtering for precision pointing and
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133. M. Athans et al., Guest Eds., ``Special issue on linear-quadratic-Gaussian problem,''
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134. R. W. Bass, V. D. Norum, and L. Schwartz, ``Optimal multichannel nonlinear ®ltering,''
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135. R. H. Battin, ``Space guidance evolutionÐa personal narrative,'' AIAA Journal of
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136. J. F. Bellantoni and K. W. Dodge, ``A square root formulation of the Kalman-Schmidt
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137. T. R. Benedict and G. W Bordner, ``Synthesis of an optimal set of radar track-while scan
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138. J. M. Bennet, ``Triangular factors of modi®ed matrices,'' Numerische Mathematik, Vol. 7,
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139. Commandant Benoit, ``Sur une methode de resolution des equations normales provenant
‚ ‚ ‚
de l'application de la methode des moindes carres a un systeme d'equations lineaires en
‚ ‚ Á ‚ ‚
numbre inferieur a celui des inconnuesÐapplication de la methode a la resolution d'un
‚ ‚
systeme de®ni d'equations lineaires (Procede du Commandant Cholesky),'' Bulletin
Á ‚ ‚ ‚‚
‚Ã
Geodesique et Geophysique Internationale, Vol. 2, Toulouse, pp. 67±77, 1924.

140. G. J. Bierman, ``A new computationally ef®cient ®xed-interval discrete time smoother,''
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141. A. Bjorck, ``Solving least squares problems by orthogonalization,'' BIT, Vol. 7, pp. 1±21,
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142. F. R. Bletzacker et al., ``Kalman ®lter design for integration of Phase III GPS with an
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143. H. W. Bode and C. E. Shannon, ``A simpli®ed derivation of linear least-squares
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144. J.-L. Botto and G. V. Moustakides, ``Stabilizing the fast Kalman ®lter algorithms,'' IEEE
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145. K. Brodie, D. Eller and G. Seibert, ``Performance analysis of integrated navigation
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146. A. E. Bryson, Jr., and D. E. Johansen, ``Linear ®ltering for time-varying systems using
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147. R. S. Bucy, ``Nonlinear ®ltering theory,'' IEEE Transactions on Automatic Control, Vol.
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148. R. S. Bucy, ``Optimal ®ltering for correlated noise.'' Journal of Mathematical Analysis
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149. N. A. Carlson, ``Fast triangular formulation of the square root ®lter,'' AIAA Journal, Vol.
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150. G. Chen and C. K. Chui, ``A modi®ed adaptive Kalman ®lter for real-time applications,''
IEEE Transactions on Aerospace and Electronic Systems, Vol. 27, pp. 149±154, 1991.
151. C. Y. Choe and B. D. Tapley, ``A new method for propagating the square root covariance
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152. C. H. Choi and A. J. Laub, ``Ef®cient matrix-valued algorithms for solving stiff
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153. H. Cox, ``On the estimation of state variables and parameters for noisy dynamic systems,''
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154. E. J. Davison and M. C. Maki, ``The numerical solution of the matrix Riccati differential
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155. L. Dieci, ``Numerical integration of the differential Riccati equation and some related
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156. P. Dyer and S. McReynolds, ``Extension of square-root ®ltering to include process noise,''
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157. A. Einstein, ``Uber die von molekularkinetischen Theorie der Warme geforderte
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158. A. F. Fath, ``Computational aspects of the linear optimal regulator problem,'' IEEE
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159. R. J. Fitzgerald, ``Divergence of the Kalman ®lter,'' IEEE Transactions on Automatic
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160. A. D. Fokker, ``Die mittlerer Energie rotierender elektrischer Dipole im Strahlungsfeld,''
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161. T. E. Fortmann, ``A matrix inversion identity,'' IEEE Transactions on Automatic Control,
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162. F. M. Gaston and G. W. Irwin, ``Systolic Kalman ®ltering: An overview,'' IEE Proceed-
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163. W. M. Gentleman, ``Least squares computations by Givens transformations without
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164. W. Givens, ``Computation of plane unitary rotations transforming a general matrix to
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165. G. H. Golub, ``Numerical methods for solving linear least squares problems,'' Numer-
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166. M. S. Grewal and H. J. Payne, ``Identi®cation of parameters in a freeway traf®c model,''
IEEE Transactions on Systems, Man, and Cybernetics, Vol. SMC-6, pp. 176±185, 1976.
167. M. S. Grewal, ``Application of Kalman ®ltering to the calibration and alignment of
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