What is it about?
A fast, O(N), Kalman filtering algorithm
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Why is it important?
It enables applying the Kalman filtering algorithm for really large data sets.
Read the Original
This page is a summary of: A Kalman filter powered by H2-matrices for quasi-continuous data assimilation problems, Water Resources Research, May 2014, American Geophysical Union (AGU),
DOI: 10.1002/2013wr014607.
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