ynamic order statistics OS-SELECT(i, S): returns the i th smallest element in the dynamic set S. OS-RANK(, S): returns the rank ofx E S in the sorted order of s s elements IDEA: Use a red-black tree for the set S, but keep subtree sizes in the nodes
S1. Introduction S2. Conventional Kalman filter S3. Example S4. RLS and Kalman filtering S5. Square-root information filter S6. Square-root covariance filter Better numerical properties than the conventional one The square-root RLS algorithms are special cases