A parallel algorithm for solving an n-state Kalman filter on an (n+2)-cell linear array is described. The algorithm is the basis for the mapping of a 9-state target tracking filter on the Warp computer. The Warp implementation is written in a high-level language and achieves a measured speedup of almost 300 over the same filter running on a Sun workstation.
David R. O'Hallaron,
Radhakisan S. Baheti,
"Fast Mapping Of A Kalman Filter On Warp", Proc. SPIE 0977, Real-Time Signal Processing XI, (16 December 1989); doi: 10.1117/12.948571; https://doi.org/10.1117/12.948571