A new fixed-interval smoothing algorithm

Keigo Watanabe

A new fixed-interval smoothing algorithm

Keigo Watanabe

Research output: Contribution to conference › Paper › peer-review

Abstract

An algorithm is described for the standard fixed-interval smoothing problem in which the system is linear, time-varying, and discrete-time. The smoother is shown to be a dual version of the Bryson-Frazier smoother. The algorithm is less attractive in its numerical implementation than the original version, because it involves inversion of the state transition matrix. However, the mechanization of the new algorithm allows the smoothed estimate or error covariance to be readily updated in response to a change in the initial statistics.

Original language	English
Pages	1103-1106
Number of pages	4
Publication status	Published - Dec 1 1989
Externally published	Yes
Event	SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2) - Tokyo, Jpn Duration: Jul 25 1989 → Jul 27 1989

Other

Other	SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2)
City	Tokyo, Jpn
Period	7/25/89 → 7/27/89

ASJC Scopus subject areas

Engineering(all)

Cite this

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AB - An algorithm is described for the standard fixed-interval smoothing problem in which the system is linear, time-varying, and discrete-time. The smoother is shown to be a dual version of the Bryson-Frazier smoother. The algorithm is less attractive in its numerical implementation than the original version, because it involves inversion of the state transition matrix. However, the mechanization of the new algorithm allows the smoothed estimate or error covariance to be readily updated in response to a change in the initial statistics.

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A new fixed-interval smoothing algorithm

Abstract

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ASJC Scopus subject areas

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