A new fixed-interval smoothing algorithm

Keigo Watanabe

A new fixed-interval smoothing algorithm

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)

Fingerprint Dive into the research topics of 'A new fixed-interval smoothing algorithm'. Together they form a unique fingerprint.

Cite this

@conference{bcd786c5807a47a1b73b0f97f1576849,

title = "A new fixed-interval smoothing algorithm",

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.",

author = "Keigo Watanabe",

year = "1989",

month = dec,

day = "1",

language = "English",

pages = "1103--1106",

note = "SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2) ; Conference date: 25-07-1989 Through 27-07-1989",

}

TY - CONF

T1 - A new fixed-interval smoothing algorithm

AU - Watanabe, Keigo

PY - 1989/12/1

Y1 - 1989/12/1

N2 - 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.

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.

UR - http://www.scopus.com/inward/record.url?scp=0024894443&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0024894443&partnerID=8YFLogxK

M3 - Paper

AN - SCOPUS:0024894443

SP - 1103

EP - 1106

T2 - SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2)

Y2 - 25 July 1989 through 27 July 1989

ER -

A new fixed-interval smoothing algorithm

Abstract

Other

ASJC Scopus subject areas

Other files and links

Cite this