A new fixed-interval smoothing algorithm

Research output: Chapter in Book/Report/Conference proceedingConference contribution

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 languageEnglish
Title of host publicationSICE 89 Proc 28th SICE Annu Conf
PublisherPubl by IEEE
Pages1103-1106
Number of pages4
Publication statusPublished - 1989
Externally publishedYes
EventSICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2) - Tokyo, Jpn
Duration: Jul 25 1989Jul 27 1989

Other

OtherSICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2)
CityTokyo, Jpn
Period7/25/897/27/89

Fingerprint

Mechanization
Statistics

ASJC Scopus subject areas

  • Engineering(all)

Cite this

Watanabe, K. (1989). A new fixed-interval smoothing algorithm. In SICE 89 Proc 28th SICE Annu Conf (pp. 1103-1106). Publ by IEEE.

A new fixed-interval smoothing algorithm. / Watanabe, Keigo.

SICE 89 Proc 28th SICE Annu Conf. Publ by IEEE, 1989. p. 1103-1106.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Watanabe, K 1989, A new fixed-interval smoothing algorithm. in SICE 89 Proc 28th SICE Annu Conf. Publ by IEEE, pp. 1103-1106, SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2), Tokyo, Jpn, 7/25/89.
Watanabe K. A new fixed-interval smoothing algorithm. In SICE 89 Proc 28th SICE Annu Conf. Publ by IEEE. 1989. p. 1103-1106
Watanabe, Keigo. / A new fixed-interval smoothing algorithm. SICE 89 Proc 28th SICE Annu Conf. Publ by IEEE, 1989. pp. 1103-1106
@inproceedings{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",
language = "English",
pages = "1103--1106",
booktitle = "SICE 89 Proc 28th SICE Annu Conf",
publisher = "Publ by IEEE",

}

TY - GEN

T1 - A new fixed-interval smoothing algorithm

AU - Watanabe, Keigo

PY - 1989

Y1 - 1989

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 - Conference contribution

SP - 1103

EP - 1106

BT - SICE 89 Proc 28th SICE Annu Conf

PB - Publ by IEEE

ER -