A new fixed-interval smoothing algorithm

Research output: Contribution to conferencePaper

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
Pages1103-1106
Number of pages4
Publication statusPublished - Dec 1 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

ASJC Scopus subject areas

  • Engineering(all)

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  • Cite this

    Watanabe, K. (1989). A new fixed-interval smoothing algorithm. 1103-1106. Paper presented at SICE '89: Proceedings of the 28th SICE Annual Conference Volume 2 (of 2), Tokyo, Jpn, .