STEADY-STATE COVARIANCE ANALYSIS FOR A FORWARD-PASS FIXED-INTERVAL SMOOTHER.

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Abstract

This paper studies the solution of the steady-state error covariance equation (which is represented by the algebraic Lyapunov equation) associated with a forward-pass fixed-interval smoother for discrete-time linear systems. A necessary and sufficient condition is given to assure the existence of a unique stabilizing solution. A simple algorithm for solving such an equation is also proposed by using four eigenvector matrices, which are generated by a symplectic matrix, corresponding to the algebraic Riccati equation of a backward-pass information filter. Thus the results have application to the important problem of the limiting covariance analysis of smoothing prior to practically dealing with a finite interval of data.

Original languageEnglish
Pages (from-to)136-140
Number of pages5
JournalJournal of Dynamic Systems, Measurement and Control, Transactions of the ASME
Volume108
Issue number2
Publication statusPublished - Jun 1986
Externally publishedYes

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ASJC Scopus subject areas

  • Control and Systems Engineering
  • Instrumentation

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