Fixed-interval smoothing for Markovian switching systems

Author

Helmick, Ronald E. ; Blair, Dale W. ; Hoffman, Scott A.

Author_Institution

Syst. Res. & Technol. Dept., Naval Surface Warfare Center, Dahlgren, VA, USA

Volume

41

Issue

6

fYear

1995

fDate

11/1/1995 12:00:00 AM

Firstpage

1845

Lastpage

1855

Abstract

A suboptimal approach to the fixed-interval smoothing problem for Markovian switching systems is examined. A smoothing algorithm is developed that uses two multiple-model filters, where one of the filters propagates in the forward-time direction and the other one propagates in the backward-time direction. A backward-time filtering algorithm based on the interacting multiple model concept is also developed. Results from a simulation example are given to illustrate the performance of the smoothing algorithm with respect to that of filtering. The example involves radar tracking of a Mach 1 aircraft

Keywords

Markov processes; digital filters; military aircraft; radar signal processing; radar tracking; smoothing methods; switching theory; Mach 1 aircraft; Markovian switching systems; backward-time filtering algorithm; fixed-interval smoothing; forward-time direction; interacting multiple model; multiple-model filters; performance; radar tracking; suboptimal approach; Approximation algorithms; Covariance matrix; Filtering algorithms; Filters; Gaussian noise; Noise measurement; Sampling methods; Smoothing methods; State estimation; Switching systems;

fLanguage

English

Journal_Title

Information Theory, IEEE Transactions on

Publisher

ieee

ISSN

0018-9448

Type

jour

DOI

10.1109/18.476310

Filename

476310