DocumentCode
799566
Title
Properties of optimal linear smoothing
Author
Anderson, Brian
Author_Institution
University of Newcastle, Newcastle, Australia
Volume
14
Issue
1
fYear
1969
fDate
2/1/1969 12:00:00 AM
Firstpage
114
Lastpage
115
Abstract
The problem is considered of characterizing the improvement in estimating the state of a linear system when filtering is replaced by smoothing. It is found that when the optimal filter is exponentially asymptotically stable, a smoothing lag equal to several time constants associated with this filter yields practically all the possible improvement. The extent of improvement, as measured by an error variance matrix, is also found.
Keywords
Linear systems, time-varying continuous-time; Smoothing methods; State estimation; Covariance matrix; Filtering; Inspection; Linear systems; Nonlinear filters; Random variables; Smoothing methods; State estimation; Vectors; White noise;
fLanguage
English
Journal_Title
Automatic Control, IEEE Transactions on
Publisher
ieee
ISSN
0018-9286
Type
jour
DOI
10.1109/TAC.1969.1099107
Filename
1099107
Link To Document