Title :
Properties of optimal linear smoothing
Author_Institution :
University of Newcastle, Newcastle, Australia
fDate :
2/1/1969 12:00:00 AM
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;
Journal_Title :
Automatic Control, IEEE Transactions on
DOI :
10.1109/TAC.1969.1099107