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 :
بازگشت