• DocumentCode
    836521
  • Title

    On complementary models and fixed-interval smoothing

  • Author

    Weinert, Howard L. ; Desai, Uday B.

  • Author_Institution
    John Hopkins University, Baltimore, MD, USA
  • Volume
    26
  • Issue
    4
  • fYear
    1981
  • fDate
    8/1/1981 12:00:00 AM
  • Firstpage
    863
  • Lastpage
    867
  • Abstract
    A new algorithm is derived for the standard fixed-interval linear smoothing problem in which the signal is generated by a state model. The structure of this new algorithm allows the smoothed estimate to be easily updated in response to a change in the initial state covariance matrix \\Pi _{0} , since, unlike in existing algorifiuns, the relevant Riccati equation is entirely independent of \\Pi _{0} . The derivation of the algorithm is based on properties of complementary models.
  • Keywords
    Least-squares methods; Linear systems; Smoothing methods; Covariance matrix; Differential equations; History; Least squares approximation; Random processes; Random variables; Riccati equations; Signal generators; Smoothing methods; State estimation;
  • fLanguage
    English
  • Journal_Title
    Automatic Control, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    0018-9286
  • Type

    jour

  • DOI
    10.1109/TAC.1981.1102735
  • Filename
    1102735
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=836521