A new forward-pass fixed-interval smoother using the U-D information matrix factorization (Q579212): Difference between revisions
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A new A-D factorized smoothing algorithm that is numerically stable and reliable is developed by using a forward-pass fixed-interval smoother recursion. Introducing a gain for a backward-pass information filter and the notion of an input to the smoother and decomposing the system noises into each element, it is shown that three famous U-D algorithms can be naturally applied to construct such a smoother. The new result does not necessitate two burdensome matrix inversions, or any algebraic computations equivalent to them, for the transition matrix and the predicted error covariance, which are at present necessary for \textit{G. J. Bierman}'s [IEEE Trans. Autom. Control AC-26, 890-894 (1981; Zbl 0579.93070)] U-D smoother. Consequently, compared with the result of Bierman, the present algorithm can deal with a broader system, which may cover a time-delay system, and provide an improvement in computation speed and computer storage. | |||
Property / review text: A new A-D factorized smoothing algorithm that is numerically stable and reliable is developed by using a forward-pass fixed-interval smoother recursion. Introducing a gain for a backward-pass information filter and the notion of an input to the smoother and decomposing the system noises into each element, it is shown that three famous U-D algorithms can be naturally applied to construct such a smoother. The new result does not necessitate two burdensome matrix inversions, or any algebraic computations equivalent to them, for the transition matrix and the predicted error covariance, which are at present necessary for \textit{G. J. Bierman}'s [IEEE Trans. Autom. Control AC-26, 890-894 (1981; Zbl 0579.93070)] U-D smoother. Consequently, compared with the result of Bierman, the present algorithm can deal with a broader system, which may cover a time-delay system, and provide an improvement in computation speed and computer storage. / rank | |||
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Property / Mathematics Subject Classification ID: 93E14 / rank | |||
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Property / Mathematics Subject Classification ID: 93E11 / rank | |||
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Property / Mathematics Subject Classification ID: 93E25 / rank | |||
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Property / Mathematics Subject Classification ID: 15A23 / rank | |||
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Property / Mathematics Subject Classification ID: 62M20 / rank | |||
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Property / Mathematics Subject Classification ID: 65F30 / rank | |||
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Property / zbMATH DE Number: 4014588 / rank | |||
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Property / zbMATH Keywords | |||
aerospace trajectories | |||
Property / zbMATH Keywords: aerospace trajectories / rank | |||
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Property / zbMATH Keywords | |||
A-D factorized smoothing algorithm | |||
Property / zbMATH Keywords: A-D factorized smoothing algorithm / rank | |||
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Property / zbMATH Keywords | |||
forward-pass fixed-interval smoother recursion | |||
Property / zbMATH Keywords: forward-pass fixed-interval smoother recursion / rank | |||
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Property / zbMATH Keywords | |||
backward-pass information filter | |||
Property / zbMATH Keywords: backward-pass information filter / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/0005-1098(86)90051-8 / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W1980535929 / rank | |||
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Property / cites work | |||
Property / cites work: Q3993534 / rank | |||
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links / mardi / name | links / mardi / name | ||
Latest revision as of 11:04, 18 June 2024
scientific article
Language | Label | Description | Also known as |
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English | A new forward-pass fixed-interval smoother using the U-D information matrix factorization |
scientific article |
Statements
A new forward-pass fixed-interval smoother using the U-D information matrix factorization (English)
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1986
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A new A-D factorized smoothing algorithm that is numerically stable and reliable is developed by using a forward-pass fixed-interval smoother recursion. Introducing a gain for a backward-pass information filter and the notion of an input to the smoother and decomposing the system noises into each element, it is shown that three famous U-D algorithms can be naturally applied to construct such a smoother. The new result does not necessitate two burdensome matrix inversions, or any algebraic computations equivalent to them, for the transition matrix and the predicted error covariance, which are at present necessary for \textit{G. J. Bierman}'s [IEEE Trans. Autom. Control AC-26, 890-894 (1981; Zbl 0579.93070)] U-D smoother. Consequently, compared with the result of Bierman, the present algorithm can deal with a broader system, which may cover a time-delay system, and provide an improvement in computation speed and computer storage.
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aerospace trajectories
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A-D factorized smoothing algorithm
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forward-pass fixed-interval smoother recursion
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backward-pass information filter
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