A new computationally efficient fixed-interval, discrete-time smoother

DOI10.1016/0005-1098(83)90005-5MaRDI QIDQ797559zbMATH OpenOpenAlexFDO

Authors Gerald J. Bierman

Publication date 1983

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(83)90005-5

zbMATH Keywords

Kalman filtersdiscrete-time smoothing

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35) Model systems in control theory (93C99) Data smoothing in stochastic control theory (93E14)

Recommendations

• Fixed interval smoothing - Revisited
• A square-root fixed-interval discrete-time smoother
• Kalman smoothing via auxiliary outputs
• New computationally efficient formula for backward-pass fixed-interval smoother and its UD factorisation algorithm
• Multipoint smoothing algorithm for discrete linear systems

Cites work

• scientific article; zbMATH DE number 3473182 (Why is no real title available?)
• A solution of the smoothing problem for linear dynamic systems
• A survey of data smoothing for linear and nonlinear dynamic systems
• A view of three decades of linear filtering theory
• Factorization methods for discrete sequential estimation
• Filtering and error analysis via the<tex>UDU^{T}</tex>covariance factorization
• Fixed interval smoothing with discrete measurements
• Sequential square root filtering and smoothing of discrete linear systems
• Square-root information filtering and smoothing for precision orbit determination
• Supplement to 'A survey of data smoothing'
• The treatment of bias in the square-root information filter/smoother

Cited in

(11)

• Application of spectral factorization to the linear discrete-time fixed-point smoothing problem
• Fixed-interval smoother in the identification of time-varying dynamics
• A finite memory structure smoother with recursive form using forgetting factor
• Multipoint smoothing algorithm for discrete linear systems
• A new forward-pass fixed-interval smoother using the U-D information matrix factorization
• Fixed interval smoothing - Revisited
• Generalized fixed-interval smoothers for discrete-time systems
• A quadratic-time algorithm for smoothing interval functions
• Robust continuous-time smoothers without two-sided stochastic integrals
• A square-root fixed-interval discrete-time smoother
• Kalman smoothing via auxiliary outputs

This page was built for publication: A new computationally efficient fixed-interval, discrete-time smoother

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q797559)