Algebraic solution of a forward-pass fixed-interval smoother: continuous-time systems

DOI10.1080/00207728508926745MaRDI QIDQ3686600zbMATH OpenOpenAlexFDO

Authors Keigo Watanabe

Publication date 1985

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207728508926745

zbMATH Keywords

algorithmsbackward-pass information filtercontinuous-time systemsforward-pass fixed-interval smoothermatrix algebraic Lyapunov equation

Mathematics Subject Classification ID

Matrix equations and identities (15A24) Linear systems in control theory (93C05) Model systems in control theory (93C99) Data smoothing in stochastic control theory (93E14)

Recommendations

• Steady-State Covariance Analysis for a Forward-Pass Fixed-Interval Smoother
• Forward-pass Bryson-Frazier smoother in discret-time systems
• Suboptimal Markovian smoothing estimates based on continuous curves of solutions of the algebraic Riccati inequality
• Steady-state error covariances of fixed-point smoothers
• Fixed interval smoothing - Revisited

Cites work

• A contribution to matrix quadratic equations
• A Schur method for solving algebraic Riccati equations
• Comparison of numerical methods for solving Liapunov matrix equations†
• Matrix Quadratic Solutions
• On a Matrix Riccati Equation of Stochastic Control
• On complementary models and fixed-interval smoothing
• Scattering framework for backwards partitioned estimators

Cited in

(3)

• Steady-State Covariance Analysis for a Forward-Pass Fixed-Interval Smoother
• Steady-state error covariances of fixed-point smoothers
• Forward-pass Bryson-Frazier smoother in discret-time systems

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