Fixed-point smoothing algorithm for discrete multiplicative systems

DOI10.1007/BF00941062MaRDI QIDQ1106807zbMATH OpenOpenAlexFDO

Authors Yannis A. Phillis

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00941062

zbMATH Keywords

discrete-time systemsfixed-point smoothing algorithmmultiplicative noise

Mathematics Subject Classification ID

Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14)

Review text

A fixed-point smoothing algorithm is proven for discrete-time systems with additive and multiplicative noise in the plant and measurement equations. Such systems, although linear, differ in a number of aspects from systems with only additive noise. The algorithm depends on the multiplicative terms, as expected. Steady-state results are derived.

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Cites work

• A smoothing algorithm for systems with multiplicative noise
• scientific article; zbMATH DE number 3524795 (Why is no real title available?)
• scientific article; zbMATH DE number 3435336 (Why is no real title available?)
• scientific article; zbMATH DE number 3358330 (Why is no real title available?)
• Optimal estimation and control of discrete multiplicative systems with unknown second-order statistics
• Stochastic processes and filtering theory

Cited in

(9)

• On fixed-point smoothing for descriptor systems with multiplicative noise and single delayed observations
• On the estimation of the covariance of the continuous multiplicative systems
• Multipoint smoothing algorithm for discrete linear systems
• Smoothing algorithm for a class of multi-channel nonlinear systems with multiplicative noise
• A smoothing algorithm for systems with multiplicative noise
• A square-root fixed-interval discrete-time smoother
• Application of spectral factorization to the linear discrete-time fixed-point smoothing problem
• scientific article; zbMATH DE number 4121913 (Why is no real title available?)
• Randomized Smolyak algorithms based on digital sequences for multivariate integration

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