Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers

DOI10.1016/J.SIGPRO.2009.06.012zbMATH Open1177.93085OpenAlexW2103777996MaRDI QIDQ1048801FDOQ1048801

Authors: Simo Särkkä 

Publication date: 8 January 2010

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2009.06.012

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zbMATH Keywords

unscented transformationcontinuous-time smootherunscented Kalman smootherunscented Rauch-Tung-Striebel smoother

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Sequential Monte Carlo Methods in Practice
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• On Unscented Kalman Filtering for State Estimation of Continuous-Time Nonlinear Systems
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• A new method for the nonlinear transformation of means and covariances in filters and estimators
• Unscented Rauch--Tung--Striebel Smoother
• On the Differential Equations Satisfied by Conditional Probablitity Densities of Markov Processes, with Applications
• Nonlinear Smoothing Theory
• Optimal Estimation of Dynamic Systems
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• Parameter estimation and the CRLB with uncertain origin measurements
• A survey of data smoothing for linear and nonlinear dynamic systems

Cited In (6)

• The nonsequential fusion method for localization from unscented Kalman filter by multistation array buoys
• Posterior inference on parameters of stochastic differential equations via non-linear Gaussian filtering and adaptive MCMC
• Maximum Correntropy Rauch–Tung–Striebel Smoother for Nonlinear and Non-Gaussian Systems
• Robust continuous-time smoothers without two-sided stochastic integrals
• A square-root fixed-interval discrete-time smoother
• Expectation propagation for continuous time stochastic processes

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