On the relationship between the Lagrange multiplier method and the two-filter smoother

DOI10.1080/00207178508933371zbMath0586.93066OpenAlexW1971030520MaRDI QIDQ3713968

Keigo Watanabe

Publication date: 1985

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178508933371

zbMATH Keywords

Lagrange multiplierstwo-filter smoothing algorithmsforward-pass, fixed interval smoother

Mathematics Subject Classification ID

Related Items (4)

Decentralized two-filter smoothing algorithms in discrete-time systems ⋮ Forward-pass Bryson-Frazier smoother in discret-time systems ⋮ Generalized fixed-interval smoothers for discrete-time systems ⋮ A new forward-pass fixed-interval smoother using the U-D information matrix factorization

Cites Work

• Unnamed Item
• Unnamed Item
• A unified approach to smoothing formulas
• Factorization methods for discrete sequential estimation
• A solution of the smoothing problem for linear dynamic systems
• Stochastic processes and filtering theory
• Partitioned estimators based on the perturbed Kalman filter equations
• A stochastic realization approach to the smoothing problem
• Scattering theory and linear least-squares estimation, part III: The estimates
• Filtering and Smoothing for Linear Discrete-Time Distributed Parameter Systems Based on Wiener-Hopf Theory with Application to Estimation of Air Pollution
• On the fixed-interval smoothing problem
• General backwards Markov models
• A unifying framework for discrete linear estimation Generalized partitioned algorithms
• Discrete-time complementary models and smoothing algorithms: The correlated noise case

This page was built for publication: On the relationship between the Lagrange multiplier method and the two-filter smoother