Smoothing estimation of stochastic processes: Two-filter formulas

DOI10.1109/TAC.1982.1102951zbMath0488.93051MaRDI QIDQ3950421

Victor Solo

Publication date: 1982

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

zbMATH Keywords

smoothing estimation; two-filter formulas

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93C55: Discrete-time control/observation systems

93E10: Estimation and detection in stochastic control theory

93E14: Data smoothing in stochastic control theory

93C99: Model systems in control theory

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Direct approach to two-filter smoothing formulas†, Two filter smoothing formulae by diagonalization of the Hamiltonian equations†