Two filter smoothing formulae by diagonalization of the Hamiltonian equations†

DOI10.1080/00207178208932922zbMath0493.93053MaRDI QIDQ3956837

Lennart Ljung, Thomas Kailath

Publication date: 1982

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

Full work available at URL: https://doi.org/10.1080/00207178208932922

zbMATH Keywords

Hamiltonian equations; smoothing formulas; diagonalized equations; Mayne-Fraser formula; two filter formulas

Mathematics Subject Classification ID

93E11: Filtering in stochastic control theory

93E10: Estimation and detection in stochastic control theory

93E14: Data smoothing in stochastic control theory

93B07: Observability

Related Items

Innovation approach to reduced-order estimation of complementary states., Estimation for boundary-value descriptor systems, Design of an optimal servomechanism with preview action and its dual problem, Direct approach to two-filter smoothing formulas†, Explicit strict sense state-space realizations of non-stationary processes†

Cites Work

• A solution of the smoothing problem for linear dynamic systems
• On complementary models and fixed-interval smoothing
• A stochastic realization approach to the smoothing problem
• On the Stochastic Realization Problem
• Scattering theory and linear least-squares estimation, part III: The estimates
• On the fixed-interval smoothing problem
• Smoothing estimation of stochastic processes: Two-filter formulas
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• A further note on backwards Markovian models (Corresp.)