A new forward-pass fixed-interval smoother using the U-D information matrix factorization

DOI10.1016/0005-1098(86)90051-8zbMath0624.93070OpenAlexW1980535929MaRDI QIDQ579212

Keigo Watanabe

Publication date: 1986

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0005-1098(86)90051-8

zbMATH Keywords

A-D factorized smoothing algorithmaerospace trajectoriesbackward-pass information filterforward-pass fixed-interval smoother recursion

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Factorization of matrices (15A23) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Related Items

Square-root RTS smoothing algorithms

Cites Work

• Unnamed Item
• Unnamed Item
• A new computationally efficient fixed-interval, discrete-time smoother
• Factorization methods for discrete sequential estimation
• Sequential square root filtering and smoothing of discrete linear systems
• A solution of the smoothing problem for linear dynamic systems
• Efficient time propagation of U-D covariance factors
• On the relationship between the Lagrange multiplier method and the two-filter smoother
• Linear Stochastic Control Using the UDUT Matrix Factorization
• Filtering and error analysis via the<tex>UDU^{T}</tex>covariance factorization
• Discrete-time complementary models and smoothing algorithms: The correlated noise case