A new computationally efficient fixed-interval, discrete-time smoother

DOI10.1016/0005-1098(83)90005-5MaRDI QIDQ797559zbMATH OpenOpenAlexFDO

Authors Gerald J. Bierman

Publication date 1983

Published in Automatica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0005-1098(83)90005-5

zbMATH Keywords

discrete-time smoothingKalman filters

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Model systems in control theory (93C99) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Review text

Attention in this paper is focused on the \textit{H. E. Rauch}, \textit{F. Tung}, \textit{C. T. Streibel} [Maximum-likelihood estimates of linear dynamic systems, AIAA J. 3, 1445-1450 (1965)] smoother formulation. The new result features computational efficiency, reliance on numerically stable matrix modification algorithms, and reduced computer storage.

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Cites work

• A solution of the smoothing problem for linear dynamic systems
• A survey of data smoothing for linear and nonlinear dynamic systems
• A view of three decades of linear filtering theory
• Factorization methods for discrete sequential estimation
• Filtering and error analysis via the<tex>UDU^{T}</tex>covariance factorization
• Fixed interval smoothing with discrete measurements
• scientific article; zbMATH DE number 3473182 (Why is no real title available?)
• Sequential square root filtering and smoothing of discrete linear systems
• Square-root information filtering and smoothing for precision orbit determination
• Supplement to 'A survey of data smoothing'
• The treatment of bias in the square-root information filter/smoother

Cited in

(12)

• A quadratic-time algorithm for smoothing interval functions
• A finite memory structure smoother with recursive form using forgetting factor
• New computationally efficient formula for backward-pass fixed-interval smoother and its UD factorisation algorithm
• Multipoint smoothing algorithm for discrete linear systems
• A square-root fixed-interval discrete-time smoother
• Application of spectral factorization to the linear discrete-time fixed-point smoothing problem
• Generalized fixed-interval smoothers for discrete-time systems
• Fixed-interval smoother in the identification of time-varying dynamics
• Robust continuous-time smoothers without two-sided stochastic integrals
• Fixed interval smoothing - Revisited
• A new forward-pass fixed-interval smoother using the U-D information matrix factorization
• Kalman smoothing via auxiliary outputs

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