Smoothing algorithms for nonlinear finite-dimensional systems

DOI10.1080/17442508308833251MaRDI QIDQ3039218zbMATH OpenOpenAlexFDO

Authors Brian D. O. Anderson, Ian B. Rhodes

Publication date 1983

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508308833251

zbMATH Keywords

fixed interval smoothingreverse-time filtered probabilityreverse-time likelihood function

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Inference from stochastic processes and prediction (62M20) Nonlinear systems in control theory (93C10) Filtering in stochastic control theory (93E11) Data smoothing in stochastic control theory (93E14)

Cites work

• A nonlinear fixed-lag smoother for finite-state Markov processes
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• Estimation and control performance for space-time point-process observations
• Fixed interval smoothing for nonlinear continuous time systems
• Forwards and backwards models for finite-state Markov processes
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• Nonlinear Smoothing Theory
• On the optimal filtering of diffusion processes
• On the Stochastic Realization Problem
• Reverse-time diffusion equation models
• Smoothing for doubly stochastic Poisson processes
• Stochastic partial differential equations and filtering of diffusion processes

Cited in

(6)

• On the joint nonlinear filtering-smoothing of diffusion processes
• Fixed lag smoothing of scalar diffusions. Part I. The filtering-smoothing equation
• Forward and backward semimartingale models for gaussian processes with stationary increments
• Two-filter formulae for discrete-time non-linear bayesian smoothing
• Nonlinear smoothing algorithms using white noise model
• Backward Nonlinear Smoothing Diffusions

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