✦ LIBER ✦

A Dual Approach to a Linear Smoothing Problem

✍ Scribed by P.N. Nikiforuk; M.M. Gupta; N. Minamide

Publisher: Elsevier Science
Year: 1979
Tongue: English
Weight: 731 KB
Volume: 308
Category: Article
ISSN: 0016-0032
DOI: 10.1016/0016-0032(79)90065-6

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✦ Synopsis

In this paper, the continuous-time linear Gaussian smoothing problem is investigated by utilizing a dual approach. It is shown that the smoothing problem is a dual of an optimal regulator with a jump condition on the trajectory. By solving the dual optimal control problem, basic results established earlier on this smoothing problem are derived -in a simpler way. Results are also obtained for the discrete-time linear smoothing Gaussian problem.

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