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A stable fixed lag smoothing algorithm

✍ Scribed by K.K. Biswas; A.K. Mahalanabis

Publisher
Elsevier Science
Year
1973
Tongue
English
Weight
432 KB
Volume
9
Category
Article
ISSN
0005-1098

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✦ Synopsis

SamnmryNThe paper presents a new dynamic fixed-lag smoothing algorithm that is uniformly asymptotically stable under the same conditions which guarantee uniform asymptotic stability of the Kalman filter for the given system. It is shown that the smoothing algorithm obtained through a state augmentation approach can be manipulated along with the well known filtering algorithm to derive the proposed smoothing algorithm. Besides stability, the computational requirements of the new algorithm are also discussed in detail and compared with those of the other stable fixedlag smoothers.

πŸ“œ SIMILAR VOLUMES

On the stability of fixed-lag smoothing
On the stability of fixed-lag smoothing algorithms
✍ Carl N. Kelly; Brian D.O. Anderson πŸ“‚ Article πŸ“… 1971 πŸ› Elsevier Science 🌐 English βš– 675 KB

The stability of fixed-lag smoothers for linear system state estimation is considered. The main result proved is that the smoother is unstable when the usual set of conditions hold which guarantee asymptotic stability of the optimum filter.

An efficient fixed-lag smoothing algorit
An efficient fixed-lag smoothing algorithm for discrete linear systems
✍ Gerald J. Bierman πŸ“‚ Article πŸ“… 1974 πŸ› Elsevier Science 🌐 English βš– 446 KB

The modified Bryson-Frazier fixed interval smoothing algorithm [6], is an addendem to the Kalman filterβ€’ This algorithm when applied to the problem of fixedlag smoothing is computationally more efficient than the algorithms recently reported in refs. [1][2][3]. Features of the algorithm are ease of