An explicit expression for the discrete-time fixed-lag smoothing equation

✍ Scribed by A. Klein

• Publisher: Elsevier Science
• Year: 1982
• Tongue: English
• Weight: 155 KB
• Volume: 8
• Category: Article
• ISSN: 0377-0427
• DOI: 10.1016/0771-050x(82)90066-3

✦ Synopsis

Kalman filtering is extensively used in estimation techniques. The problem is that one tries to estimate a state based on measures perturbated by noise. However in many applications some time lag can be allowed; this means that this estimate which is called smoothed can be made using a greater amount of information than in "on line" filtering and the estimation error can be reduced. In this paper the smoothing equation is investigated by writing the smoother as t+k ~lt/t+k)= --~t HsY(S) andlett0=-°° (k>0) s o t+k Where I;

Hszt-S is a non-causal transfer function. s= t o

We also notice that H s is time-dependent. In our study we focus on H s and its variation with k. (The results are illustrated with an example).