Two filter smoothing formulae by diagonalization of the Hamiltonian equations†

DOI10.1080/00207178208932922zbMath0493.93053OpenAlexW2084913443MaRDI QIDQ3956837

Lennart Ljung, Thomas Kailath

Publication date: 1982

Published in: International Journal of Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207178208932922

zbMATH Keywords

Hamiltonian equationssmoothing formulasdiagonalized equationsMayne-Fraser formulatwo filter formulas

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Estimation and detection in stochastic control theory (93E10) Data smoothing in stochastic control theory (93E14) Observability (93B07)

Related Items (5)

Design of an optimal servomechanism with preview action and its dual problem ⋮ Direct approach to two-filter smoothing formulas† ⋮ Estimation for boundary-value descriptor systems ⋮ Innovation approach to reduced-order estimation of complementary states. ⋮ Explicit strict sense state-space realizations of non-stationary processes†

Cites Work

• A solution of the smoothing problem for linear dynamic systems
• On complementary models and fixed-interval smoothing
• A stochastic realization approach to the smoothing problem
• On the Stochastic Realization Problem
• Scattering theory and linear least-squares estimation, part III: The estimates
• On the fixed-interval smoothing problem
• Smoothing estimation of stochastic processes: Two-filter formulas
• Backwards Markovian models for second-order stochastic processes (Corresp.)
• A further note on backwards Markovian models (Corresp.)

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