连续时间过程的固定区间平滑

1980 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes Pub Date : 1980-12-01 DOI:10.1109/CDC.1980.271822

J. Wall, A. Willsky, N. Sandell

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引用次数: 1

摘要

一个“第一原理”的论点被用来获得梅恩-弗雷泽双过滤器平滑。指出了梅恩-弗雷泽平滑的内在不对称性，并说明了如何消除不对称性。逆时马尔可夫模型在从未来观测形成状态估计方面起着关键作用。

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The fixed-interval smoother for continuous-time processes

A "first principles" argument is used to obtain the Mayne-Fraser two-filter smoother. The built-in asymmetry of the Mayne-Fraser smoother is pointed out, and it is shown how the asymmetry may be removed. Reversed-time Markov models play a key role here in forming a state estimate from future observations.

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1980 19th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes

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