ON OPTIMAL FIXED POINT LINEAR SMOOTHING.

Abstract

The algorithm for optimal fixed point data smoothing for continuous linear systems is developed by solving the appropriate Wiener-Hopf matrix integral equation. Two formulations are given for generating the optimal smoothing filter gain matrix. It is found that one of the formulations is preferable for computations since it avoids inversion of a matrix that may be ill-conditioned, a feature inherent in the other formulation. Three equivalent expressions are derived for the determination of the smoothing error covariance matrix. The results substantiate and extend those obtained previously for the same problem via another method. (Author)

Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1967
Accession Number
AD0661390

Entities

People

  • J. S. Meditch

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Computational Complexity
  • Computations
  • Covariance
  • Data Science
  • Equations
  • Information Science
  • Integral Equations
  • Integrals
  • Inversion
  • Linear Systems
  • Mathematical Analysis
  • Mathematics

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Operations Research