ON OPTIMAL AND SUBOPTIMAL LINEAR SMOOTHING.

Abstract

Recursive form of results on smoothing for linear dynamic systems were first given by Bryson and Frazier (1962). Alternate formulations of the problem were given by Rauch et al (1965), Mayne (1966), Fraser (1967) and Kailath (1968). The present report shows that the results of Mayne and Fraser can be derived in a more general setting using the Orthogonality Principle of Linear Estimation. The form of the results is particularly useful for the sensitivity analysis of the optimal smoother. Explicit equations are derived for the actual covariance of a suboptimal smoother which uses wrong information about the mean square values of noise inputs. Conditions are established under which the calculated values of the covariances provide upper bounds on the actual covariances of the smoothed estimates. (Author)

Document Details

Document Type
Technical Report
Publication Date
Mar 01, 1968
Accession Number
AD0669510

Entities

People

  • R. K. Mehra

Organizations

  • Harvard University

Tags

DTIC Thesaurus Topics

  • Computing-Related Activities
  • Covariance
  • Data Science
  • Equations
  • Information Science
  • Interdisciplinary Science
  • Mathematics
  • Orthogonality
  • Sensitivity

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Military History
  • Statistical inference.