FORMAL ALGORITHMS FOR CONTINUOUS-TIME NONLINEAR FILTERING AND SMOOTHING,
Abstract
Kalman's formal limiting procedure is applied to some recent results in sequential discrete-time nonlinear filtering and smoothing to obtain the corresponding estimation algorithms for continuous-time nonlinear dynamic systems. The resulting filtering algorithm is found to agree with the well-known Detchmendy-Sridhar filter which was obtained via another method. The present smoothing algorithm is a new result. It is argued that the combined filter-smoothing results here lead to an estimation algorithm which is second-order in both system dynamics and measurement function nonlinearity. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Apr 01, 1969
- Accession Number
- AD0688108
Entities
People
- J. S. Meditch
Organizations
- Boeing