Discrete-Time Fixed-Lag Smoothing,

Abstract

It has been shown that previously derived algorithms for recursive, optimal, fixed-lag smoothing are unstable under the same assumptions for which the corresponding Kalman filter is stable. In this paper, a stable algorithm for fixed-lag smoothing is developed for the discrete-time problem. The algorithm is optimal and appears to be computationally tractable for on-line smoothing. A smoothing error covariance relation is also developed in the paper to provide a means for assessing fixed-lag smoothing performance. A numerical example involving a third-order communications system model is presented and the performance of fixed-lag smoothing is compared with that of filtering for two separate cases. (Author)

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1970
Accession Number
AD0715633

Entities

People

  • F. C. Johnson
  • J. S. Meditch

Organizations

  • Boeing

Tags

DTIC Thesaurus Topics

  • Algorithms
  • Covariance
  • Data Science
  • Estimators
  • Filters
  • Filtration
  • Information Science
  • Kalman Filters
  • Mathematical Analysis
  • Mathematical Filters
  • Mathematics
  • Statistical Algorithms
  • Statistical Analysis

Fields of Study

  • Mathematics

Readers

  • Computer Vision.
  • Linear Algebra
  • Operations Research