A Stochastic Realization Approach to the Smoothing Problem. Revised.

Abstract

The purpose of this paper is to develop a theory of smoothing for finite dimensional linear stochastic systems in the context of stochastic realization theory. The basic idea is to embed the given stochastic system in a class of similar systems all having the same output process and the same Kalman-Bucy filter. This class has a lattice structure with a smallest and a largest element; these two elements completely determine the smoothing estimates. This approach enables us to obtain stochastic interpretations of many important smoothing formulas and to explain the relationship between them. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jan 01, 1979
Accession Number
ADA078137

Entities

People

  • Anders Lindquist
  • Faris Badawi
  • Michele Pavon

Organizations

  • University of Kentucky

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Algorithms
  • Covariance
  • Decomposition
  • Differential Equations
  • Equations
  • Filters
  • Hilbert Space
  • Intervals
  • Markov Processes
  • Mathematics
  • Probability
  • Random Variables
  • Riccati Equation
  • Square Roots
  • Stochastic Processes
  • Theorems

Fields of Study

  • Mathematics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Mathematical Modeling and Probability Theory.
  • Theoretical Analysis.