OPTIMAL FIXED-POINT CONTINUOUS LINEAR SMOOTHING
NORTHWESTERN UNIV EVANSTON IL INFORMATION-PROCESSING AND CONTROL SYSTEMS LAB
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The filter and error covariance equations for optimal fixed-point smoothing for continuous linear systems are developed. The development is carried out by considering the limiting case of the results for the same problem for discrete linear systems. The procedure is of use in estimation problems where a smoothed estimate of a continuous linear systems state is desired at some specified critical time during the systems operation. Four examples are presented to illustrate the results.
- Theoretical Mathematics