Accession Number:

AD0649259

Title:

ON OPTIMAL LINEAR SMOOTHING THEORY

Descriptive Note:

Corporate Author:

NORTHWESTERN UNIV EVANSTON IL INFORMATION-PROCESSING AND CONTROL SYSTEMS LAB

Personal Author(s):

Report Date:

1967-03-01

Pagination or Media Count:

29.0

Abstract:

The algorithm for generating the smoothed estimate xtt T of the state xt of a continuous linear system, where t is continuous time, T is a positive real constant, and t T is the time of the most recent measurement, is developed. A linear matrix differential equation whose solution gives the covariance matrix of the smoothing error xtt Txtt T is then derived. Computational aspects involved in mechanizing the algorithm are discussed in terms of the algorithms dependence on the solution of the prediction, filtering, and fixed-point smoothing problems. The results are then discussed in terms of the classical Wiener smoothing problem.

Subject Categories:

  • Theoretical Mathematics

Distribution Statement:

APPROVED FOR PUBLIC RELEASE