THE WIENER-HOPF SOLUTION OF THE OPTIMAL FIXED POINT SMOOTHING PROBLEM.
NORTHWESTERN UNIV EVANSTON ILL INFORMATION-PROCESSING AND CONTROL SYSTEMS LAB
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The algorithm for optimal fixed point data smoothing for continuous linear systems is developed by solving the appropriate Wiener-Hopf matrix integral equation in the time domain. Two formulations are given for generating the optimal smoothing filter gain matrix, and three matrix ordinary linear differential equations whose solutions yield the smoothing error covariance matrix are derived. The results substantiate and extend those obtained by the author earlier via another method. Author
- Theoretical Mathematics