Smoothing for Multipoint Boundary Value Models
JOHNS HOPKINS UNIV BALTIMORE MD DEPT OF ELECTRICAL AND COMPUTER ENGINEERING
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We show how to solve the linear least-squares smoothing problem for multipoint boundary value models. The complementary model is derived and is used to determine the Hamiltonian equations for the smoothed state estimate and its error covariance. Stable algorithms are obtained using an invariant imbedding multiple shooting procedure. Keywords Boundary value models, A causal models, Smoothing.
- Theoretical Mathematics
- Statistics and Probability
- Operations Research