Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第38回ISCIE「確率システム理論と応用」国際シンポジウム(2006年11月, 長野諏訪)
On new smoothers for discrete-time linear stochastic systems with unknown disturbances
Akio Tanikawa
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ジャーナル フリー

2007 年 2007 巻 p. 106-111

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抄録
We consider discrete-time linear stochastic systems with unknown disturbances and study two types of smoothing problems, i.e., the fixed-interval smoothing and the fixed-lag smoothing for those systems. We derive smoothing algorithms from the fixed-point smoothing algorithm proposed in the previous paper. It is shown that these algorithms reduce to the well known optimal smoothers derived from the Kalman filter when unknown inputs disappear.
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© 2007 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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