DocumentCode :
2972878
Title :
A reformulation of the Rauch-Tung-Streibel discrete time fixed interval smoother
Author :
Bierman, Gerald J.
fYear :
1988
fDate :
7-9 Dec 1988
Firstpage :
840
Abstract :
A smoothing algorithm was presented by G.J. Bierman (1983) which is much more efficient and numerically reliable than the well-known R-T-S (Runch-Tung-Streibel) smoother. The Bierman-formulated smoother is extended to account for situations with singular estimate error covariances that arise in applications. The new algorithm, based on numerically stable Givens reflections, is designed to integrate with the UDUT factorized form of the Kalman filter. Bierman smoother gains that relate to the R-T-S smoother gains, are introduced; the formulation is such that ill-conditioned and possible singular matrices are avoided using a matrix factorization formulation. The new U-D factorized covariance algorithm, based on rank 2 U-D factor modifications, is arranged so that all the positive numerical aspects described in G.J. Bierman (1983) are retained and further enhanced
Keywords :
Kalman filters; discrete time systems; error analysis; filtering and prediction theory; matrix algebra; Bierman smoother gains; Givens reflections; Kalman filter; R-T-S smoother gains; Rauch-Tung-Streibel; discrete time fixed interval smoother; filtering; matrix factorization; singular estimate error covariances; Acoustic noise; Aerodynamics; Algorithm design and analysis; Colored noise; Covariance matrix; Filtering; Kalman filters; Recursive estimation; State estimation; Time measurement;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Decision and Control, 1988., Proceedings of the 27th IEEE Conference on
Conference_Location :
Austin, TX
Type :
conf
DOI :
10.1109/CDC.1988.194429
Filename :
194429
Link To Document :
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