• DocumentCode
    745758
  • Title

    Asymptotic Optimality of the Minimum-Variance Fixed-Interval Smoother

  • Author

    Einicke, Garry A.

  • Author_Institution
    CSIRO, Pullenvale, Qld.
  • Volume
    55
  • Issue
    4
  • fYear
    2007
  • fDate
    4/1/2007 12:00:00 AM
  • Firstpage
    1543
  • Lastpage
    1547
  • Abstract
    This correspondence investigates the asymptotic performance of the discrete-time and continuous-time, time-varying, minimum-variance, fixed-interval smoothers. Comparison theorems are generalized to provide sufficient conditions for the monotonic convergence of the underlying Riccati equations. Under these conditions, the energy of the estimation errors asymptotically approach a lower bound and attain lscr2 /L2 stability
  • Keywords
    Riccati equations; continuous time filters; discrete time filters; matrix algebra; smoothing methods; time-varying filters; Riccati equations; asymptotic optimality; continuous-time smoothers; discrete-time smoother; minimum-variance fixed-interval smoother; time-varying smoothers; Asymptotic stability; Convergence; Difference equations; Differential equations; Estimation error; Filtering; Noise measurement; Riccati equations; Smoothing methods; Sufficient conditions; Kalman filtering; Riccati equations; noncausal filtering; smoothing; stability;
  • fLanguage
    English
  • Journal_Title
    Signal Processing, IEEE Transactions on
  • Publisher
    ieee
  • ISSN
    1053-587X
  • Type

    jour

  • DOI
    10.1109/TSP.2006.889402
  • Filename
    4133030
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=745758