Title :
One-step fixed-lag smoothers for Markovian switching systems
Author :
Helmick, Ronald E. ; Blair, W. Dale ; Hoffman, Scott A.
Author_Institution :
Dept. of Syst. Res. & Technol., Naval Surface Warfare Center, Dahlgren, VA, USA
fDate :
7/1/1996 12:00:00 AM
Abstract :
Suboptimal approaches to the one-step fixed-lag smoothing problem for Markovian switching systems are examined in this paper. Two algorithms are developed for obtaining one-step fixed-lag smoothed estimates. The first algorithm is an approximation that considers the models over the two most recent sampling periods, while the second one considers only the models over the most recent sampling period. Simulation results are presented to compare the performances of these smoothing algorithms
Keywords :
Gaussian processes; Markov processes; covariance matrices; probability; smoothing methods; state estimation; Markovian switching systems; one-step fixed-lag smoothers; sampling periods; suboptimal approaches; Approximation algorithms; Covariance matrix; Filtering algorithms; Gaussian noise; Probability; Sampling methods; Smoothing methods; State estimation; Switching systems; Vectors;
Journal_Title :
Automatic Control, IEEE Transactions on
