Fixed interval smoothing for nonlinear continuous time systems

Brian D.O. Anderson

doi:10.1016/S0019-9958(72)90451-2

Fixed interval smoothing for nonlinear continuous time systems

Brian D.O. Anderson^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

An equation is derived for the probability density of the state of a nonlinear dynamical system, conditioned on measurements over a fixed interval. In deriving the equation, the conditional Fokker Planck equation yielding the probability density of the filtering problem is used several times in a novel way.

Original language	English
Pages (from-to)	294-300
Number of pages	7
Journal	Information and control
Volume	20
Issue number	3
DOIs	https://doi.org/10.1016/S0019-9958(72)90451-2
Publication status	Published - Apr 1972
Externally published	Yes

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title = "Fixed interval smoothing for nonlinear continuous time systems",

abstract = "An equation is derived for the probability density of the state of a nonlinear dynamical system, conditioned on measurements over a fixed interval. In deriving the equation, the conditional Fokker Planck equation yielding the probability density of the filtering problem is used several times in a novel way.",

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year = "1972",

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DO - 10.1016/S0019-9958(72)90451-2

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VL - 20

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JO - Information and control

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Fixed interval smoothing for nonlinear continuous time systems

Abstract

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