Properties of Optimal Linear Smoothing

B. D.O. Anderson

doi:10.1109/TAC.1969.1099107

Properties of Optimal Linear Smoothing

B. D.O. Anderson^*

^*Corresponding author for this work

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

19 Citations (Scopus)

Abstract

The problem in considered of characterizing the improvement in estimating the state of a linear system when filtering is replaced by smoothing. It is found that when the optimal filter is exponentially asymptotically stable, a smoothing lag equal to several time constants associated with this filter yields practically all the possible improvement. The extent of improvement, as measured by an error variance matrix, is also found.

Original language	English
Pages (from-to)	114-115
Number of pages	2
Journal	IEEE Transactions on Automatic Control
Volume	14
Issue number	1
DOIs	https://doi.org/10.1109/TAC.1969.1099107
Publication status	Published - 1969
Externally published	Yes

Access to Document

10.1109/TAC.1969.1099107

Cite this

@article{17c5896c494e4a3c879bebeda3113ccd,

title = "Properties of Optimal Linear Smoothing",

abstract = "The problem in considered of characterizing the improvement in estimating the state of a linear system when filtering is replaced by smoothing. It is found that when the optimal filter is exponentially asymptotically stable, a smoothing lag equal to several time constants associated with this filter yields practically all the possible improvement. The extent of improvement, as measured by an error variance matrix, is also found.",

author = "Anderson, {B. D.O.}",

year = "1969",

doi = "10.1109/TAC.1969.1099107",

language = "English",

volume = "14",

pages = "114--115",

journal = "IEEE Transactions on Automatic Control",

issn = "0018-9286",

publisher = "Institute of Electrical and Electronics Engineers Inc.",

number = "1",

}

TY - JOUR

T1 - Properties of Optimal Linear Smoothing

AU - Anderson, B. D.O.

PY - 1969

Y1 - 1969

N2 - The problem in considered of characterizing the improvement in estimating the state of a linear system when filtering is replaced by smoothing. It is found that when the optimal filter is exponentially asymptotically stable, a smoothing lag equal to several time constants associated with this filter yields practically all the possible improvement. The extent of improvement, as measured by an error variance matrix, is also found.

AB - The problem in considered of characterizing the improvement in estimating the state of a linear system when filtering is replaced by smoothing. It is found that when the optimal filter is exponentially asymptotically stable, a smoothing lag equal to several time constants associated with this filter yields practically all the possible improvement. The extent of improvement, as measured by an error variance matrix, is also found.

UR - http://www.scopus.com/inward/record.url?scp=0009448580&partnerID=8YFLogxK

U2 - 10.1109/TAC.1969.1099107

DO - 10.1109/TAC.1969.1099107

M3 - Article

AN - SCOPUS:0009448580

SN - 0018-9286

VL - 14

SP - 114

EP - 115

JO - IEEE Transactions on Automatic Control

JF - IEEE Transactions on Automatic Control

IS - 1

ER -

Properties of Optimal Linear Smoothing

Abstract

Access to Document

Other files and links

Fingerprint

Cite this