Stable Fixed-Lag Smoothing of Continuous-Time Processes

Surapong Chirarattananon; Brian D.O. Anderson

doi:10.1109/TIT.1974.1055170

Stable Fixed-Lag Smoothing of Continuous-Time Processes

Surapong Chirarattananon^*, Brian D.O. Anderson

^*Corresponding author for this work

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

11 Citations (Scopus)

Abstract

Attempts to realize optimal fixed-lag smoothers for continuous-time processes have encountered two major difficulties: the presence of delay lines in the smoother, and the instability of most smoothers. This paper considers suboptimal smoothers which still outperform filters and have performance very close to the optimum. Design procedures are exhibited for smoothers that are both finite-dimensional and asymptotically stable, with the procedures depending on the delay line being approximated by a finite-dimensional dynamical system.

Original language	English
Pages (from-to)	25-36
Number of pages	12
Journal	IEEE Transactions on Information Theory
Volume	20
Issue number	1
DOIs	https://doi.org/10.1109/TIT.1974.1055170
Publication status	Published - Jan 1974
Externally published	Yes

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Stable Fixed-Lag Smoothing of Continuous-Time Processes

Abstract

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