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Formulas for Efficient Change of Initial Conditions in Linear Least Squares Estimation
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
Stanford University, CA, USA.
1976 (English)In: Proceedings of the 1976 IEEE Conference onDecision and Control including the 15th Symposium on Adaptive Processes, 1976, 640-644 p.Conference paper, Published paper (Refereed)
Abstract [en]

We give simple proofs of formulas for converting linear least-squares filtered and smoothed estimates derived for one set of initial conditions to estimates valid for some other set. These are then used to study the possible advantages of first deliberately mischoosing the initial conditions so as to allow computational benefits to be obtained by using certain fast algorithms. In the course of this application we also obtain a new "dual" set of Chandrasekhar equations that provide a fast algorithm for fixed-point smoothing.

Place, publisher, year, edition, pages
1976. 640-644 p.
Keyword [en]
Linear least squares estimation, Chandrasekhar equations
National Category
Control Engineering
Identifiers
URN: urn:nbn:se:liu:diva-100840DOI: 10.1109/CDC.1976.267808OAI: oai:DiVA.org:liu-100840DiVA: diva2:663991
Conference
976 IEEE Conference onDecision and Control including the 15th Symposium on Adaptive Processes, Clearwater, FL, USA, December, 1976
Available from: 2013-11-13 Created: 2013-11-13 Last updated: 2013-11-13

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Ljung, Lennart

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