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Two Filter Smooting Formulae by Diagonalization of the Hamiltonian Equations
Stanford University, CA, USA.
Linköping University, Department of Electrical Engineering, Automatic Control. Linköping University, The Institute of Technology.
1982 (English)In: International Journal of Control, ISSN 0020-7179, E-ISSN 1366-5820, Vol. 36, no 4, 663-673 p.Article in journal (Refereed) Published
Abstract [en]

We present a new approach to two filter smoothing formulae via diagonalization of the general time variant hamiltonian equations of the linear estimation problem. This approach shows the special role of the famous Mayno-Fraser two filter formulae and also provides insight into certain invariance properties of backwards Kalman filter estimates.

Place, publisher, year, edition, pages
Taylor & Francis, 1982. Vol. 36, no 4, 663-673 p.
Keyword [en]
Filter smoothing formulae, Hamiltonian equations, Linear estimation, Mayno-Fraser, Kalman filter
National Category
Control Engineering
URN: urn:nbn:se:liu:diva-102222DOI: 10.1080/00207178208932922OAI: diva2:675516
Available from: 2013-12-04 Created: 2013-12-04 Last updated: 2013-12-04

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