Discrete-time complementary models and smoothing algorithms: The correlated noise case

@article{Desai1981DiscretetimeCM,
  title={Discrete-time complementary models and smoothing algorithms: The correlated noise case},
  author={U. B. Desai and Howard Weinert and Gene Yusypchuk},
  journal={1981 20th IEEE Conference on Decision and Control including the Symposium on Adaptive Processes},
  year={1981},
  pages={1048-1053}
}
The concept of complementary models for discrete-time linear finite dimensional systems with correlated observation and process noise is developed. Using this concept a new algorithm for the fixed interval smoothing problem is obtained. The new algorithm offers great flexibility with respect to changes in the initial state variance ¿o. Next, using the framework developed in Sections II and III, a new and a simple derivation of the two-filter smoother is presented. Furthermore the relationship… CONTINUE READING
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