STOCHASTIC-REALIZATION APPROACH TO THE SMOOTHING PROBLEM

被引：35

作者：

BADAWI, FA

LINDQUIST, A

PAVON, M

机构：

[1] Department of Mathematics, University of Kentucky, Lexington

来源：

IEEE TRANSACTIONS ON AUTOMATIC CONTROL | 1979年 / 24卷 / 06期

关键词：

D O I：

10.1109/TAC.1979.1102174

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

The purpose of this paper is to develop a theory of smoothing for finiite dimensional linear stochastic systems in the context of stochastic realization theory. The basic Idea is to embed the given stochastic system in a class of similar systems all having the same output process and the same Kalman-Bucy filter. This class has a lattice structure with a smallest and a largest element; these two elements completely determine the smoothing estimates. This approach enables us to obtain stochastic interpretations of many important smoothing formulas and to explain the relationship between them. Copyright © 1979 by The Institute of Electricala and Electronics Engineers Inc.

引用

页码：878 / 888

页数：11

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