New square-root smoothing algorithms

This paper presents new square-root smoothing algorithms for the three best-known smoothing formulas: (1) Rauch-Tung-Striebel (RTS) formulas, (2) Desai-Weinert-Yusypchuk (DWY) formulas, called backward RTS formulas, and (3) Mayne-Fraser (MF) formulas, called two-filter formulas. The main feature of...

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Veröffentlicht in:IEEE transactions on automatic control Jg. 41; H. 5; S. 727 - 732
Hauptverfasser: PooGyeon Park, Kailath, T.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: New York, NY IEEE 01.05.1996
Institute of Electrical and Electronics Engineers
Schlagworte:
Applied sciences
Control system synthesis
Detection, estimation, filtering, equalization, prediction
Exact sciences and technology
Feedback
Information filtering
Information filters
Information, signal and communications theory
Linear matrix inequalities
Numerical stability
Robust stability
Signal and communications theory
Signal, noise
Smoothing methods
Stability analysis
Stability criteria
Telecommunications and information theory
Mathematical method
Filtering
Square root
Algorithm
State estimation
ISSN:0018-9286
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Zusammenfassung:This paper presents new square-root smoothing algorithms for the three best-known smoothing formulas: (1) Rauch-Tung-Striebel (RTS) formulas, (2) Desai-Weinert-Yusypchuk (DWY) formulas, called backward RTS formulas, and (3) Mayne-Fraser (MF) formulas, called two-filter formulas. The main feature of the new algorithms is that they use unitary rotations to replace all matrix inversion and backsubstitution steps common in earlier algorithms with unitary operations; this feature enables more efficient systolic array and parallel implementations and leads to algorithms with better numerical stability and conditioning properties.
Bibliographie:ObjectType-Article-2
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ISSN:0018-9286
DOI:10.1109/9.489212