Smoothed state estimation via efficient solution of linear equations

Title: Smoothed state estimation via efficient solution of linear equations
Creator: Geng, Li-Hui; Ninness, Brett; Wills, Adrian; Schön, Thomas
Relation: 20th IFAC World Congress. 20th IFAC World Congress Proceedings [presented in IFAC-PapersOnLine, Vol. 50, Issue 1] (Toulouse, France 9-14 July, 2017) p. 1613-1618
Publisher Link: http://dx.doi.org/10.1016/j.ifacol.2017.08.323
Publisher: Elsevier
Resource Type: conference paper
Date: 2017
Description: This paper addresses the problem of computing fixed interval smoothed state estimates of a linear time varying Gaussian stochastic system. There already exist many algorithms that perform this computation, but all of them impose certain restrictions on system matrices in order for them to be applicable. This paper develops a new forwards-backwards pass algorithm that is applicable under the mildest restrictions possible - namely that the smoothed state distribtions exists in forms that can be characterised by means and covariances, for which this paper also develops a new necessary and sufficient condition.
Subject: filtering; smoothing; estimation; stochastic system identification; Bayesian methods
Identifier: http://hdl.handle.net/1959.13/1395169
Identifier: uon:33826
Identifier: ISSN:2405-8963
Language: eng
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