| Автор | Prvan, Tania |
| Автор | Osborne, M. R. |
| Дата выпуска | 1988 |
| dc.description | AbstractThe square-root fixed-interval discrete-time smoother has been used extensively in discrete recursive estimation since it was first developed by Rauch, Tung and Streibel [10]. Various people, for example Bierman [2], [3], have recognized the inherent instability in employing this kind of smoother in its original form; they have investigated implementing the recursion more stably. Bierman's paper [3] is one such contribution. In this paper we plan to present a more comprehensive development of Bierman's approach, and to show that this algorithm can be implemented more stably as a square-root smoother. Throughout this paper the fixed-interval discrete-time smoother will be referred to as the RTS smoother. Numerical results are given for the usual form of the RTS smoother, Bierman's algorithm and our square-root formulation of his algorithm. These confirm that the square-root formulation is more desirable than Bierman's algorithm, which performs better than the usual implementation of the RTS smoother. |
| Формат | application.pdf |
| Издатель | Cambridge University Press |
| Копирайт | Copyright © Australian Mathematical Society 1988 |
| Название | A square-root fixed-interval discrete-time smoother |
| Тип | research-article |
| DOI | 10.1017/S0334270000006032 |
| Electronic ISSN | 1446-8735 |
| Print ISSN | 0334-2700 |
| Журнал | The Journal of the Australian Mathematical Society. Series B. Applied Mathematics |
| Том | 30 |
| Первая страница | 57 |
| Последняя страница | 68 |
| Аффилиация | Prvan Tania; Washington State University |
| Аффилиация | Osborne M. R.; Australian National University |
| Выпуск | 1 |
