Automatica (Journal of IFAC)
Polynomial fixed-point smoothing of uncertainly observed signals based on covariances
International Journal of Systems Science
Robust H/sub /spl infin// filtering for stochastic time-delay systems with missing measurements
IEEE Transactions on Signal Processing
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Considering discrete-time systems with uncertain observations when the signal model is unknown, but only covariance information is available, and the signal and the observation additive noise are correlated and jointly Gaussian, we present recursive algorithms for suboptimal fixed-point and fixed-interval smoothing estimators. To derive the algorithms, we employ a technique consisting in approximating the conditional distributions of the signal given the observations by Gaussian distributions, taking successive approximations of the mixtures of normal distributions. The expectation of these approximations provides us with the suboptimal estimators. In a numerical simulation example, the performance of the proposed estimators is compared with that of linear ones, via the sample mean square values of the corresponding estimation errors.