Least-squares filtering and smoothing for linear distributed parameter systems
Automatica (Journal of IFAC)
| Hi-index | 22.14 |
Fixed interval and fixed-lag smoothing algorithms are developed for a class of noisy nonlinear distributed parameter systems with unknown volume disturbances. Using a least-squares estimation criterion a two point boundary value problem is obtained. The solution of this boundary value problem is obtained by converting it into an initial value problem using a Riccati transformation. Using a Gaussian assumption for the disturbances, approximate error covariance expressions are developed. The possible instability of the fixed-lag smoothing algorithm is noted. An alternate fixed-interval algorithm is developed to obviate storage requirements. The applicability of these algorithms is illustrated with an example from nuclear reactor kinetics.