Sequential square root filtering and smoothing of discrete linear systems
Automatica (Journal of IFAC)
Supplement to “a survey of data smoothing”
Automatica (Journal of IFAC)
A solution of the smoothing problem for linear dynamic systems
Automatica (Journal of IFAC)
A survey of data smoothing for linear and nonlinear dynamic systems
Automatica (Journal of IFAC)
A view of three decades of linear filtering theory
IEEE Transactions on Information Theory
Brief Square-root information filtering and fixed-interval smoothing with singularities
Automatica (Journal of IFAC)
| Hi-index | 22.15 |
The Rauch-Tung-Streibel smoother recursion is used to derive a new smoother algorithm based upon a decomposition of the linear model dynamical equation and maximizing use of rank 1 matrix modification. This new algorithm, it turns out, parallels Bierman's forward recursive square-root information filter/backward recursive U-D factorized covariance algorithm. The new result features computational efficiency, reliance on numerically stable matrix modification algorithms, and reduced computer storage.