Interpolation†
作者:
R. S. BUCY,
期刊:
International Journal of Control
(Taylor Available online 1984)
卷期:
Volume 39,
issue 4
页码: 767-772
ISSN:0020-7179
年代: 1984
DOI:10.1080/00207178408933204
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
This paper develops formulae for the discrete-time interpolation-error covariance of the optimal linear filter in terms of the Duff in parallel resistance of forward and backward -error covariance matrices for a finite observation-time interval. In particular dual Ricatti equations are derived which have as solutions the forward and backward-error covariance matrices. Equations for the backward and forward one-step predictor and filter are derived from the innovations viewpoint.
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