Steady-state error covariances of fixed-point smoothers
作者:
KEIGO WATANABE,
期刊:
International Journal of Systems Science
(Taylor Available online 1987)
卷期:
Volume 18,
issue 7
页码: 1323-1337
ISSN:0020-7721
年代: 1987
DOI:10.1080/00207728708967112
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
The estimation error covariance of a fixed-point smoother in the steady-state, which has the steady-state solution of the Kalman filter as the initial condition, is considered for both continuous- and discrete-time systems. Applying some results on a stabilizing solution for a forward-pass fixed-interval smoother, a necessary and sufficient condition is given for assuring the existence of a unique stabilizing solution for such a fixed-point smoother. It is then shown that the resulting condition is equivalent to a well-known condition for the existence of a unique stabilizing solution of the Kalman filter or of the backward information filter.
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