On the relationship between the Lagrange multiplier method and the two-filter smoother
作者:
KEIGO WATANABE,
期刊:
International Journal of Control
(Taylor Available online 1985)
卷期:
Volume 42,
issue 2
页码: 391-410
ISSN:0020-7179
年代: 1985
DOI:10.1080/00207178508933371
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
Some relationships between the Lagrange multiplier method and a two-filter smoother are explored using orthogonal projection lemmas for linear discrele-time systems. The obtained expectation results are applied to algebraically derive a forward-pass fixed-interval smoothing algorithm that utilizes backward-pass information filter outputs. Furthermore, a convenient form for numerically efficient and stable algorithms is developed and the derived equation can also be used to quantitatively evaluate the effect of initial statistics on the smoothed estimate. Numerical results, pertaining to a linearized version for the in-track motion of a satellite travelling in a circular orbit, are included to illustrate the use of the given algorithms.
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