Fixed-interval smoothing for Markovian switching systems
- 1 January 1995
- journal article
- Published by Institute of Electrical and Electronics Engineers (IEEE) in IEEE Transactions on Information Theory
- Vol. 41 (6) , 1845-1855
- https://doi.org/10.1109/18.476310
Abstract
A suboptimal approach to the fixed-interval smoothing problem for Markovian switching systems is examined. A smoothing algorithm is developed that uses two multiple-model filters, where one of the filters propagates in the forward-time direction and the other one propagates in the backward-time direction. A backward-time filtering algorithm based on the interacting multiple model concept is also developed. Results from a simulation example are given to illustrate the performance of the smoothing algorithm with respect to that of filtering. The example involves radar tracking of a Mach 1 aircraftKeywords
This publication has 9 references indexed in Scilit:
- Time-reversion of a hybrid state stochastic difference system with a jump-linear smoothing applicationIEEE Transactions on Information Theory, 1990
- The interacting multiple model algorithm for systems with Markovian switching coefficientsIEEE Transactions on Automatic Control, 1988
- An efficient filter for abruptly changing systemsPublished by Institute of Electrical and Electronics Engineers (IEEE) ,1984
- On the fixed-interval smoothing problemStochastics, 1981
- A further note on backwards Markovian models (Corresp.)IEEE Transactions on Information Theory, 1979
- State Estimation for Discrete Systems with Switching ParametersIEEE Transactions on Aerospace and Electronic Systems, 1978
- On state estimation in switching environmentsIEEE Transactions on Automatic Control, 1970
- The optimum linear smoother as a combination of two optimum linear filtersIEEE Transactions on Automatic Control, 1969
- A solution of the smoothing problem for linear dynamic systemsAutomatica, 1966