Accession Number : AD0715633

Title :   Discrete-Time Fixed-Lag Smoothing,

Corporate Author : BOEING SCIENTIFIC RESEARCH LABS SEATTLE WASH MATHEMATICAL AND INFORMATION SCIENCES LAB

Personal Author(s) : Johnson,F. C. ; Meditch,J. S.

Report Date : SEP 1970

Pagination or Media Count : 25

Abstract : It has been shown that previously derived algorithms for recursive, optimal, fixed-lag smoothing are unstable under the same assumptions for which the corresponding Kalman filter is stable. In this paper, a stable algorithm for fixed-lag smoothing is developed for the discrete-time problem. The algorithm is optimal and appears to be computationally tractable for on-line smoothing. A smoothing error covariance relation is also developed in the paper to provide a means for assessing fixed-lag smoothing performance. A numerical example involving a third-order communications system model is presented and the performance of fixed-lag smoothing is compared with that of filtering for two separate cases. (Author)

Descriptors :   (*CONTROL SYSTEMS, MATHEMATICAL MODELS), (*INFORMATION THEORY, NUMERICAL ANALYSIS), COMMUNICATION SYSTEMS, ANALYSIS OF VARIANCE, OPTIMIZATION, ALGORITHMS

Subject Categories : Statistics and Probability
      Cybernetics

Distribution Statement : APPROVED FOR PUBLIC RELEASE