A square-root fixed-interval discrete-time smoother

Square-root information filtering and fixed-interval smoothing with singularities

The square-root information filter and smoother algorithms have been generalized to handle singular state transition matrices and perfect measurements. This has been done to allow the use of SRIF techniques for problems with delays and state constraints. The generalized algorithms use complete QR factorization to isolate deterministically known parts of the state and nonsingular parts of the st...

Design of a fixed-interval smoother using covariance information based on the innovations approach in linear discrete-time stochastic systems

This paper describes a design for a recursive least-squares Wiener fixed-interval smoother using the covariance information in linear discrete-time stochastic systems. The estimators require information from the observation matrix, the system matrix for the state variable, related to the signal, the variance of the state variable, the cross-variance function of the state variable with the obser...

A Continuous-time Fixed-lag Smoother Converging in Finite Time

In this paper, we propose a new fixed-lag smoother that estimates the fixed-delayed state for a continuous-time stochastic system. The estimation error variance of the proposed smoother is minimized under the constraint that the estimated state converges to the real state exactly in finite time after noises or uncertainties disappear. For numerical computing, the proposed smoother is represente...

Mean square stability of discrete-time stochastic hybrid systems with interval time-varying delays

This paper is concerned with robust mean square stability of uncertain stochastic switched discrete time-delay systems. The system to be considered is subject to interval timevarying delays, which allows the delay to be a fast time-varying function and the lower bound is not restricted to zero. Based on the discrete Lyapunov functional, a switching rule for the robust mean square stability for ...

Square - Root Algorithmsfor the Discrete Logarithm Problem ( a Survey )