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http://dx.doi.org/10.5302/J.ICROS.2014.13.1946

An Optimal Fixed-lag FIR Smoother for Discrete Time-varying State Space Models  

Kwon, Bo-Kyu (The Department of Control and Instrumentation Engineering, Kangwon National University)
Han, Soohee (The Department of Electrical Engineering, Konkuk University)
Publication Information
Journal of Institute of Control, Robotics and Systems / v.20, no.1, 2014 , pp. 1-5 More about this Journal
Abstract
In this paper, we propose an optimal fixed-lag FIR (Finite-Impulse-Response) smoother for a class of discrete time-varying state-space signal models. The proposed fixed-lag FIR smoother is linear with respect to inputs and outputs on the recent finite horizon and estimates the delayed state so that the variance of the estimation error is minimized with the unbiased constraint. Since the proposed smoother is derived with system inputs, it can be adapted to feedback control system. Additionally, the proposed smoother can give more general solution than the optimal FIR filter, because it reduced to the optimal FIR filter by setting the fixed-lag size as zero. A numerical example is presented to illustrate the performance of the proposed smoother by comparing with an optimal FIR filter and a conventional fixed-lag Kalman smoother.
Keywords
optimal state estimation; FIR (Finite Impulse Response); time-varying system; fixed-lag smoother; minimum variance; unbiased estimation;
Citations & Related Records
Times Cited By KSCI : 1  (Citation Analysis)
연도 인용수 순위
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