A Stochastic Realization Approach to the Smoothing Problem

Faris A. Badawi; Anders Lindquist; Michele Pavon

doi:10.1109/TAC.1979.1102174

A Stochastic Realization Approach to the Smoothing Problem

Faris A. Badawi, Anders Lindquist, Michele Pavon

Mathematics

Research output: Contribution to journal › Article › peer-review

Abstract

The purpose of this paper is to develop a theory of smoothing for finiite dimensional linear stochastic systems in the context of stochastic realization theory. The basic Idea is to embed the given stochastic system in a class of similar systems all having the same output process and the same Kalman-Bucy filter. This class has a lattice structure with a smallest and a largest element; these two elements completely determine the smoothing estimates. This approach enables us to obtain stochastic interpretations of many important smoothing formulas and to explain the relationship between them.

Original language	English (US)
Pages (from-to)	878-888
Number of pages	11
Journal	IEEE Transactions on Automatic Control
Volume	24
Issue number	6
DOIs	https://doi.org/10.1109/TAC.1979.1102174
State	Published - Dec 1979

ASJC Scopus subject areas

Control and Systems Engineering
Computer Science Applications
Electrical and Electronic Engineering

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10.1109/TAC.1979.1102174

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A Stochastic Realization Approach to the Smoothing Problem

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