Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
563852 | Signal Processing | 2010 | 11 Pages |
Abstract
This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic dynamic systems. The proposed methodology can be applied to systems, where the dynamics can be modeled with non-linear stochastic differential equations and the noise corrupted measurements are obtained continuously or at discrete times. The smoothing algorithm is based on computing the continuous-time limit of the recently proposed unscented Rauch–Tung–Striebel smoother, which is an approximate optimal smoothing algorithm for discrete-time stochastic dynamic systems.
Keywords
Related Topics
Physical Sciences and Engineering
Computer Science
Signal Processing
Authors
Simo Särkkä,