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2010

Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers

9 years 6 months ago
Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers
This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic 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 systems. Key words: Unscented transformation, Unscented Kalman smoother, Unscented Rauch-Tung-Striebel smoother, Continuous-time smoother
Simo Särkkä
Added 30 Jan 2011
Updated 30 Jan 2011
Type Journal
Year 2010
Where SIGPRO
Authors Simo Särkkä
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