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Recursive smoothing for discrete-time systems as a filtering problem. (English) Zbl 0544.93074
Recursive smoothing of past states for discrete-time systems is considered. In this paper the smoothing problem is transformed into a filtering problem. Then by an application of Kalman filter equations the solution of the smoothing problem is discussed. It is shown that this method of derivation of the smoothing equations is simpler than the method of estimation theory.
Reviewer: M.Sambandham
93E14 Data smoothing in stochastic control theory
93C55 Discrete-time control/observation systems
93E11 Filtering in stochastic control theory
93C05 Linear systems in control theory
62M20 Inference from stochastic processes and prediction
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