Two-filter formulae for discrete-time non-linear bayesian smoothing

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Abstract

Two-filter formulas for the Bayes solution of the fixed-interval discrete-time non-linear smoothing problem are obtained. The smoothed a posteriori density is computed under the assumptions of a general Markov signal observed through a general memoryless noisy channel. The case where there is feedback from the observation to the signal is also considered. The derived algorithms complement a two-pass algorithm obtained by Askar and Derin (1981). Known smoothing results for the linear Gaussian case are interpreted in the light of the general Bayesian results.

Original languageEnglish (US)
Pages (from-to)629-641
Number of pages13
JournalInternational Journal of Control
Volume43
Issue number2
DOIs
StatePublished - Feb 1986
Externally publishedYes

ASJC Scopus subject areas

  • Control and Systems Engineering
  • Computer Science Applications

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