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New smoothing algorithms based on reversed-time lumped models
Sidhu, G.; Desai, U.;
Automatic Control, IEEE Transactions on
Volume 21,
Issue 4,
Aug 1976
Page(s):538
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541
Abstract:
Corresponding to a processx(.)with a known state model propagating in growing time, we obtain a processx_{r}(.), statistically equivalent tox(.)up to second-order properties but with a state model propagating in reversed time. This result is exploited to obtain recursive linear least-squares estimation algorithms that evolve backwards in time. The reversed-time model is shown to be closely related to the system adjoint of the original state model. Some operator-theoretic consequences are also noted.
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