Steady-state error covariances of fixed-point smoothers |
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Authors: | KEIGO WATANABE |
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Affiliation: | College of Engineering, Shizuoka University , Johoku 3-5-1, Hamamatsu, 432, Japan |
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Abstract: | The estimation error covariance of a fixed-point smoother in the steady-state, which has the steady-state solution of the Kalman filter as the initial condition, is considered for both continuous- and discrete-time systems. Applying some results on a stabilizing solution for a forward-pass fixed-interval smoother, a necessary and sufficient condition is given for assuring the existence of a unique stabilizing solution for such a fixed-point smoother. It is then shown that the resulting condition is equivalent to a well-known condition for the existence of a unique stabilizing solution of the Kalman filter or of the backward information filter. |
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