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自动化学报 1995
Optimal Filtering and Smoothing of a Class of Non-Causal Systems
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Abstract:
In this paper, minimum variance filtering and smoothing algorithms of a class of non-causal systems are discussed. Using the equivalence theorem of the forward and backward Markovian processes, the conditions for optimal filtering is obtained,and the formulas for optimal filtering and smoothing are given. The algorithm can be applied to a wide range of problems.