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OALib Journal期刊
ISSN: 2333-9721
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Optimal Filtering and Smoothing of a Class of Non-Causal Systems
一类非因果系统的最优滤波与平滑

Keywords: non-causal systems,Markovian processes,Kalman filter,optimal smoothing
非因果系统
,最优平滑,马氏过程,最优滤波

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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.

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