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Fast Time-Invariant Implementations for Linear Least-Squares Smoothing Filters
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- Levy, Bernard C. (author)
- Massachusetts Institute of Technology, MA, USA
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- Kailath, Thomas (author)
- Stanford University, CA, USA
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- Morf, Martin (author)
- Stanford University, CA, USA
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- (creator_code:org_t)
- 1978
- 1978
- English.
- In: Proceedings of the 1978 IEEE Conference on Decision and Control including the 17th Symposium on Adaptive Processes. ; , s. 1156-1159
- Conference paper (peer-reviewed)
Abstract
Subject headings
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- We present a new solution for the fixed interval linear least-squares smoothing of a stationary random signal in additive white noise. By using the generalized Sobolev identity for the Fredholm resolvent of a covariance kernel, the smoothed estimate is expressed entirely in terms of time-invariant causal and anticausal filtering operations. These operations are interpreted from a stochastic point of view as giving some constrained (time-invariant) filtered estimates of the signal. From a computational point of view, the implementation presented here is particularly convenient, not only because time-invariant filters can be used to find the smoothed estimate, but also because a fast algorithm based on Levinson recursions can be used to compute the time-invariant filters themselves.
Subject headings
- TEKNIK OCH TEKNOLOGIER -- Elektroteknik och elektronik -- Reglerteknik (hsv//swe)
- ENGINEERING AND TECHNOLOGY -- Electrical Engineering, Electronic Engineering, Information Engineering -- Control Engineering (hsv//eng)
Keyword
- Least-squares
- Smoothing
- Linear
- Fredholm resolvent
- Levinson recursions
Publication and Content Type
- ref (subject category)
- kon (subject category)
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- Linköping University
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