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Recursive algorithms for Bayes smoothing with uncertain observations

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2 Author(s)
Askar, M. ; Middle East Technical University, Ankara, Turkey ; Derin, H.

Recursive algorithms for the Bayes solution of fixed-interval, fixed-point, and fixed-lag smoothing under uncertain observations are presented. The Bayes smoothing algorithms are obtained for a Markovian system model with Markov uncertainty, a model more general than the one used in linear smoothing algorithms. The Bayes fixed-interval smoothing algorithm is applied to a Gauss-Markov example. The simulation results for this example indicate that the MSE performance of the Bayes smoother is significantly better than that of the linear smoother.

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Automatic Control, IEEE Transactions on  (Volume:29 ,  Issue: 5 )