On complementary models and fixed-interval smoothing
Howard L. Weinert, U.B. Desai · IEEE Transactions on Automatic Control · 1981
A new algorithm is derived for the standard fixed-interval linear smoothing problem in which the signal is generated by a state model. The structure of this new algorithm allows the smoothed estimate to be easily updated in response to a change in the initial state covariance matrix\Pi_{0}, since, unlike in existing algorifiuns, the relevant Riccati equation is entirely independent of\Pi_{0}. The derivation of the algorithm is based on properties of complementary models.