Interacting multiple-model approach to fixed-interval smoothing
Ronald E. Helmick, William Dale Blair, Scott A. Hoffman · 2002
A fixed-interval smoothing algorithm for linear systems with Markovian switching coefficients is developed in this paper. This smoothing algorithm uses two multiple model-filters, where one of the filters propagates in the forward-time direction and the other one propagates in the backward-time direction. Simulation results of target trajectory reconstruction for a manoeuvring target will be given to compare the performance of this smoothing algorithm to a multiple-model filter and a smoother designed using a single model.>