Fixed - interval optimal Kalman smoother for systems with correlated noises
Zili Deng · Journal of Natural Science of Heilongjiang University · 2002
Based on Kalman filter for systems with correlated noises, by using the projection theory, a fixed - interval optimal Kalman smoother is presented. It can be implemented in a backward recursive form. Its algorithm is simple, and is suitable for real time applications. A existing result for systems with uncorrelated noises is extended. A simulation example shows its effectiveness.