On the fixed-interval smoothing problem†

The Fixed-Interval Smoothing Problem for Continuous Systems

The smoothing problem for continuous systems is treated in a state space representation by means of variational calculus techniques. The smoothing problem is introduced in an criterion by means of an artificial discontinuity that splits the problem in term of forward and backward filtering problems. Hence, the smoother design is realized in three steps. First, a forward filter is developed. Sec...

Nonparametric fixed-interval smoothing with vector splines

On the Fixed Interval Due-date Scheduling Problem

WC consider the nonprccmptivc single machine scheduling problem with multiple due-dates (delivery dates). where the time between two consecutive due-dates is a constant. Given a set of jobs, we are interested in scheduling the jobs such that the sum of the total due-date cost and the total earliness cost is minimized with the constraint that each job must be finished at or before its due-date. ...

Fixed Interval Smoothing for Nonlinear Continuous Time Systems

Here, dr~dr and dw/dt are independent, zero mean, ganssian white noise processes, with covariances I 3 ( t r ) and R ( t ) 8 ( t T), respectively. The matrix R(t) is positive definite for all t. An a priori distribution for the density of x 0 is assumed known, and it is assumed that f , G, h and R all have sufficient smoothness properties to guarantee the usual existence and uniqueness requirem...

Fixed-Interval Kalman Smoothing Algorithms in Singular State-Space Systems

Fixed-interval Bayesian smoothing in state-space systems has been addressed for a long time. However, as far as the measurement noise is concerned, only two cases have been addressed so far : the regular case, i.e. with positive definite covariance matrix; and the perfect measurement case, i.e. with zero measurement noise. In this paper we address the smoothing problem in the intermediate case ...