Newton's Method in Discrete-Time Nonlinear Data Smoothing

It is well known that the problem of estimating the state and parameters of discrete-time nonlinear dynamic systems from noisy measurements can be formulated as a nonlinear two-point boundaryvalue problem. In this paper, an algorithm is developed for solving the above boundary-value problem. The algorithm, which is based on Newton's method, requires very little storage. A detailed discussion of the algorithm is given and certain extensions of it are indicated.