Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers. (English) Zbl 1177.93085

Summary: This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic dynamic systems. The proposed methodology can be applied to systems, where the dynamics can be modeled with non-linear stochastic differential equations and the noise corrupted measurements are obtained continuously or at discrete times. The smoothing algorithm is based on computing the continuous-time limit of the recently proposed unscented Rauch-Tung-Striebel smoother, which is an approximate optimal smoothing algorithm for discrete-time stochastic dynamic systems.


93E11 Filtering in stochastic control theory
60H30 Applications of stochastic analysis (to PDEs, etc.)
Full Text: DOI


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