Abstract
A fixed-point smoothing algorithm is proven for discretetime systems with additive and multiplicative noise in the plant and measurement equations. Such systems, although linear, differ in a number of aspects from systems with only additive noise. The algorithm depends on the multiplicative terms, as expected. Steady-state results are derived.
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Communicated by C. T. Leondes
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Phillis, Y.A. Fixed-point smoothing algorithm for discrete multiplicative systems. J Optim Theory Appl 62, 333–339 (1989). https://doi.org/10.1007/BF00941062
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DOI: https://doi.org/10.1007/BF00941062