Continuous-time and continuous-discrete-time unscented Rauch-Tung-Striebel smoothers

This article considers the application of the unscented transformation to approximate fixed-interval optimal smoothing of continuous-time non-linear stochastic 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 systems. Key words: Unscented transformation, Unscented Kalman smoother, Unscented Rauch-Tung-Striebel smoother, Continuous-time smoother

• Type: Journal
• Year: 2010
• Where: SIGPRO
• Authors: Simo Särkkä
• Keywords: SIGPRO 2010, Unscented Kalman Smoother, Unscented Rauch-tung-striebel Smoother, Unscented Transformation