IEEE Transactions on Automatic Control, Vol.41, No.7, 1051-1056, 1996
One-Step Fixed-Lag Smoothers for Markovian Switching Systems
Suboptimal approaches to the one-step fixed-lag smoothing problem for Markovian switching systems are examined in this paper. Two algorithms are developed for obtaining one-step fixed-lag smoothed estimates. The first algorithm is an approximation that considers the models over the two most recent sampling periods, while the second one considers only the models over the most recent sampling period. Simulation results are presented to compare the performances of these smoothing algorithms.