Optimal fixed-point continuous linear smoothing

Abstract : The filter and error covariance equations for optimal fixed-point smoothing for continuous linear systems are developed. The development is carried out by considering the limiting case of the results for the same problem for discrete linear systems. The procedure is of use in estimation problems where a smoothed estimate of a continuous linear system's state is desired at some specified critical time during the system's operation. Four examples are presented to illustrate the results.