Partitioned estimation algorithms, II: Linear estimation

In a radically new approach to linear estimation, Iainiotis [ 33,36-37,52-531, using the “partition theorem”-an explicit Bayes theorem-obtained fundamentally new linear filtering and smoothing algorithms both for continuous as well as discrete data. The new algorithms are given in explicit, integral expressions of a “partitioned” form, and in terms of decoupled forward filters. The “partitioned” algorithms were shown to be especially advantageous from a computational as well as from an analysis standpoint. They are essentially based on the decomposition of the innovations into partial or conditional innovations and residuals. In this paper, the “partitioned” algorithms are shown to be the natural framework in which to study such important concepts as observability, controllability, unbiasedness, and the solution of Riccati equations. Specifically, in this paper, the “partitioned” algorithms are reexamined yielding further insight as well as several significant new results on: (a) unbiased estimation and filter initialization procedures; (b) stochastic observability and stochastic controllability; (c) the interconnection between stochastic observability, Fisher information matrix, and the Cramer-Rao bound; (d) estimation error-bounds; and most importantly, (e) computationally effective “partitioned” solutions of time-varying matrix Riccati equations. In fact, all of the above results have been obtained for general, timevarying, lumped, linear systems. In addition, it is shown that previously established smoothing algorithms, such as the Meditch differential algorithm and the Kailath-Frost total innovation algorithm, are readily obtained from the “partitioned” algorithms. The properties of the “partitioned” algorithms are obtained, thoroughly examined, and compared to those of other algorithms.

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