FIXED-INTERVAL SMOOTHING FOR MARKOVIAN SWITCHING SYSTEMS

A suboptimal approach to the fixed-interval smoothing problem for Mark ovian switching systems is examined in this paper, A smoothing algorit hm is developed that uses two multiple-model filters, where one of the filters propagates in the forward-time direction and the other one pr opagates in the backward-time direction, A backward-time filtering alg orithm based on the Interacting Multiple Model concept is also develop ed, Results from a simulation example are given to illustrate the perf ormance of the smoothing algorithm with respect to that of filtering.