- 控制理论和非线性滤波讨论班

Optimal Estimation with Missing Observations via Balanced Time-Symmetric Stochastic Models

组织者

丘成栋

演讲者

康家熠

时间

2022年11月03日 20:30 至 21:00

地点

Online

摘要

I will introduce a work considered data fusion for the purpose of smoothing and interpolation based on observation records with missing data. Stochastic processes are generated by linear stochastic models. The paper begins by drawing a connection between time reversal in stochastic systems and all-pass extensions. A particular normalization (choice of basis) between the two time-directions allows the two to share the same orthonormalized state process and simplifies the mathematics of data fusion. In this framework, they derive symmetric and balanced Mayne–Fraser-like formulas that apply simultaneously to continuous-time smoothing and interpolation, providing a definitive unification of these concepts. The absence of data over subintervals requires in general a hybrid filtering approach involving both continuous-time and discrete-time filtering steps.