Adaptive Lag Smoother for State Estimation

Fixed-lag smoothing has been used across different disciplines for offline analysis in many applications. With rising computational power and parallel processing architectures, fixed-lag smoothers are increasingly integrated into online processing system with small delays. This delay is directly related to the lag-length used in system design, which needs to be chosen appropriately. In this work, an adaptive approach is devised to choose an appropriate lag-length that provides a good trade-off between accuracy and computational requirements. The analysis shown in this paper for the error dynamics of the fixed-lag smoother over the lags helps in understanding its saturation over increasing lags. In order to provide the empirical results, simulations are carried out over a second-order Newtonian system, single-axis attitude estimation, Van der Pol's oscillator, and three-axis attitude estimation. The simulation results demonstrate the performance achieved with an adaptive-lag smoother as compared to a fixed-lag smoother with very high lag-length.