Unscented Rauch--Tung--Striebel Smoother

This note considers the application of the unscented transform to optimal smoothing of nonlinear state--space models. In this note, a new Rauch--Tung--Striebel type form of the fixed-interval unscented Kalman smoother is derived. The new smoother differs from the previously proposed two-filter-formulation-based unscented Kalman smoother in the sense that it is not based on running two independent filters forward and backward in time. Instead, a separate backward smoothing pass is used, which recursively computes corrections to the forward filtering result. The smoother equations are derived as approximations to the formal Bayesian optimal smoothing equations. The performance of the new smoother is demonstrated with a simulation.