Linear and nonlinear filtering for scientists and engineers:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore [u.a.]
World Scientific
1998
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 256 S. |
| ISBN: | 9810236093 |
Staff View
MARC
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| 100 | 1 | |a Ahmed, Nasir Uddin |d 1934- |e Verfasser |0 (DE-588)171946413 |4 aut | |
| 245 | 1 | 0 | |a Linear and nonlinear filtering for scientists and engineers |c N. U. Ahmed |
| 264 | 1 | |a Singapore [u.a.] |b World Scientific |c 1998 | |
| 300 | |a XV, 256 S. | ||
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| 337 | |b n |2 rdamedia | ||
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| 650 | 4 | |a Digital filters (Mathematics) | |
| 650 | 4 | |a Nonlinear theories | |
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| 650 | 0 | 7 | |a Filter |g Stochastik |0 (DE-588)4128590-6 |2 gnd |9 rswk-swf |
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Record in the Search Index
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|---|---|
| adam_text | LINEAR AND NONLINEAR FILTERING FOR SCIENTISTS AND ENGINEERS N U AHMED
UNIVERSITY OF OTTAWA WORLD SCIENTIFIC SINGAPORE * NEW JERSEY * LONDON *
HONG KONG CONTENTS PREFACE CHAPTER 1 INTRODUCTION TO STOCHASTIC
PROCESSES 1.1 INTRODUCTION 1 1.2 PROBABILITY SPACE AND RANDOM VARIABLES
1 1.3 CONDITIONAL EXPECTATIONS 5 1.4 MARKOV PROCESSES, WIENER PROCESSES
AND JUMP PROCESSES 9 1.5 ITO STOCHASTIC INTEGRALS 13 1.6 STRATONOVICH
INTEGRALS 22 CHAPTER 2 STOCHASTIC DIFFERENTIAL EQUATIONS 2.1
INTRODUCTION 25 2.2 LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS 25 2.3
NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS 28 2.4 ITO AND STRATONOVICH
CALCULUS AND THEIR COMPARISON 32 2.5 BACKWARD AND FORWARD KOLMOGOROV
EQUATIONS 39 2.6 CHANGE OF DRIFT AND GIRSANOV THEOREM 47 CHAPTER 3
KALMAN FILTERING FOR LINEAR SYSTEMS DRIVEN BY WIENER PROCESS-I 3.1
INTRODUCTION 55 3.2 SYSTEM DYNAMICS 55 3.3 MEASUREMENT DYNAMICS 56 3.4
PROBLEM FORMULATION 56 3.5 DERIVATION OF OPTIMUM FILTER 58 3.6 SOME
EXAMPLES 65 XII CONTENTS 3.7 PREDICTION PROBLEM 68 CHAPTER 4 KALMAN
FILTERING FOR LINEAR SYSTEMS DRIVEN BY WIENER PROCESS-II 4.1
INTRODUCTION 69 4.2 SYSTEM AND MEASUREMENT DYNAMICS (A) 69 4.3 PROBLEM
FORMULATION 70 4.4 STRUCTURE OF THE FILTER * 70 4.5 SOLUTION OF THE
PROBLEM 70 4.6 SYSTEM AND MEASUREMENT DYNAMICS (B) 72 4.7 DISCUSSIONS
AND AN EXAMPLE 75 CHAPTER 5 DISCRETE KALMAN FILTERING 5.1 INTRODUCTION
77 5.2 SYSTEM DYNAMICS 77 5.3 MEASUREMENT DYNAMICS 78 5.4 PROBLEM
FORMULATION 78 5.5 ERROR COVARIANCE UPDATE 79 5.6 STATE ESTIMATE TIME
UPDATE 81 5.7 ERROR COVARIANCE TIME UPDATE 82 5.8 NECESSARY EQUATIONS
FOR SIMULATION 83 CHAPTER 6 LINEAR FILTERING WITH CORRELATED NOISE-I 6.1
INTRODUCTION 85 6.2 SYSTEM AND MEASUREMENT DYNAMICS (A) 85 6.3 PROBLEM
FORMULATION 86 6.4 STRUCTURE OF THE FILTER 86 6.5 SOLUTION OF THE
PROBLEM 86 6.6 SYSTEM AND MEASUREMENT DYNAMICS (B) 90 CHAPTER 7 LINEAR
FILTERING WITH CORRELATED NOISE-II 7.1 INTRODUCTION 95 7.2 SYSTEM AND
MEASUREMENT DYNAMICS (A) 95 7.3 PROBLEM FORMULATION 96 7.4 STRUCTURE OF
THE FILTER 96 CONTENTS XIII 7.5 SOLUTION OF THE PROBLEM 96 7.6 SYSTEM
AND MEASUREMENT DYNAMICS (B) 100 7.7 DISCUSSIONS AND EXAMPLES 103
CHAPTER 8 LINEAR FILTERING WITH CORRELATED NOISE-HI 8.1 INTRODUCTION 105
8.2 SYSTEM AND MEASUREMENT DYNAMICS 105 8.3 PROBLEM FORMULATION 106 8.4
STRUCTURE OF THE FILTER 106 8.5 SOLUTION OF THE PROBLEM 106 8.6 SPECIAL
CASES 110 8.7 DISCUSSION AND EXAMPLES 112 CHAPTER 9 LINEAR FILTERING OF
JUMP PROCESSES 9.1 INTRODUCTION 113 9.2 POISSON NOISE 113 9.3 SYSTEM AND
MEASUREMENT DYNAMICS (A) 113 9.4 PROBLEM FORMULATION 114 9.5 STRUCTURE
OF THE FILTER 114 9.6 SOLUTION OF THE PROBLEM 115 9.7 SYSTEM AND
MEASUREMENT DYNAMICS (B) 117 9.8 SYSTEM AND MEASUREMENT DYNAMICS (C) 118
9.9 EXAMPLES AND DISCUSSION 119 CHAPTER 10 LINEAR FILTERING WITH
CONSTRAINTS 10.1 INTRODUCTION 121 10.2 SYSTEM AND MEASUREMENT DYNAMICS
121 10.3 PROBLEM FORMULATION 121 10.4 SOLUTION OF THE FILTERING PROBLEM
122 10.5 DYNAMICALLY COUPLED SYSTEMS 129 10.6 ALGORITHM FOR
COMPUTATION-I 130 10.7 ROBUST FILTERING 131 10.8 ALGORITHM FOR
COMPUTATION-II 138 XIV CONTENTS CHAPTER 11 FILTERING FOR LINEAR SYSTEMS
DRIVEN BY SECOND ORDER RANDOM PROCESSES 11.1 INTRODUCTION 141 11.2
SYSTEM AND MEASUREMENT DYNAMICS 141 11.3 PROBLEM FORMULATION 142 11.4
SOLUTION OF THE FILTERING PROBLEM AND SPECIAL CASES 146 11.5 DYNAMICALLY
COUPLED SYSTEMS 152 11.6 ALGORITHM FOR COMPUTATION 153 CHAPTER 12
EXTENDED KALMAN FILTERING I, II AND III 12.1 INTRODUCTION 155 12.2
SYSTEM AND MEASUREMENT DYNAMICS 155 12.3 PROBLEM FORMULATION (EKF-1) 156
12.4 PROBLEM SOLUTION WITH EKF-1 EQUATIONS 157 12.5 COMPUTATIONAL
METHODS 159 12.6 PROBLEM FORMULATION AND EQUATIONS FOR EKF-2 160 12.7
COMPARISON OF EKF-1 AND EKF-2 WITH EXAMPLES 163 12.8 EQUATIONS FOR EKF-3
164 CHAPTER 13 NONLINEAR FILTERING 13.1 INTRODUCTION 167 13.2 SYSTEM AND
MEASUREMENT DYNAMICS 167 13.3 PROBLEM FORMULATION 168 13.4 DERIVATION OF
ZAKAI EQUATION 168 13.5 ZAKAI TO KUSHNER EQUATION AND EKF REVISITED 178
13.6 ZAKAI EQUATION FOR JUMP PROCESSES 183 13.7 SOME EXAMPLES 185 13.8
NONLINEAR PREDICTION 186 CONTENTS XV CHAPTER 14 NUMERICAL TECHNIQUES FOR
NONLINEAR FILTERING 14.1 INTRODUCTION 187 14.2 THEORETICAL BASIS FOR
NUMERICAL COMPUTATION 188 14.3 GALERKIN APPROXIMATION USING SPECIAL
BASIS FUNCTIONS 192 14.4 SPATIAL DISCRETIZATION AND COMPUTATIONAL
ALGORITHM 195 14.5 BASIC COMPUTATIONAL STEPS 197 14.6 AN ALTERNATIVE
APPROACH 197 14.7 EXAMPLES AND SIMULATION RESULTS 199 CHAPTER 15
PARTIALLY OBSERVED CONTROL 15.1 INTRODUCTION 203 15.2 LINEAR SYSTEMS
WITH INTEGRAL OBSERVATION 203 15.3 LINEAR SYSTEMS WITH DYNAMIC
OBSERVATION 212 15.4 FULLY OBSERVED NONLINEAR SYSTEMS , 213 15.5
COMPUTATIONAL METHODS 218 15.6 PARTIALLY OBSERVED NONLINEAR SYSTEMS 219
15.7 SOME EXAMPLES AND DISCUSSION 223 CHAPTER 16 SYSTEM IDENTIFICATION
16.1 INTRODUCTION 227 16.2 FULLY OBSERVED LINEAR AND NONLINEAR SYSTEMS
227 16.3 PARTIALLY OBSERVED LINEAR SYSTEMS 234 16.4 PARTIALLY OBSERVED
NONLINEAR SYSTEMS 237 16.5 A COMPUTATIONAL ALGORITHM 246
|
| any_adam_object | 1 |
| author | Ahmed, Nasir Uddin 1934- |
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| ctrlnum | (OCoLC)247664143 (DE-599)BVBBV012731429 |
| dewey-full | 519.2 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.2 |
| dewey-search | 519.2 |
| dewey-sort | 3519.2 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik Mess-/Steuerungs-/Regelungs-/Automatisierungstechnik |
| format | Book |
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| id | DE-604.BV012731429 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:32:42Z |
| institution | BVB |
| isbn | 9810236093 |
| language | English |
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| owner_facet | DE-703 DE-521 DE-634 DE-11 DE-188 DE-91G DE-BY-TUM |
| physical | XV, 256 S. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | World Scientific |
| record_format | marc |
| spelling | Ahmed, Nasir Uddin 1934- Verfasser (DE-588)171946413 aut Linear and nonlinear filtering for scientists and engineers N. U. Ahmed Singapore [u.a.] World Scientific 1998 XV, 256 S. txt rdacontent n rdamedia nc rdacarrier Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik (DE-588)4128590-6 gnd rswk-swf Filter Stochastik (DE-588)4128590-6 s DE-604 GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008656434&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Ahmed, Nasir Uddin 1934- Linear and nonlinear filtering for scientists and engineers Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik (DE-588)4128590-6 gnd |
| subject_GND | (DE-588)4128590-6 |
| title | Linear and nonlinear filtering for scientists and engineers |
| title_auth | Linear and nonlinear filtering for scientists and engineers |
| title_exact_search | Linear and nonlinear filtering for scientists and engineers |
| title_full | Linear and nonlinear filtering for scientists and engineers N. U. Ahmed |
| title_fullStr | Linear and nonlinear filtering for scientists and engineers N. U. Ahmed |
| title_full_unstemmed | Linear and nonlinear filtering for scientists and engineers N. U. Ahmed |
| title_short | Linear and nonlinear filtering for scientists and engineers |
| title_sort | linear and nonlinear filtering for scientists and engineers |
| topic | Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik (DE-588)4128590-6 gnd |
| topic_facet | Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008656434&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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