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Kalman filtering: theory and practice using MATLAB

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Bibliographic Details
Main Authors:	Grewal, Mohinder S. 1940- (Author), Andrews, Angus P. (Author)
Format:	Book
Language:	English
Published:	Hoboken, NJ Wiley 2008
Edition:	3. ed.
Subjects:	MATLAB Kalman filtering Kalman-Filter
Online Access:	Publisher description Inhaltsverzeichnis Inhaltsverzeichnis
Physical Description:	XVI, 575 S. graph. Darst. 1 CD-ROM (12 cm)
ISBN:	9780470173664

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adam_text	KALMAN FILTERING THEORY AND PRACTICE USING MATLAB THIRD EDITION MOHINDER S. GREWAL CALIFORNIA STATE UNIVERSITY AT FULLERTON ANGUS P. ANDREWS ROCKWELL SCIENCE CENTER (RETIRED) WILEY A JOHN WILEY & SONS, INC., PUBLICATION CONTENTS PREFACE IX ACKNOWLEDGMENTS XUEI LIST OF ABBREVIATIONS XV 1 GENERAL INFORMATION 1 1.1 ON KAIMAN FILTERING, 1 1.2 ON OPTIMAL ESTIMATION METHODS, 5 1.3 ON THE NOTATION USED IN THIS BOOK, 23 1.4 SUMMARY, 25 PROBLEMS, 26 2 LINEAR DYNAMIC SYSTEMS 31 2.1 CHAPTER FOCUS, 31 2.2 DYNAMIC SYSTEM MODELS, 36 2.3 CONTINUOUS LINEAR SYSTEMS AND THEIR SOLUTIONS, 40 2.4 DISCRETE LINEAR SYSTEMS AND THEIR SOLUTIONS, 53 2.5 OBSERVABILITY OF LINEAR DYNAMIC SYSTEM MODELS, 55 2.6 SUMMARY, 61 PROBLEMS, 64 3 RANDOM PROCESSES AND STOCHASTIC SYSTEMS 67 3.1 CHAPTER FOCUS, 67 3.2 PROBABILITY AND RANDOM VARIABLES (RVS), 70 3.3 STATISTICAL PROPERTIES OF RVS, 78 VI CONTENTS 3.4 STATISTICAL PROPERTIES OF RANDOM PROCESSES (RPS), 80 3.5 LINEAR RP MODELS, 88 3.6 SHAPING FILTERS AND STATE AUGMENTATION, 95 3.7 MEAN AND COVARIANCE PROPAGATION, 99 3.8 RELATIONSHIPS BETWEEN MODEL PARAMETERS, 105 3.9 ORTHOGONALITY PRINCIPLE, 114 3.10 SUMMARY, 118 PROBLEMS, 121 4 LINEAR OPTIMAL FILTERS AND PREDICTORS 131 4.1 CHAPTER FOCUS, 131 4.2 KAIMAN FILTER, 133 4.3 KALMAN-BUCY FILTER, 144 4.4 OPTIMAL LINEAR PREDICTORS, 146 4.5 CORRELATED NOISE SOURCES, 147 4.6 RELATIONSHIPS BETWEEN KALMAN-BUCY AND WIENER FILTERS, 148 4.7 QUADRATIC LOSS FUNCTIONS, 149 4.8 MATRIX RICCATI DIFFERENTIAL EQUATION, 151 4.9 MATRIX RICCATI EQUATION IN DISCRETE TIME, 165 4.10 MODEL EQUATIONS FOR TRANSFORMED STATE VARIABLES, 170 4.11 APPLICATION OF KAIMAN FILTERS, 172 4.12 SUMMARY, 177 PROBLEMS, 179 5 OPTIMAL SMOOTHERS 183 5.1 CHAPTER FOCUS, 183 5.2 FIXED-INTERVAL SMOOTHING, 189 5.3 FIXED-LAG SMOOTHING, 200 5.4 FIXED-POINT SMOOTHING, 213 5.5 SUMMARY, 220 PROBLEMS, 221 6 IMPLEMENTATION METHODS 225 6.1 CHAPTER FOCUS, 225 6.2 COMPUTER ROUNDOFF, 227 6.3 EFFECTS OF ROUNDOFF ERRORS ON KAIMAN FILTERS, 232 6.4 FACTORIZATION METHODS FOR SQUARE-ROOT FILTERING, 238 6.5 SQUARE-ROOT AND UD FILTERS, 261 6.6 OTHER IMPLEMENTATION METHODS, 275 6.7 SUMMARY, 288 PROBLEMS, 289 7 NONLINEAR FILTERING 293 7.1 CHAPTER FOCUS, 293 7.2 QUASILINEAR FILTERING, 296 CONTENTS VU 7.3 SAMPLING METHODS FOR NONLINEAR FILTERING, 330 7.4 SUMMARY, 345 PROBLEMS, 350 8 PRACTICAL CONSIDERATIONS 355 8.1 CHAPTER FOCUS, 355 8.2 DETECTING AND CORRECTING ANOMALOUS BEHAVIOR, 356 8.3 PREFILTERING AND DATA REJECTION METHODS, 379 8.4 STABILITY OF KAIMAN FILTERS, 382 8.5 SUBOPTIMAL AND REDUCED-ORDER FILTERS, 383 8.6 SCHMIDT-KAIMAN FILTERING, 393 8.7 MEMORY, THROUGHPUT, AND WORDLENGTH REQUIREMENTS, 403 8.8 WAYS TO REDUCE COMPUTATIONAL REQUIREMENTS, 409 8.9 ERROR BUDGETS AND SENSITIVITY ANALYSIS, 414 8.10 OPTIMIZING MEASUREMENT SELECTION POLICIES, 419 8.11 INNOVATIONS ANALYSIS, 424 8.12 SUMMARY, 425 PROBLEMS, 426 9 APPLICATIONS TO NAVIGATION 427 9.1 CHAPTER FOCUS, 427 9.2 HOST VEHICLE DYNAMICS, 431 9.3 INERTIAL NAVIGATION SYSTEMS (INS), 435 9.4 GLOBAL NAVIGATION SATELLITE SYSTEMS (GNSS), 465 9.5 KAIMAN FILTERS FOR GNSS, 470 9.6 LOOSELY COUPLED GNSS/INS INTEGRATION, 488 9.7 TIGHTLY COUPLED GNSS/INS INTEGRATION, 491 9.8 SUMMARY, 507 PROBLEMS, 508 APPENDIX A MATLAB SOFTWARE 511 A.L NOTICE, 511 A.2 GENERAL SYSTEM REQUIREMENTS, 511 A.3 CD DIRECTORY STRUCTURE, 512 A.4 MATLAB SOFTWARE FOR CHAPTER 2, 512 A.5 MATLAB SOFTWARE FOR CHAPTER 3, 512 A.6 MATLAB SOFTWARE FOR CHAPTER 4, 512 A.7 MATLAB SOFTWARE FOR CHAPTER 5, 513 A.8 MATLAB SOFTWARE FOR CHAPTER 6, 513 A.9 MATLAB SOFTWARE FOR CHAPTER 7, 514 A. 10 MATLAB SOFTWARE FOR CHAPTER 8, 515 A. 11 MATLAB SOFTWARE FOR CHAPTER 9,515 A. 12 OTHER SOURCES OF SOFTWARE, 516 VIII CONTENTS APPENDIX * A MATRIX REFRESHER 519 B.L MATRIX FORMS, 519 B.2 MATRIX OPERATIONS, 523 B.3 BLOCK MATRIX FORMULAS, 527 B.4 FUNCTIONS OF SQUARE MATRICES, 531 B.5 NORMS, 538 B.6 CHOLESKY DECOMPOSITION, 541 B.7 ORTHOGONAL DECOMPOSITIONS OF MATRICES, 543 B.8 QUADRATIC FORMS, 545 B.9 DERIVATIVES OF MATRICES, 546 BIBLIOGRAPHY 549 INDEX 565
adam_txt	KALMAN FILTERING THEORY AND PRACTICE USING MATLAB THIRD EDITION MOHINDER S. GREWAL CALIFORNIA STATE UNIVERSITY AT FULLERTON ANGUS P. ANDREWS ROCKWELL SCIENCE CENTER (RETIRED) WILEY A JOHN WILEY & SONS, INC., PUBLICATION CONTENTS PREFACE IX ACKNOWLEDGMENTS XUEI LIST OF ABBREVIATIONS XV 1 GENERAL INFORMATION 1 1.1 ON KAIMAN FILTERING, 1 1.2 ON OPTIMAL ESTIMATION METHODS, 5 1.3 ON THE NOTATION USED IN THIS BOOK, 23 1.4 SUMMARY, 25 PROBLEMS, 26 2 LINEAR DYNAMIC SYSTEMS 31 2.1 CHAPTER FOCUS, 31 2.2 DYNAMIC SYSTEM MODELS, 36 2.3 CONTINUOUS LINEAR SYSTEMS AND THEIR SOLUTIONS, 40 2.4 DISCRETE LINEAR SYSTEMS AND THEIR SOLUTIONS, 53 2.5 OBSERVABILITY OF LINEAR DYNAMIC SYSTEM MODELS, 55 2.6 SUMMARY, 61 PROBLEMS, 64 3 RANDOM PROCESSES AND STOCHASTIC SYSTEMS 67 3.1 CHAPTER FOCUS, 67 3.2 PROBABILITY AND RANDOM VARIABLES (RVS), 70 3.3 STATISTICAL PROPERTIES OF RVS, 78 VI CONTENTS 3.4 STATISTICAL PROPERTIES OF RANDOM PROCESSES (RPS), 80 3.5 LINEAR RP MODELS, 88 3.6 SHAPING FILTERS AND STATE AUGMENTATION, 95 3.7 MEAN AND COVARIANCE PROPAGATION, 99 3.8 RELATIONSHIPS BETWEEN MODEL PARAMETERS, 105 3.9 ORTHOGONALITY PRINCIPLE, 114 3.10 SUMMARY, 118 PROBLEMS, 121 4 LINEAR OPTIMAL FILTERS AND PREDICTORS 131 4.1 CHAPTER FOCUS, 131 4.2 KAIMAN FILTER, 133 4.3 KALMAN-BUCY FILTER, 144 4.4 OPTIMAL LINEAR PREDICTORS, 146 4.5 CORRELATED NOISE SOURCES, 147 4.6 RELATIONSHIPS BETWEEN KALMAN-BUCY AND WIENER FILTERS, 148 4.7 QUADRATIC LOSS FUNCTIONS, 149 4.8 MATRIX RICCATI DIFFERENTIAL EQUATION, 151 4.9 MATRIX RICCATI EQUATION IN DISCRETE TIME, 165 4.10 MODEL EQUATIONS FOR TRANSFORMED STATE VARIABLES, 170 4.11 APPLICATION OF KAIMAN FILTERS, 172 4.12 SUMMARY, 177 PROBLEMS, 179 5 OPTIMAL SMOOTHERS 183 5.1 CHAPTER FOCUS, 183 5.2 FIXED-INTERVAL SMOOTHING, 189 5.3 FIXED-LAG SMOOTHING, 200 5.4 FIXED-POINT SMOOTHING, 213 5.5 SUMMARY, 220 PROBLEMS, 221 6 IMPLEMENTATION METHODS 225 6.1 CHAPTER FOCUS, 225 6.2 COMPUTER ROUNDOFF, 227 6.3 EFFECTS OF ROUNDOFF ERRORS ON KAIMAN FILTERS, 232 6.4 FACTORIZATION METHODS FOR SQUARE-ROOT FILTERING, 238 6.5 SQUARE-ROOT AND UD FILTERS, 261 6.6 OTHER IMPLEMENTATION METHODS, 275 6.7 SUMMARY, 288 PROBLEMS, 289 7 NONLINEAR FILTERING 293 7.1 CHAPTER FOCUS, 293 7.2 QUASILINEAR FILTERING, 296 CONTENTS VU 7.3 SAMPLING METHODS FOR NONLINEAR FILTERING, 330 7.4 SUMMARY, 345 PROBLEMS, 350 8 PRACTICAL CONSIDERATIONS 355 8.1 CHAPTER FOCUS, 355 8.2 DETECTING AND CORRECTING ANOMALOUS BEHAVIOR, 356 8.3 PREFILTERING AND DATA REJECTION METHODS, 379 8.4 STABILITY OF KAIMAN FILTERS, 382 8.5 SUBOPTIMAL AND REDUCED-ORDER FILTERS, 383 8.6 SCHMIDT-KAIMAN FILTERING, 393 8.7 MEMORY, THROUGHPUT, AND WORDLENGTH REQUIREMENTS, 403 8.8 WAYS TO REDUCE COMPUTATIONAL REQUIREMENTS, 409 8.9 ERROR BUDGETS AND SENSITIVITY ANALYSIS, 414 8.10 OPTIMIZING MEASUREMENT SELECTION POLICIES, 419 8.11 INNOVATIONS ANALYSIS, 424 8.12 SUMMARY, 425 PROBLEMS, 426 9 APPLICATIONS TO NAVIGATION 427 9.1 CHAPTER FOCUS, 427 9.2 HOST VEHICLE DYNAMICS, 431 9.3 INERTIAL NAVIGATION SYSTEMS (INS), 435 9.4 GLOBAL NAVIGATION SATELLITE SYSTEMS (GNSS), 465 9.5 KAIMAN FILTERS FOR GNSS, 470 9.6 LOOSELY COUPLED GNSS/INS INTEGRATION, 488 9.7 TIGHTLY COUPLED GNSS/INS INTEGRATION, 491 9.8 SUMMARY, 507 PROBLEMS, 508 APPENDIX A MATLAB SOFTWARE 511 A.L NOTICE, 511 A.2 GENERAL SYSTEM REQUIREMENTS, 511 A.3 CD DIRECTORY STRUCTURE, 512 A.4 MATLAB SOFTWARE FOR CHAPTER 2, 512 A.5 MATLAB SOFTWARE FOR CHAPTER 3, 512 A.6 MATLAB SOFTWARE FOR CHAPTER 4, 512 A.7 MATLAB SOFTWARE FOR CHAPTER 5, 513 A.8 MATLAB SOFTWARE FOR CHAPTER 6, 513 A.9 MATLAB SOFTWARE FOR CHAPTER 7, 514 A. 10 MATLAB SOFTWARE FOR CHAPTER 8, 515 A. 11 MATLAB SOFTWARE FOR CHAPTER 9,515 A. 12 OTHER SOURCES OF SOFTWARE, 516 VIII CONTENTS APPENDIX * A MATRIX REFRESHER 519 B.L MATRIX FORMS, 519 B.2 MATRIX OPERATIONS, 523 B.3 BLOCK MATRIX FORMULAS, 527 B.4 FUNCTIONS OF SQUARE MATRICES, 531 B.5 NORMS, 538 B.6 CHOLESKY DECOMPOSITION, 541 B.7 ORTHOGONAL DECOMPOSITIONS OF MATRICES, 543 B.8 QUADRATIC FORMS, 545 B.9 DERIVATIVES OF MATRICES, 546 BIBLIOGRAPHY 549 INDEX 565
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spelling	Grewal, Mohinder S. 1940- Verfasser (DE-588)13274807X aut Kalman filtering theory and practice using MATLAB Mohinder S. Grewal ; Angus P. Andrews 3. ed. Hoboken, NJ Wiley 2008 XVI, 575 S. graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier MATLAB Kalman filtering Kalman-Filter (DE-588)4130759-8 gnd rswk-swf Kalman-Filter (DE-588)4130759-8 s DE-604 Andrews, Angus P. Verfasser aut http://www.loc.gov/catdir/enhancements/fy0814/2008003733-d.html Publisher description lizenzfrei http://www.loc.gov/catdir/enhancements/fy0814/2008003733-t.html lizenzfrei Inhaltsverzeichnis GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016738966&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Grewal, Mohinder S. 1940- Andrews, Angus P. Kalman filtering theory and practice using MATLAB MATLAB Kalman filtering Kalman-Filter (DE-588)4130759-8 gnd
subject_GND	(DE-588)4130759-8
title	Kalman filtering theory and practice using MATLAB
title_auth	Kalman filtering theory and practice using MATLAB
title_exact_search	Kalman filtering theory and practice using MATLAB
title_exact_search_txtP	Kalman filtering theory and practice using MATLAB
title_full	Kalman filtering theory and practice using MATLAB Mohinder S. Grewal ; Angus P. Andrews
title_fullStr	Kalman filtering theory and practice using MATLAB Mohinder S. Grewal ; Angus P. Andrews
title_full_unstemmed	Kalman filtering theory and practice using MATLAB Mohinder S. Grewal ; Angus P. Andrews
title_short	Kalman filtering
title_sort	kalman filtering theory and practice using matlab
title_sub	theory and practice using MATLAB
topic	MATLAB Kalman filtering Kalman-Filter (DE-588)4130759-8 gnd
topic_facet	MATLAB Kalman filtering Kalman-Filter
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