Kalman filtering: with real-time applications
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cham
Springer
[2017]
|
| Edition: | Fifth edition |
| Subjects: | |
| Online Access: | http://www.springer.com/ Inhaltstext Inhaltsverzeichnis |
| Physical Description: | xviii, 247 Seiten Diagramme |
| ISBN: | 9783319476100 |
Staff View
MARC
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Record in the Search Index
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| adam_text |
1 Preliminaries. 1
1.1 Matrix and Determinant Preliminaries. 1
1.2 Probability Preliminaries . 8
1.3 Least-Squares Preliminaries. 15
Exercises. 17
2 Kalman Filter: An Elementary Approach. 19
2.1 The Model. . 19
2.2 Optimality Criterion . 20
2.3 Prediction-Correction Formulation. 22
2.4 Kalman Filtering Process . 26
Exercises. 27
3 Orthogonal Projection and Kalman Filter. 33
3.1 Orthogonality Characterization of Optimal Estimates. 33
3.2 Innovations Sequences. 35
3.3 Minimum Variance Estimates. 37
3.4 Kalman Filtering Equations. . 38
3.5 Real-Time Tracking. 43
Exercises. 45
4 Correlated System and Measurement Noise Processes. 51
4.1 The Affine Model. 51
4.2 Optimal Estimate Operators. 53
4.3 Effect on Optimal Estimation with Additional Data. 54
4.4 Derivation of Kalman Filtering Equations. 57
4.5 Real-Time Applications. 63
4.6 Linear Deterministic/Stochastic Systems. 65
Exercises. . 67
5 Colored Noise Setting. 69
5.1 Outline of Procedure. 70
5.2 Error Estimates. 71
5.3 Kalman Filtering Process. 73
xiii
Contents
5.4 White System Noise. 76
5.5 Real-Time Applications . . . 76
Exercises. 78
Limiting Kalman Filter. . . . 81
6.1 Outline of Procedure. 82
6.2 Preliminary Results. 83
6.3 Geometric Convergence. 92
6.4 Real-Time Applications. 98
Exercises. 99
Sequential and Square-Root Algorithms. 101
7.1 Sequential Algorithm. 101
7.2 Square-Root Algorithm. 107
7.3 An Algorithm for Real-Time Applications. 110
Exercises. Ill
Extended Kalman Filter and System Identification. 115
8.1 Extended Kalman Filter. 115
8.2 Satellite Orbit Estimation . 118
8.3 Adaptive System Identification . 120
8.4 An Example of Constant Parameter Identification. 123
8.5 Modified Extended Kalman Filter. 125
8.6 Time-Varying Parameter Identification. . 131
Exercises. 135
Decoupling of Filtering Equations. 139
9.1 Decoupling Formulas. 139
9.2 Real-Time Tracking. . . 142
9.3 The a — (3 — 7 Tracker. 144
9.4 An Example. 147
Exercises. 148
Kalman Filtering for Interval Systems. 151
10.1 Interval Mathematics. 152
10.1.1 Intervals and Their Properties. 152
10.1.2 Interval Arithmetic. 153
10.1.3 Rational Interval Functions. 157
10.1.4 Interval Expectation and Variance. 159
10.2 Interval Kalman Filtering. 161
10.2.1 The Interval Kalman Filtering Scheme. 162
10.2.2 Suboptimal Interval Kalman Filter. 163
10.2.3 An Example of Target Tacking. 165
10.3 Weighted-Average Interval Kalman Filtering. 167
Exercises. 168
Contents
XV
11 Wavelet Kalman Filtering. 171
11.1 Wavelet Preliminaries. 171
11.1.1 Wavelet Fundamentals. 172
11.1.2 Discrete Wavelet Transform and Filter Banks. 174
11.2 Singal Estimation and Decomposition. 177
11.2.1 Estimation and Decomposition of Random Signals . . . 177
11.2.2 An Example of Random Walk. 181
Exercises. 182
12 Distributed Estimation on Sensor Networks. 185
12.1 Background. 185
12.2 Problem Description. 186
12.3 Algorithm Convergence. 190
12.4 A Simulation Example. 194
Exercises. 195
13 Notes. 197
13.1 The Kalman Smoother. 197
13.2 The a - /3 - 7 ֊ 0 Tracker. 199
13.3 Adaptive Kalman Filtering. 202
13.4 Adaptive Kalman Filtering Approach to Wiener Filtering. 203
13.5 The Kalman-Bucy Filter. 204
13.6 Stochastic Optimal Control. 205
13.7 Square֊Root Filtering and Systolic Array Implementation. 206
References. 209
Answers and Hints to Exercises. 213
Index. 245 |
| any_adam_object | 1 |
| author | Chui, Charles K. 1940- Chen, Guanrong 1948- |
| author_GND | (DE-588)12038695X (DE-588)120386984 |
| author_facet | Chui, Charles K. 1940- Chen, Guanrong 1948- |
| author_role | aut aut |
| author_sort | Chui, Charles K. 1940- |
| author_variant | c k c ck ckc g c gc |
| building | Verbundindex |
| bvnumber | BV044277661 |
| classification_rvk | QH 233 |
| ctrlnum | (OCoLC)992514136 (DE-599)DNB1113767405 |
| dewey-full | 530 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 530 - Physics |
| dewey-raw | 530 |
| dewey-search | 530 |
| dewey-sort | 3530 |
| dewey-tens | 530 - Physics |
| discipline | Physik Wirtschaftswissenschaften |
| edition | Fifth edition |
| format | Book |
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| isbn | 9783319476100 |
| language | English |
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| spelling | Chui, Charles K. 1940- Verfasser (DE-588)12038695X aut Kalman filtering with real-time applications Charles K. Chui, Guanrong Chen Fifth edition Cham Springer [2017] © 2017 xviii, 247 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Echtzeitsystem (DE-588)4131397-5 gnd rswk-swf Mathematische Methode (DE-588)4155620-3 gnd rswk-swf Kalman-Filter (DE-588)4130759-8 gnd rswk-swf Algorithm Dynamic System Algorithm Noisy Data Algorithm Remote Tracking System Algorithm Satellite Navigation Control Theory Navigation Control Theory Positioning Filtering Communication Networks Filtering Nonlinear Systems Textbook Chui Textbook Kalman Filtering Kalman-Filter (DE-588)4130759-8 s Echtzeitsystem (DE-588)4131397-5 s 1\p DE-604 Mathematische Methode (DE-588)4155620-3 s 2\p DE-604 Chen, Guanrong 1948- Verfasser (DE-588)120386984 aut Springer International Publishing (DE-588)1064344704 pbl Erscheint auch als Online-Ausgabe 978-3-319-47612-4 http://www.springer.com/ Verlag X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=cccbcc496431452a9c09817a1576abaf&prov=M&dok_var=1&dok_ext=htm Inhaltstext Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029682107&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Chui, Charles K. 1940- Chen, Guanrong 1948- Kalman filtering with real-time applications Echtzeitsystem (DE-588)4131397-5 gnd Mathematische Methode (DE-588)4155620-3 gnd Kalman-Filter (DE-588)4130759-8 gnd |
| subject_GND | (DE-588)4131397-5 (DE-588)4155620-3 (DE-588)4130759-8 |
| title | Kalman filtering with real-time applications |
| title_auth | Kalman filtering with real-time applications |
| title_exact_search | Kalman filtering with real-time applications |
| title_full | Kalman filtering with real-time applications Charles K. Chui, Guanrong Chen |
| title_fullStr | Kalman filtering with real-time applications Charles K. Chui, Guanrong Chen |
| title_full_unstemmed | Kalman filtering with real-time applications Charles K. Chui, Guanrong Chen |
| title_short | Kalman filtering |
| title_sort | kalman filtering with real time applications |
| title_sub | with real-time applications |
| topic | Echtzeitsystem (DE-588)4131397-5 gnd Mathematische Methode (DE-588)4155620-3 gnd Kalman-Filter (DE-588)4130759-8 gnd |
| topic_facet | Echtzeitsystem Mathematische Methode Kalman-Filter |
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