Linear & Nonlinear Filtering for Engineers & Scientists

by Ahmed, N. U.

• ISBN13: 9789810236090
• ISBN10: 9810236093
• Format: Hardcover
• Copyright: 1999-03-01
• Publisher: WORLD SCIENTIFIC PUB CO INC

Summary

The book combines both rigor and intuition to derive the most from classical results of linear and nonlinear filtering and beyond. Many fundamental results recently discovered by the author are included. Furthermore, many results that have appeared in recent years in the literature are also presented. The most interesting feature of the book is that all the derivations of the linear filter equations given in Chapters 3-11, beginning from the classical Kalman filter presented in Chapters 3 and 5, are based on one basic principle which is fully rigorous but also very intuitive and easily understandable, The second most interesting feature is that the book provides a rigorous theoretical basis for the numerical solution of nonlinear filter equations illustrated by multidimensional examples. The book also provides a strong foundation for theoretical understanding of the subject based on the theory of stochastic differential equations.

Table of Contents

Preface

Introduction to Stochastic Processes

Stochastic Differential Equations

Kalman Filtering for Linear Systems Driven by Wiener Process-I

Kalman Filtering for Linear Systems Driven by Wiener Process-II

Discrete Kalman Filtering

Linear Filtering with Correlated Noise-I

Linear Filtering with Correlated Noise-II

Linear Filtering with Correlated Noise-III

Linear Filtering of Jump Processes

Linear Filtering with Constraints

Filtering for Linear Systems Driven by Second Order Random Processes

Extended Kalman Filtering I, II and III

Nonlinear Filtering

Numerical Techniques for Nonlinear Filtering

Partially Observed Control

System Identification

Table of Contents provided by Blackwell. All Rights Reserved.