Stochastic Processes and Filtering Theory - Brossura

Jazwinski, Andrew H.

Brossura

ISBN 10: 0486462749 ISBN 13: 9780486462745

Casa editrice: Dover Pubns, 2007

Riassunto

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well.
Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.

Su questo libro

Product Description

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, it discusses numerous practical applications as well. 1970 edition.

Contenuti

Preface Acknowledgments 1. Introduction 2. Probability Theory and Random Variables 3. Stochastic Processes 4. Stochastic Differential Equations 5. Introduction to Filtering Theory 6. Nonlinear Filtering Theory 7. Linear Filtering Theory 8. Applications of Linear Theory 9. Approximate Nonlinear Filters Author index Subject index

Dettagli dell'edizione

• Editore: Dover Pubns
• Data di pubblicazione: 2007
• Lingua: Inglese
• ISBN 10: 0486462749
• ISBN 13: 9780486462745
• Rilegatura: Copertina flessibile
• Numero di pagine: 376
• Contatto del produttore: non disponibile
• Persona responsabile: Soc. Agr. La Raia Ss; http://www.la-raia.it; ; Strada Monterotondo, 79; Novi Ligure; 15067; Italia