Nonlinear Filtering Stochastic Analysis And Numerical Methods PDF Download
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| Author | : Alan Bain |
| Publisher | : Springer |
| Total Pages | : 390 |
| Release | : 2008-11-26 |
| Genre | : Mathematics |
| ISBN | : 9780387768953 |
Download Fundamentals of Stochastic Filtering Book in PDF, ePub and Kindle
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
| Author | : Andrew H. Jazwinski |
| Publisher | : Courier Corporation |
| Total Pages | : 404 |
| Release | : 2013-04-15 |
| Genre | : Science |
| ISBN | : 0486318192 |
Download Stochastic Processes and Filtering Theory Book in PDF, ePub and Kindle
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.
| Author | : Jitendra R. Raol |
| Publisher | : CRC Press |
| Total Pages | : 0 |
| Release | : 2017 |
| Genre | : Mathematics |
| ISBN | : 9781498745178 |
Download Nonlinear Filtering Book in PDF, ePub and Kindle
5.5.2 V-D Square-Root Filtering -- 5.5.2.1 Continuous Time/Discrete Time Square-Root Filtering Algorithm -- 5.5.2.2 Discrete Time/Discrete Time Square- Root Filtering Algorithm -- 5.6 H-Infinity Square-Root Filters -- 5.6.1 H-Infinity Square-Root Arrays -- 5.6.2 H-Infinity Chandrasekhar Recursions -- Chapter 6. Approximation Filters for Nonlinear Systems -- 6.1 Continuous Extended Kalman-Bucy Filter -- 6.2 Continuous-Discrete Extended Kalman-Bucy Filter -- 6.2.1 Time Propagation Filter -- 6.2.2 Measurement Data Update/Filtering -- 6.3 Continuous Discrete Extended Kalman-Bucy Filter for Joint State Parameter Estimation -- 6.3.1 Time Propagation -- 6.3.2 Measurement Data Update -- 6.4 Iterated Extended Kalman Filter -- 6.5 Linearized Kalman Filter -- 6.6 Continuous Second-Order Minimum Variance Estimator (SOF) -- 6.7 Continuous-Discrete Modified Gaussian Second-Order (CDMGSO) Filter -- 6.7.1 Measurement Update -- 6.7.2 Time Propagation/Prediction Part -- 6.8 Extended Information Filter -- 6.9 Statistically Linearized Filter -- 6.10 Derivative-Free Kalman Filter -- 6.10.1 Derivative-Free Kalman Filter Initialization -- 6.10.2 Sigma Points Computation -- 6.10.3 State and Covariance Propagation -- 6.10.4 State and Covariance Update -- 6.11 Global Approximations Nonlinear Filters -- 6.11.1 Orthogonal Series Expansion Approximations -- 6.11.1.1 Approximation Based on Legendre or Fourier Bases Functions -- 6.11.1.2 Approximation Based on Chebyshev Polynomials -- 6.11.2 Gaussian Sum Approximation -- 6.11.3 Point-Mass Approximation -- 6.11.3.1 Measurement Update -- 6.11.3.2 Time Propagation -- 6.11.3.3 Point Estimates -- 6.11.3.4 Algorithmic Aspects -- 6.11.4 Spline Approximation -- 6.11.4.1 B-Splines -- 6.11.4.2 Spline Filtering -- 6.12 Extended H-Infinity Filters -- 6.12.1 Continuous Time System -- 6.12.2 Discrete Time System
| Author | : S.K. Mitter |
| Publisher | : Springer |
| Total Pages | : 310 |
| Release | : 2006-11-15 |
| Genre | : Mathematics |
| ISBN | : 3540394311 |
Download Nonlinear Filtering and Stochastic Control Book in PDF, ePub and Kindle
| Author | : Y. Yavin |
| Publisher | : Springer |
| Total Pages | : 288 |
| Release | : 1985 |
| Genre | : Language Arts & Disciplines |
| ISBN | : |
Download Numerical Studies in Nonlinear Filtering Book in PDF, ePub and Kindle
| Author | : |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 1998 |
| Genre | : |
| ISBN | : |
Download Nonlinear Filtering Stochastic Analysis and Numerical Methods Book in PDF, ePub and Kindle
The final report contains the outline of the research that was done during the period 1995-98. The main objective was to develop effective numerical algorithms of optimal nonlinear filtering and prediction and (more generally), state and parameter estimation in partially observed stochastic dynamical systems. During the course of the project a number of fundamental results were obtained, such as: development of a Wiener type optimal nonlinear filter (complete solution of "the last Wiener problem"); development of the spectral based approach to nonlinear filtering, which have led to the spectral separating scheme (separation of parameters and observations in optimal nonlinear filter) and other effective numerical approximations for the optimal nonlinear filter that include projection filter and assumed density filters. The results have been applied to specific "difficult" problems in target tracking, particularly, to the angle only tracking in EO and IR search and track systems and track-before-detect of resolved or sub-resolved low SNR targets. Extensive simulation showed that the proposed approach allows us to obtain much better performance as compared to the conventional expended Kalman filter in a number of important practical situations.
| Author | : Venkatarama Krishnan |
| Publisher | : Courier Corporation |
| Total Pages | : 353 |
| Release | : 2013-10-17 |
| Genre | : Science |
| ISBN | : 0486781836 |
Download Nonlinear Filtering and Smoothing Book in PDF, ePub and Kindle
Most useful for graduate students in engineering and finance who have a basic knowledge of probability theory, this volume is designed to give a concise understanding of martingales, stochastic integrals, and estimation. It emphasizes applications. Many theorems feature heuristic proofs; others include rigorous proofs to reinforce physical understanding. Numerous end-of-chapter problems enhance the book's practical value. After introducing the basic measure-theoretic concepts of probability and stochastic processes, the text examines martingales, square integrable martingales, and stopping times. Considerations of white noise and white-noise integrals are followed by examinations of stochastic integrals and stochastic differential equations, as well as the associated Ito calculus and its extensions. After defining the Stratonovich integral, the text derives the correction terms needed for computational purposes to convert the Ito stochastic differential equation to the Stratonovich form. Additional chapters contain the derivation of the optimal nonlinear filtering representation, discuss how the Kalman filter stands as a special case of the general nonlinear filtering representation, apply the nonlinear filtering representations to a class of fault-detection problems, and discuss several optimal smoothing representations.
| Author | : Nasir Uddin Ahmed |
| Publisher | : World Scientific |
| Total Pages | : 273 |
| Release | : 1999-01-22 |
| Genre | : Mathematics |
| ISBN | : 9814495646 |
Download Linear And Nonlinear Filtering For Scientists And Engineers Book in PDF, ePub and Kindle
The book combines both rigor and intuition to derive most of the 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.
| Author | : T. J. Lyons |
| Publisher | : American Mathematical Soc. |
| Total Pages | : 129 |
| Release | : 2002 |
| Genre | : Mathematics |
| ISBN | : 0821819941 |
Download Numerical Methods and Stochastics Book in PDF, ePub and Kindle
This volume represents the proceedings of the Workshop on Numerical Methods and Stochastics held at The Fields Institute in April 1999. The goal of the workshop was to identify emerging ideas in probability theory that influence future work in both probability and numerical computation. The book focuses on up-to-date results and gives novel approaches to computational problems based on cutting-edge techniques from the theory of probability and stochastic processes. Three papers discuss particle system approximations to solutions of the stochastic filtering problem. Two papers treat particle system equations. The paper on rough paths describes how to generate good approximations to stochastic integrals. An expository paper discusses a long-standing conjecture: the stochastic fast dynamo effect. A final paper gives an analysis of the error in binomial and trinomial approximations to solutions of the Black-Scholes stochastic differential equations. The book is intended for graduate students and research mathematicians interested in probability theory.
| Author | : M. H. A. Davis |
| Publisher | : Springer |
| Total Pages | : 128 |
| Release | : 1984 |
| Genre | : Mathematics |
| ISBN | : |
Download Lectures on Stochastic Control and Nonlinear Filtering Book in PDF, ePub and Kindle
