عنوان

Mathematics of Kalman-Bucy Filtering

شابک

3642733417

شابک

9783642733413

شماره

b573159

عنوان اصلي

Mathematics of Kalman-Bucy Filtering

نام عام مواد

[Book]

نام نخستين پديدآور

by Peter A. Ruymgaart, Tsu T. Soong.

وضعيت ويراست

Second edition

محل نشرو پخش و غیره

Berlin, Heidelberg

نام ناشر، پخش کننده و غيره

Springer Berlin Heidelberg

تاریخ نشرو بخش و غیره

1988

نام خاص و کميت اثر

(xii, 170 pages 19 illustrations)

عنوان فروست

Springer series in information sciences, 14.

متن يادداشت

Elements of Probability Theory --; Calculus in Mean Square --; The Stochastic Dynamic System --; The Kalman-Bucy Filter --; A Theorem by Liptser and Shiryayev --; Appendix: Solutions to Selected Exercises --; References --; Subject Index.

متن يادداشت

This book addresses the mathematics of Kalman-Bucy filtering and is designed for readers who are well versed in the practice of Kalman-Bucy filters but are interested in the mathematics on which they are based. The main topic in this book is the continuous-time Kalman-Bucy filter. Although the discrete-time Kalman filter results were obtained first, the continuous-time results are important when dealing with systems developing in time continuously; they are thus more appropriately modeled by differential equations than by difference equations. Confining attention to the Kalman-Bucy filter, the mathematics needed consists mainly of operations in Hilbert spaces. A relatively complete treatment of mean square calculus is given, leading to a discussion of the Wiener-Levy process. This is followed by a treatment of the stochastic differential equations central to the modeling of the Kalman-Bucy filtering process. The mathematical theory of the Kalman-Bucy filter is then introduced, and with the aid of a theorem of Liptser and Shiryayev, new light is shed on the dependence of the Kalman-Bucy estimator on observation noise.

موضوع مستند نشده

Coding theory.

موضوع مستند نشده

Computer science.

موضوع مستند نشده

Distribution (Probability theory)

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

by Peter A. Ruymgaart, Tsu T. Soong.

مستند نام اشخاص تاييد نشده

Peter A Ruymgaart

مستند نام اشخاص تاييد نشده

T T Soong

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y