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Bibliographic Details
Main Author:	Ahmed, Nasir Uddin 1934- (Author)
Format:	Book
Language:	English
Published:	Singapore [u.a.] World Scientific 1998
Subjects:	Digital filters (Mathematics) Nonlinear theories Probabilities Filter > Stochastik
Links:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008656434&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	XV, 256 S.
ISBN:	9810236093

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adam_text	LINEAR AND NONLINEAR FILTERING FOR SCIENTISTS AND ENGINEERS N U AHMED UNIVERSITY OF OTTAWA WORLD SCIENTIFIC SINGAPORE * NEW JERSEY * LONDON * HONG KONG CONTENTS PREFACE CHAPTER 1 INTRODUCTION TO STOCHASTIC PROCESSES 1.1 INTRODUCTION 1 1.2 PROBABILITY SPACE AND RANDOM VARIABLES 1 1.3 CONDITIONAL EXPECTATIONS 5 1.4 MARKOV PROCESSES, WIENER PROCESSES AND JUMP PROCESSES 9 1.5 ITO STOCHASTIC INTEGRALS 13 1.6 STRATONOVICH INTEGRALS 22 CHAPTER 2 STOCHASTIC DIFFERENTIAL EQUATIONS 2.1 INTRODUCTION 25 2.2 LINEAR STOCHASTIC DIFFERENTIAL EQUATIONS 25 2.3 NONLINEAR STOCHASTIC DIFFERENTIAL EQUATIONS 28 2.4 ITO AND STRATONOVICH CALCULUS AND THEIR COMPARISON 32 2.5 BACKWARD AND FORWARD KOLMOGOROV EQUATIONS 39 2.6 CHANGE OF DRIFT AND GIRSANOV THEOREM 47 CHAPTER 3 KALMAN FILTERING FOR LINEAR SYSTEMS DRIVEN BY WIENER PROCESS-I 3.1 INTRODUCTION 55 3.2 SYSTEM DYNAMICS 55 3.3 MEASUREMENT DYNAMICS 56 3.4 PROBLEM FORMULATION 56 3.5 DERIVATION OF OPTIMUM FILTER 58 3.6 SOME EXAMPLES 65 XII CONTENTS 3.7 PREDICTION PROBLEM 68 CHAPTER 4 KALMAN FILTERING FOR LINEAR SYSTEMS DRIVEN BY WIENER PROCESS-II 4.1 INTRODUCTION 69 4.2 SYSTEM AND MEASUREMENT DYNAMICS (A) 69 4.3 PROBLEM FORMULATION 70 4.4 STRUCTURE OF THE FILTER * 70 4.5 SOLUTION OF THE PROBLEM 70 4.6 SYSTEM AND MEASUREMENT DYNAMICS (B) 72 4.7 DISCUSSIONS AND AN EXAMPLE 75 CHAPTER 5 DISCRETE KALMAN FILTERING 5.1 INTRODUCTION 77 5.2 SYSTEM DYNAMICS 77 5.3 MEASUREMENT DYNAMICS 78 5.4 PROBLEM FORMULATION 78 5.5 ERROR COVARIANCE UPDATE 79 5.6 STATE ESTIMATE TIME UPDATE 81 5.7 ERROR COVARIANCE TIME UPDATE 82 5.8 NECESSARY EQUATIONS FOR SIMULATION 83 CHAPTER 6 LINEAR FILTERING WITH CORRELATED NOISE-I 6.1 INTRODUCTION 85 6.2 SYSTEM AND MEASUREMENT DYNAMICS (A) 85 6.3 PROBLEM FORMULATION 86 6.4 STRUCTURE OF THE FILTER 86 6.5 SOLUTION OF THE PROBLEM 86 6.6 SYSTEM AND MEASUREMENT DYNAMICS (B) 90 CHAPTER 7 LINEAR FILTERING WITH CORRELATED NOISE-II 7.1 INTRODUCTION 95 7.2 SYSTEM AND MEASUREMENT DYNAMICS (A) 95 7.3 PROBLEM FORMULATION 96 7.4 STRUCTURE OF THE FILTER 96 CONTENTS XIII 7.5 SOLUTION OF THE PROBLEM 96 7.6 SYSTEM AND MEASUREMENT DYNAMICS (B) 100 7.7 DISCUSSIONS AND EXAMPLES 103 CHAPTER 8 LINEAR FILTERING WITH CORRELATED NOISE-HI 8.1 INTRODUCTION 105 8.2 SYSTEM AND MEASUREMENT DYNAMICS 105 8.3 PROBLEM FORMULATION 106 8.4 STRUCTURE OF THE FILTER 106 8.5 SOLUTION OF THE PROBLEM 106 8.6 SPECIAL CASES 110 8.7 DISCUSSION AND EXAMPLES 112 CHAPTER 9 LINEAR FILTERING OF JUMP PROCESSES 9.1 INTRODUCTION 113 9.2 POISSON NOISE 113 9.3 SYSTEM AND MEASUREMENT DYNAMICS (A) 113 9.4 PROBLEM FORMULATION 114 9.5 STRUCTURE OF THE FILTER 114 9.6 SOLUTION OF THE PROBLEM 115 9.7 SYSTEM AND MEASUREMENT DYNAMICS (B) 117 9.8 SYSTEM AND MEASUREMENT DYNAMICS (C) 118 9.9 EXAMPLES AND DISCUSSION 119 CHAPTER 10 LINEAR FILTERING WITH CONSTRAINTS 10.1 INTRODUCTION 121 10.2 SYSTEM AND MEASUREMENT DYNAMICS 121 10.3 PROBLEM FORMULATION 121 10.4 SOLUTION OF THE FILTERING PROBLEM 122 10.5 DYNAMICALLY COUPLED SYSTEMS 129 10.6 ALGORITHM FOR COMPUTATION-I 130 10.7 ROBUST FILTERING 131 10.8 ALGORITHM FOR COMPUTATION-II 138 XIV CONTENTS CHAPTER 11 FILTERING FOR LINEAR SYSTEMS DRIVEN BY SECOND ORDER RANDOM PROCESSES 11.1 INTRODUCTION 141 11.2 SYSTEM AND MEASUREMENT DYNAMICS 141 11.3 PROBLEM FORMULATION 142 11.4 SOLUTION OF THE FILTERING PROBLEM AND SPECIAL CASES 146 11.5 DYNAMICALLY COUPLED SYSTEMS 152 11.6 ALGORITHM FOR COMPUTATION 153 CHAPTER 12 EXTENDED KALMAN FILTERING I, II AND III 12.1 INTRODUCTION 155 12.2 SYSTEM AND MEASUREMENT DYNAMICS 155 12.3 PROBLEM FORMULATION (EKF-1) 156 12.4 PROBLEM SOLUTION WITH EKF-1 EQUATIONS 157 12.5 COMPUTATIONAL METHODS 159 12.6 PROBLEM FORMULATION AND EQUATIONS FOR EKF-2 160 12.7 COMPARISON OF EKF-1 AND EKF-2 WITH EXAMPLES 163 12.8 EQUATIONS FOR EKF-3 164 CHAPTER 13 NONLINEAR FILTERING 13.1 INTRODUCTION 167 13.2 SYSTEM AND MEASUREMENT DYNAMICS 167 13.3 PROBLEM FORMULATION 168 13.4 DERIVATION OF ZAKAI EQUATION 168 13.5 ZAKAI TO KUSHNER EQUATION AND EKF REVISITED 178 13.6 ZAKAI EQUATION FOR JUMP PROCESSES 183 13.7 SOME EXAMPLES 185 13.8 NONLINEAR PREDICTION 186 CONTENTS XV CHAPTER 14 NUMERICAL TECHNIQUES FOR NONLINEAR FILTERING 14.1 INTRODUCTION 187 14.2 THEORETICAL BASIS FOR NUMERICAL COMPUTATION 188 14.3 GALERKIN APPROXIMATION USING SPECIAL BASIS FUNCTIONS 192 14.4 SPATIAL DISCRETIZATION AND COMPUTATIONAL ALGORITHM 195 14.5 BASIC COMPUTATIONAL STEPS 197 14.6 AN ALTERNATIVE APPROACH 197 14.7 EXAMPLES AND SIMULATION RESULTS 199 CHAPTER 15 PARTIALLY OBSERVED CONTROL 15.1 INTRODUCTION 203 15.2 LINEAR SYSTEMS WITH INTEGRAL OBSERVATION 203 15.3 LINEAR SYSTEMS WITH DYNAMIC OBSERVATION 212 15.4 FULLY OBSERVED NONLINEAR SYSTEMS , 213 15.5 COMPUTATIONAL METHODS 218 15.6 PARTIALLY OBSERVED NONLINEAR SYSTEMS 219 15.7 SOME EXAMPLES AND DISCUSSION 223 CHAPTER 16 SYSTEM IDENTIFICATION 16.1 INTRODUCTION 227 16.2 FULLY OBSERVED LINEAR AND NONLINEAR SYSTEMS 227 16.3 PARTIALLY OBSERVED LINEAR SYSTEMS 234 16.4 PARTIALLY OBSERVED NONLINEAR SYSTEMS 237 16.5 A COMPUTATIONAL ALGORITHM 246
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isbn	9810236093
language	English
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physical	XV, 256 S.
publishDate	1998
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spellingShingle	Ahmed, Nasir Uddin 1934- Linear and nonlinear filtering for scientists and engineers Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik (DE-588)4128590-6 gnd
subject_GND	(DE-588)4128590-6
title	Linear and nonlinear filtering for scientists and engineers
title_auth	Linear and nonlinear filtering for scientists and engineers
title_exact_search	Linear and nonlinear filtering for scientists and engineers
title_full	Linear and nonlinear filtering for scientists and engineers N. U. Ahmed
title_fullStr	Linear and nonlinear filtering for scientists and engineers N. U. Ahmed
title_full_unstemmed	Linear and nonlinear filtering for scientists and engineers N. U. Ahmed
title_short	Linear and nonlinear filtering for scientists and engineers
title_sort	linear and nonlinear filtering for scientists and engineers
topic	Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik (DE-588)4128590-6 gnd
topic_facet	Digital filters (Mathematics) Nonlinear theories Probabilities Filter Stochastik
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008656434&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT ahmednasiruddin linearandnonlinearfilteringforscientistsandengineers

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Call Number:	0102 MSR 632f 2011 A 8105
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