Optimal filtering:
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Mineola, NY
Dover Publ.
2005
|
| Ausgabe: | Reprint [der Ausg.] Englewood Cliffs, NJ, Prentice-Hall, 1979 |
| Schriftenreihe: | Dover books on engineering
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017439764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Umfang: | X, 357 S. graph. Darst. |
| ISBN: | 0486439380 |
Internformat
MARC
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| 300 | |a X, 357 S. |b graph. Darst. | ||
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Datensatz im Suchindex
| _version_ | 1819323047542259712 |
|---|---|
| adam_text | CONTENTS
PREFACE ix
INTRODUCTION 1
1.1 Filtering 1
1.2 History of Signal Filtering 2
1.3 Subject Matter of this Book 4
1.4 Outline of the Book 6
References 7
FILTERING, LINEAR SYSTEMS,
AND ESTIMATION 9
2.1 Systems, Noise, Filtering,
Smoothing, and Prediction 9
2.2 The Gauss-Markov Discrete-time Model 12
2.3 Estimation Criteria 23
References 34
v
vl CONTENTS
THE DISCRETE-TIME KALMAN FILTER
3.1 The Kalman Filter 36
3.2 Best Linear Estimator Property
of the Kalman Filter 46
3.3 Identification as a Kalman
Filtering Problem 50
3.4 Application of Kalman Filters 53
Peferences 59
TIME-INVARIANT FILTERS
4.1 Background to Time invariance
of the Filter 62
4.2 Stability Properties of Linear,
Discrete-time Systems 63
4.3 Stationary Behaviour of Linear Systems 68
4.4 Time Invariance and Asymptotic
Stability of the Filter 76
4.5 Frequency Domain Formulas 85
References 88
KALMAN FILTER PROPERTIES
5.1 Introduction 90
5.2 Minimum Variance and Linear Minimum
Variance Estimation; Orthogonality
and Projection 92
5.3 The Innovations Sequence 100
5.4 The Kalman Kilter 105
5.5 True Filtered Estimates
and the Signal-to-No/se
Ratio Improvement Property 115
5.6 inverse Problems:
When is a Filter Optimal? 122
References 127
COMPUTATIONAL ASPECTS
6.1 Signal Model Errors, Filter Divergence,
and Data Saturation 129
6.2 Exponential Data Weighting—
A Filter with Prescribed
Degree of Stability 135
36
62
90
129
CONTBNTS vli
6.3 The Matrix inversion Lemma
and the information Fitter 138
6.4 Sequentiai Processing 142
6.5 Square Root Filtering 147
6.6 The High Measurement Noise Case 153
6.7 Chandrasekhar- Type, Doubling,
and Nonrecursive Algorithms 155
References 162
SMOOTHING OF DISCRETE-TIME SIGNALS
7.1 Introduction to Smoothing 165
7.2 Fixed-point Smoothing 170
7.3 Fixed-lag Smoothing 176
7.4 Fixed-interval Smoothing 187
References 190
APPLICATIONS IN NONLINEAR FILTERING
8.1 Nonlinear Filtering 193
8.2 The extended Kalman Filter 195
8.3 A Bound Optima! Filter 205
8.4 Gaussian Sum Estimators 211
References 221
INNOVATIONS REPRESENTATIONS,
9 SPECTRAL FACTORIZATION,
WIENER AND LEVINSON FILTERING
9.1 Introduction 223
9.2 Kalman Filter Design from Covariance Data 227
9.3 Innovations Representations
with Finite Initial Time 230
9.4 Stationary Innovations Representations
and Spectra! Factorization 238
9.5 Wiener Filtering 254
9.6 Levinson Filters 258
References 264
W PARAMETER IDENTIFICATION
AND ADAPTIVE ESTIMATION
10.1 Adaptive Estimation via Parallel Processing 267
10.2 Adaptive Estimation via Extended Least Squares 279
References 286
165
193
223
267
vill CONTENTS
|| COLORED NOISE AND SUBOPTIMAL
II REDUCED ORDER FILTERS
11.1 General Approaches
to Dealing with Colored Noise 288
11.2 Filter Design with Markov Output Noise 290
11.3 Filter Design with Singular
or Near-singular Output Noise 292
11.4 SuboptimaI Design Given Colored Input
or Measurement Noise 296
11.5 Suboptimal Filter Design
by Model Order Reduction 301
References 304
APPENDIXES
A BRIEF REVIEW OF RESULTS
OF PROBABILITY THEORY
A.1 Pure Probability Theory 308
A.2 Stochastic Processes 316
A.3 Gaussian Random Variables,
Vectors, and Processes 320
References 323
B BRIEF REVIEW OF SOME RESULTS
OF MATRIX THEORY
References 339
C BRIEF REVIEW OF SEVERAL MAJOR RESULTS
OF LINEAR SYSTEM THEORY
References 346
LYAPUNOV STABILITY
References 349
AUTHOR INDEX
288
307
324
340
347
351
SUBJECT INDEX
354
|
| any_adam_object | 1 |
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| edition | Reprint [der Ausg.] Englewood Cliffs, NJ, Prentice-Hall, 1979 |
| format | Book |
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| id | DE-604.BV023797561 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:34:20Z |
| institution | BVB |
| isbn | 0486439380 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017439764 |
| oclc_num | 636458012 |
| open_access_boolean | |
| owner | DE-634 DE-Aug4 DE-473 DE-BY-UBG |
| owner_facet | DE-634 DE-Aug4 DE-473 DE-BY-UBG |
| physical | X, 357 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Dover Publ. |
| record_format | marc |
| series2 | Dover books on engineering |
| spellingShingle | Anderson, Brian D. O. 1949- Moore, John B. Optimal filtering Filterschaltung (DE-588)4113559-3 gnd Filterung Stochastik (DE-588)4121267-8 gnd Signalverarbeitung (DE-588)4054947-1 gnd Optimalfilter (DE-588)4207841-6 gnd Filter Mathematik (DE-588)4154388-9 gnd |
| subject_GND | (DE-588)4113559-3 (DE-588)4121267-8 (DE-588)4054947-1 (DE-588)4207841-6 (DE-588)4154388-9 |
| title | Optimal filtering |
| title_auth | Optimal filtering |
| title_exact_search | Optimal filtering |
| title_full | Optimal filtering Brian D. O. Anderson ; John B. Moore |
| title_fullStr | Optimal filtering Brian D. O. Anderson ; John B. Moore |
| title_full_unstemmed | Optimal filtering Brian D. O. Anderson ; John B. Moore |
| title_short | Optimal filtering |
| title_sort | optimal filtering |
| topic | Filterschaltung (DE-588)4113559-3 gnd Filterung Stochastik (DE-588)4121267-8 gnd Signalverarbeitung (DE-588)4054947-1 gnd Optimalfilter (DE-588)4207841-6 gnd Filter Mathematik (DE-588)4154388-9 gnd |
| topic_facet | Filterschaltung Filterung Stochastik Signalverarbeitung Optimalfilter Filter Mathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017439764&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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