Overview

The theory of linear discrete time filtering started with a paper by Kol­ mogorov in 1941. He addressed the problem for stationary random se­ quences and introduced the idea of the innovations process, which is a useful tool for the more general problems considered here. The reader may object and note that Gauss discovered least squares much earlier; however, I want to distinguish between the problem of parameter estimation, the Gauss problem, and that of Kolmogorov estimation of a process. This sep­ aration is of more than academic interest as the least squares problem leads to the normal equations, which are numerically ill conditioned, while the process estimation problem in the linear case with appropriate assumptions leads to uniformly asymptotically stable equations for the estimator and the gain. The conditions relate to controlability and observability and will be detailed in this volume. In the present volume, we present a series of lectures on linear and nonlinear sequential filtering theory. The theory is due to Kalman for the linear colored observation noise problem; in the case of white observation noise it is the analog of the continuous-time Kalman-Bucy theory. The discrete time filtering theory requires only modest mathematical tools in counterpoint to the continuous time theory and is aimed at a senior-level undergraduate course. The present book, organized by lectures, is actually based on a course that meets once a week for three hours, with each meeting constituting a lecture.

Full Product Details

Author:   B.G. Williams ,  R.S. Bucy ,  C.S. Burrus
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 1994
Dimensions:   Width: 15.50cm , Height: 0.90cm , Length: 23.50cm
Weight:   0.277kg
ISBN:  

9781461383949

ISBN 10:   1461383943
Pages:   156
Publication Date:   08 November 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

1 Review.- 1 Review of Concepts in Probability.- 2 Random Noise Generation.- 1 Random Noise Generation.- 2 Cholesky Decomposition.- 3 Uses of the Pseudo Inverse.- 4 Signal Models.- 5 Sensor Model.- 3 Historical Background.- 1 Background Material.- 2 Historical Developments for Filtering.- 3 Development of Innovations.- 4 Sequential Filter Development.- 4 Sequential Filtering Theory.- 1 Summary of the Sequential Filter.- 2 The Scalar Autonomous Riccati Equation.- 3 Linearizing the Riccati Equation.- 5 Burg Technique.- 1 Background Material.- 6 Signal Processing.- 1 The Burg Technique.- 2 Signal Processing.- 3 Burg Revisited (Rouché’s Theorem).- 7 Classical Approach.- 1 Classical Steady-State Filtering.- 8 A Priori Bounds.- 1 A Priori Bounds for the Riccati Equation.- 2 Information and Filtering.- 3 Nonlinear Systems.- 9 Asymptotic Theory.- 1 Applications of the Theory of Filtering.- 2 Asymptotic Theory of the Riccati Equation.- 3 Steady-State Solution to Riccati.- 10 Advanced Topics.- 1 Invariant Directions.- 2 Nonlinear Filtering.- 11 Applications.- 1 Historical Applications.- 12 Phase Tracking.- 1 The Phase Lock Loop.- 2 Phase Demodulation.- 13 Device Synthesis.- 1 Device Synthesis for Nonlinear Filtering.- 2 Radar Filtering Application.- 14 Random Fields.

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