|
" Mathematics of Kalman-Bucy Filtering "
by Peter A. Ruymgaart, Tsu T. Soong.
| Document Type
|
:
|
BL
|
| Record Number
|
:
|
753198
|
| Doc. No
|
:
|
b573159
|
| Main Entry
|
:
|
by Peter A. Ruymgaart, Tsu T. Soong.
|
| Title & Author
|
:
|
Mathematics of Kalman-Bucy Filtering\ by Peter A. Ruymgaart, Tsu T. Soong.
|
| Edition Statement
|
:
|
Second edition
|
| Publication Statement
|
:
|
Berlin, Heidelberg : Springer Berlin Heidelberg, 1988
|
| Series Statement
|
:
|
Springer series in information sciences, 14.
|
| Page. NO
|
:
|
(xii, 170 pages 19 illustrations)
|
| ISBN
|
:
|
3642733417
|
|
|
:
|
: 9783642733413
|
| Contents
|
:
|
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.
|
| Abstract
|
:
|
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.
|
| Subject
|
:
|
Coding theory.
|
| Subject
|
:
|
Computer science.
|
| Subject
|
:
|
Distribution (Probability theory)
|
| LC Classification
|
:
|
QA402.3B974 1988
|
| Added Entry
|
:
|
Peter A Ruymgaart
|
|
|
:
|
T T Soong
|
| |