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Mathematics of Kalman-Bucy Filtering

Author: Peter A Ruymgaart; T T Soong
Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 1988.
Series: Springer series in information sciences, 14.
Edition/Format:   eBook : Document : English : Second editionView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peter A Ruymgaart; T T Soong
ISBN: 9783642733413 3642733417
OCLC Number: 851768063
Description: 1 online resource (xii, 170 pages 19 illustrations).
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.
Series Title: Springer series in information sciences, 14.
Responsibility: by Peter A. Ruymgaart, Tsu T. Soong.

Abstract:

Starting with applications in aerospace engineering, their impact has been felt not only in all areas of engineering but as all also in the social sciences, biological sciences, medical sciences, as  Read more...

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