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93-01 Systems theory; control -- Instructional exposition (textbooks, tutorial papers, etc.)

93E14 Systems theory; control -- Stochastic systems and control -- Data smoothing

93C10 Systems theory; control -- Control systems -- Nonlinear systems

62M20 Statistics -- Inference from stochastic processes -- Prediction; filtering

Location | Call Number | Status | Date Due |
---|---|---|---|

Salle E | 09831-01 / Manuels RAD (Browse Shelf) | Available | |

Salle E | 09831-02 / Manuels RAD (Browse Shelf) | Available |

This course introduces linear filtering and smoothing from an engineering viewpoint. The mathematical knowledge in probability theory and linear algebra which is needed is elementary and is reviewed; on the other hand, several examples are worked out; the equations are clearly written and intuitive explanation of the algorithms and results is emphasized. Firstly, Kalman filtering is studied, both is continuous and discrete time; the various classical generalizations of the initial problem are also discussed (coloured noise, correlated noise, nonlinear systems). Secondly, the different classical formulations of the smoothing problem are stated and solved; examples of algorithms are provided with graphical representations of the results. Finally, after a theoretical study of the factorization of matrices, square root filtering algorithms are derived; in an appendix computer programs are given. (Zentralblatt)

Bibliogr. p. 240-243 et 350

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