Stochastic Models, Estimation, and Control Volume 2 (Mathematics in Science and Engineering)

✍ Scribed by Maybeck (editor)

• Publisher: Academic Press
• Year: 1982
• Tongue: English
• Leaves: 307
• Category: Library

✦ Table of Contents

Front Page
Stochastic Models, Estimation, and Control
Copyright Page
Contents
Preface
Notation
VOLUME 2
Chapter 8. Optimal smoothing
8.1 Introduction
8.2 Basic Structure
8.3 Three Classes of Smoothing Problems
8.4 Fixed-Interval Smoothing
8.5 Fixed-Point Smoothing
8.6 Fixed-Lag Smoothing
8.7 Summary
References
Problems
Chapter 9. Compensation of linear model inadequacies
9.1 Introduction
9.2 Pseudonoise Addition and Artificial Lower Bounding of P
9.3 Limiting Effective Filter Memory and Overweighting Most Recent Data
9.4 Finite Memory Filtering
9.5 Linearized and Extended Kalman Filters
9.6 Summary
References
Problems
Chapter 10. Parameter uncertainties and adaptive estimation
10.1 Introduction
10.2 Problem Formulation




10.7 Uncertainties in Qd and R
10.8 Bayesian and Multiple Model Filtering Algorithms
10.9 Correlation Methods for Self-Tuning: Residual "Whitening"
10.10 Covariance Matching and Other Techniques
10.11 Summary
References
Problems
Chapter 11. Nonlinear stochastic system models
11.1 Introduction
11.2 Extensions of Linear System Modeling
11.3 Markov Process Fundamentals
11.4 Itô Stochastic Integrals and Differentials
11.5 Itô Stochastic Differential Equations
11.6 Forward Kolmogorov Equation
11.7 Summary
References
Problems
Chapter 12. Nonlinear estimation
12.1 Introduction
12.2 Nonlinear Filtering with Discrete-Time Measurements: Conceptually
12.3 Conditional Moment Estimators
12.4 Conditional Quasi-Moments and Hermite Polynomial Series
12.5 Conditional Mode Estimators
12.6 Statistically Linearized Filter
12.7 Nonlinear Filtering with Continuous-Time Measurements
12.8 Summary
References
Problems
Index