DISCRETE STOCHASTIC PROCESSES AND OPTIMAL FILTERING

Download Discrete Stochastic Processes And Optimal Filtering ebook PDF or Read Online books in PDF, EPUB, and Mobi Format. Click Download or Read Online button to Discrete Stochastic Processes And Optimal Filtering book pdf for free now.

Discrete Stochastic Processes And Optimal Filtering

Author : Jean-Claude Bertein
ISBN : 9781118615492
Genre : Technology & Engineering
File Size : 43.82 MB
Format : PDF, ePub
Download : 794
Read : 659

Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which are used in relation to non-stationary signals. Exercises with solutions feature in each chapter to demonstrate the practical application of these ideas using Matlab.
Category: Technology & Engineering

Discrete Stochastic Processes And Optimal Filtering 2nd Edition

Author : Jean-Claude Bertein
ISBN : OCLC:1105766279
Genre : Engineering
File Size : 57.24 MB
Format : PDF
Download : 207
Read : 1216

Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which are used in relation to non-stationary signals. Exercises with solutions feature in each chapter to demonstrate the practical application of these ideas using MATLAB.
Category: Engineering

Stochastic Processes And Filtering Theory

Author : Andrew H. Jazwinski
ISBN : 9780486318196
Genre : Science
File Size : 42.89 MB
Format : PDF, ePub, Docs
Download : 133
Read : 475

This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.
Category: Science

Stochastic Processes Estimation And Control

Author : Jason L. Speyer
ISBN : 9780898716559
Genre : Mathematics
File Size : 38.35 MB
Format : PDF, Docs
Download : 204
Read : 202

The authors provide a comprehensive treatment of stochastic systems from the foundations of probability to stochastic optimal control. The book covers discrete- and continuous-time stochastic dynamic systems leading to the derivation of the Kalman filter, its properties, and its relation to the frequency domain Wiener filter aswell as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to HÝsubscript 2¨ and HÝsubscript Ýinfinity¨¨ controllers and system robustness. This book is suitable for first-year graduate students in electrical, mechanical, chemical, and aerospace engineering specializing in systems and control. Students in computer science, economics, and possibly business will also find it useful.
Category: Mathematics

Introduction To Random Signals And Noise

Author : Wim C. Van Etten
ISBN : 9780470024126
Genre : Science
File Size : 84.36 MB
Format : PDF, ePub, Docs
Download : 981
Read : 592

Random signals and noise are present in many engineering systems and networks. Signal processing techniques allow engineers to distinguish between useful signals in audio, video or communication equipment, and interference, which disturbs the desired signal. With a strong mathematical grounding, this text provides a clear introduction to the fundamentals of stochastic processes and their practical applications to random signals and noise. With worked examples, problems, and detailed appendices, Introduction to Random Signals and Noise gives the reader the knowledge to design optimum systems for effectively coping with unwanted signals. Key features: Considers a wide range of signals and noise, including analogue, discrete-time and bandpass signals in both time and frequency domains. Analyses the basics of digital signal detection using matched filtering, signal space representation and correlation receiver. Examines optimal filtering methods and their consequences. Presents a detailed discussion of the topic of Poisson processes and shot noise. An excellent resource for professional engineers developing communication systems, semiconductor devices, and audio and video equipment, this book is also ideal for senior undergraduate and graduate students in Electronic and Electrical Engineering.
Category: Science

Discrete Time Stochastic Systems

Author : Torsten Söderström
ISBN : 1852336498
Genre : Mathematics
File Size : 61.49 MB
Format : PDF, Kindle
Download : 402
Read : 552

This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
Category: Mathematics

Statistics Of Random Processes Ii

Author : Robert S. Liptser
ISBN : 9783662100288
Genre : Mathematics
File Size : 41.10 MB
Format : PDF
Download : 881
Read : 1215

"Written by two renowned experts in the field, the books under review contain a thorough and insightful treatment of the fundamental underpinnings of various aspects of stochastic processes as well as a wide range of applications. Providing clear exposition, deep mathematical results, and superb technical representation, they are masterpieces of the subject of stochastic analysis and nonlinear filtering....These books...will become classics." --SIAM REVIEW
Category: Mathematics

Optimal Filtering

Author : V.N. Fomin
ISBN : 9789401153263
Genre : Mathematics
File Size : 73.84 MB
Format : PDF, Kindle
Download : 227
Read : 324

This book is devoted to an investigation of some important problems of mod ern filtering theory concerned with systems of 'any nature being able to per ceive, store and process an information and apply it for control and regulation'. (The above quotation is taken from the preface to [27]). Despite the fact that filtering theory is l'argely worked out (and its major issues such as the Wiener-Kolmogorov theory of optimal filtering of stationary processes and Kalman-Bucy recursive filtering theory have become classical) a development of the theory is far from complete. A great deal of recent activity in this area is observed, researchers are trying consistently to generalize famous results, extend them to more broad classes of processes, realize and justify more simple procedures for processing measurement data in order to obtain more efficient filtering algorithms. As to nonlinear filter ing, it remains much as fragmentary. Here much progress has been made by R. L. Stratonovich and his successors in the area of filtering of Markov processes. In this volume an effort is made to advance in certain of these issues. The monograph has evolved over many years, coming of age by stages. First it was an impressive job of gathering together the bulk of the impor tant contributions to estimation theory, an understanding and moderniza tion of some of its results and methods, with the intention of applying them to recursive filtering problems.
Category: Mathematics

Nonlinear Filtering And Optimal Phase Tracking

Author : Zeev Schuss
ISBN : 1461404878
Genre : Mathematics
File Size : 66.75 MB
Format : PDF, Docs
Download : 462
Read : 693

This book offers an analytical rather than measure-theoretical approach to the derivation of the partial differential equations of nonlinear filtering theory. The basis for this approach is the discrete numerical scheme used in Monte-Carlo simulations of stochastic differential equations and Wiener's associated path integral representation of the transition probability density. Furthermore, it presents analytical methods for constructing asymptotic approximations to their solution and for synthesizing asymptotically optimal filters. It also offers a new approach to the phase tracking problem, based on optimizing the mean time to loss of lock. The book is based on lecture notes from a one-semester special topics course on stochastic processes and their applications that the author taught many times to graduate students of mathematics, applied mathematics, physics, chemistry, computer science, electrical engineering, and other disciplines. The book contains exercises and worked-out examples aimed at illustrating the methods of mathematical modeling and performance analysis of phase trackers.
Category: Mathematics

Optimal Filtering

Author : Brian D. O. Anderson
ISBN : 9780486136899
Genre : Science
File Size : 26.88 MB
Format : PDF
Download : 499
Read : 727

Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.
Category: Science