Kalman Filtering : with Real-Time Applications / by Charles K. Chui, Guanrong Chen.

Format:

Book

Author/Creator:

Chui, C. K., Author.

Chen, Guanrong, Author.

Series:

Springer Series in Information Sciences ; 17

Language:

English

Subjects (All):

Mathematical physics.

Econometrics.

Engineering mathematics.

Engineering--Data processing.

Engineering.

Telecommunication.

Artificial intelligence.

Mathematical Methods in Physics.

Theoretical, Mathematical and Computational Physics.

Quantitative Economics.

Mathematical and Computational Engineering Applications.

Communications Engineering, Networks.

Artificial Intelligence.

Local Subjects:

Mathematical Methods in Physics.

Theoretical, Mathematical and Computational Physics.

Quantitative Economics.

Mathematical and Computational Engineering Applications.

Communications Engineering, Networks.

Artificial Intelligence.

Physical Description:

1 online resource (XIV, 230 p.)

Edition:

3rd ed. 1999.

Place of Publication:

Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1999.

Language Note:

English

Summary:

Kalman Filtering with Real-Time Applications presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. The last two topics are new additions to this third edition. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering.

Contents:

1. Preliminaries

2. Kalman Filter: An Elementary Approach

3. Orthogonal Projection and Kalman Filter

4. Correlated System and Measurement Noise Processes

5. Colored Noise

6. Limiting Kalman Filter

7. Sequential and Square-Root Algorithms

8. Extended Kalman Filter and System Identification

9. Decoupling of Filtering Equations

10. Kalman Filtering for Interval Systems

11. Wavelet Kalman Filtering

12. Notes

References

Answers and Hints to Exercises.

Notes:

Bibliographic Level Mode of Issuance: Monograph

Includes bibliographical references and index.

ISBN:

3-662-03859-5