Cover image for Linear and nonlinear filtering for scientists and engineers
Title:
Linear and nonlinear filtering for scientists and engineers
Personal Author:
Publication Information:
Singapore : World Scientific, 1998
ISBN:
9789810236090

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30000010000046 QA402.3 A35 1998 Open Access Book Book
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30000004892059 QA402.3 A35 1998 Open Access Book Book
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30000004892042 QA402.3 A35 1998 Open Access Book Book
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30000004892034 QA402.3 A35 1998 Open Access Book Book
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30000004892026 QA402.3 A35 1998 Open Access Book Book
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30000004892018 QA402.3 A35 1998 Open Access Book Book
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Summary

Summary

The book combines both rigor and intuition to derive most of the classical results of linear and nonlinear filtering and beyond. Many fundamental results recently discovered by the author are included. Furthermore, many results that have appeared in recent years in the literature are also presented. The most interesting feature of the book is that all the derivations of the linear filter equations given in Chapters 3-11, beginning from the classical Kalman filter presented in Chapters 3 and 5, are based on one basic principle which is fully rigorous but also very intuitive and easily understandable. The second most interesting feature is that the book provides a rigorous theoretical basis for the numerical solution of nonlinear filter equations illustrated by multidimensional examples. The book also provides a strong foundation for theoretical understanding of the subject based on the theory of stochastic differential equations.