Kalman Filtering with Real-Time Applications
By: by Charles K. Chui, Guanrong Chen
Contributors: Chen, Guanrong
Series: Springer Series in Information Sciences -- 17; Springer Series in Information Sciences -- 17
Publisher: Springer Berlin Heidelberg
Published: 1987
Place of publication: Berlin, Heidelberg
Language: eng
Format: [electronic resource] /
Number of pages: 191
ISBN-13: 9783662025109; 9783662025086
Subjects: Mathematical physics; Physics
Description: This book presents a thorough discussion of the mathematical theory of Kalman filtering. The filtering equations are derived in a series of elementary steps enabling the optimality of the process to be understood. It provides a comprehensive treatment of various major topics in Kalman-filtering theory, including uncorrelated and correlated noise, colored noise, steady-state theory, nonlinear systems, system identification, numerical algorithms, and real-time applications. A series of problems for the student, together with a complete set of solutions, are also included. The style of the book is informal, and the mathematics elementary but rigorous, making it accessible to all those with a minimal knowledge of linear algebra and systems theory.
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Table of contents: title: Contents: Preliminaries; title: Kalman Filter: An Elementary Approach; title: Orthogonal Projection and Kalman Filter; title: Correlated System and Measurement Noise Processes; title: Colored Noise; title: Limiting Kalman Filter; title: Sequential and Square-Root Algorithms; title: Extended Kalman Filter and System Identification; title: Decoupling of Filtering Equations; title: Notes; title: References; title: Answers and Hints to Exercises; title: Subject Index.