Kalman filtering
Subtitle: with real-time applications
By: C.K. Chui, G. Chen.
Contributors: Chen, G.
Edition: 2nd ed.
Series: Springer series in information sciences ;; 17
Publisher: Springer-Verlag
Published: 1991
Place of publication: Berlin; New York
Language: eng
Number of pages: 195
Subjects: Kalman filtering.
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, systems 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. In this second edition, in addition to some minor corrections and up-dating, the section on real-time system identification has been expanded and a brief introduction to wavelet analysis included.
Notes: Includes bibliographical references (p. [158]-164) and index.