Nonlinear Stochastic Problems

Front Matter....Pages i-xii
Front Matter....Pages 1-1
Overview of the ASI on Nonlinear Stochastic Problems....Pages 3-5
Appendix....Pages 7-18
Front Matter....Pages 19-19
Estimation of Structured Covariance Matrices a Generalization of the Burg Technique....Pages 21-39
Classification of Radar Clutter using the Maximum-Entropy Method....Pages 41-54
A Simple Approach to High-Resolution Spectral Analysis....Pages 55-62
Front Matter....Pages 63-63
Estimation of Stochastic Parameters for ARMA Models by Fast Filtering Algorithms....Pages 65-78
Convergence Study of Two Real-Time Parameter Estimation Schemes for Nonlinear System....Pages 79-86
Approximation by a Sum of Complex Exponentials Utilizing the Pencil of Function Method....Pages 87-100
Minimax Estimation of Arma Systems....Pages 101-107
Front Matter....Pages 109-109
On the Structure of Minimal Markovian Representations....Pages 111-122
A Brief Tutorial on Calculus on Manifolds, with Emphasis on Applications to Identification and Control....Pages 123-150
Role of Multiplicative Non-White Noise in a Nonlinear Surface Catalytic Reaction....Pages 151-159
Front Matter....Pages 161-161
Geometric Aspects of the Convergence Analysis of Identification Algorithms....Pages 163-186
Multivariable Adaptive Regulators Based on Multistep Quadratic Cost Functionals....Pages 187-204
Overparameterization, Positive Realness and Multistep Minimum Variance Adaptive Regulators....Pages 205-215
Adaptive Receding Horizon Controllers for Discrete Stochastic Systems....Pages 217-228
An Explicit Solution to a Problem in Nonlinear Stochastic Control Involving the Wiener Process....Pages 229-230
Front Matter....Pages 231-231
On Optimal Control for a Class of Partially-Observed Systems....Pages 233-241
Optimal Stochastic Control of Linear Systems with State and Control Dependent Noise: Efficient Computational Algorithms....Pages 243-253
Front Matter....Pages 255-255
Joint Information and Demodulation....Pages 257-265
Front Matter....Pages 255-255
Generalized Finite-Dimensional Filters in Discrete Time....Pages 267-277
Nonlinear Filtering Equation for Hilbert Space Valued Processes....Pages 279-289
Optimal Orthogonal Expansion for Estimation I: Signal in White Gaussian Noise....Pages 291-309
Optimal Orthogonal Expansion for Estimation II: Signal in Counting Observations....Pages 311-338
Approximations for Nonlinear Filtering....Pages 339-345
Phase Demodulation: A Nonlinear Filtering Approach....Pages 347-386
Volterra Series and Finite Dimensional Nonlinear Filtering....Pages 387-396
Front Matter....Pages 397-397
Causal Invertibility: An Approach to the Innovations Problem....Pages 399-406
Spectral Analysis of Non Linear Semi-Markov Processes....Pages 407-415
Differential Calculus for Gaussian Random Measures....Pages 417-424
Finite Dimensional Causal Functionals of Brownian Motion....Pages 425-435
Transience, Recurrence and Invariant Measures for Diffusions....Pages 437-454
Eigenfunction Expansion for the Nonlinear Time Dependent Brownian Motion....Pages 455-466
Point Process Differentials with Evolving Intensities....Pages 467-472
Transformation Properties of Stochastic Differential Equations....Pages 473-480
Some Applications of Stochastic Calculus on the Nuclear Spaces to the Nonlinear Problems....Pages 481-508
Front Matter....Pages 509-509
Reconstruction and Compression of Two Dimensional Fields from Sampled Data by Pseudo-Potential Functions....Pages 511-524
Optimum Perturbation Signal that Makes Nonlinear Systems Approach to Linear Systems....Pages 525-532
Stochastic Filtering Problems in Multiradar Tracking....Pages 533-552
Population Extinction Probabilities and Methods of Estimation for Population Stochastic Differential Equation Models....Pages 553-559
Front Matter....Pages 509-509
Dynamic Ship Positioning Control Systems Design Including Nonlinear Thrusters and Dynamics....Pages 561-579
Joint Optimization of Transmitter and Receiver for Cyclo-Stationary Random Signal Processes....Pages 581-592
Fundamental Properties and Performance of Nonlinear Estimators for Bearings-Only Target Tracking....Pages 593-600
Back Matter....Pages 601-623