Stochastic models, estimation and control, Vol.2

Front Page......Page 1
Stochastic Models, Estimation, and Control......Page 4
Copyright Page......Page 5
Contents......Page 8
Preface......Page 12
Notation......Page 14
8.1 Introduction......Page 18
8.2 Basic Structure......Page 19
8.3 Three Classes of Smoothing Problems......Page 20
8.4 Fixed-Interval Smoothing......Page 22
8.5 Fixed-Point Smoothing......Page 32
8.6 Fixed-Lag Smoothing......Page 33
8.7 Summary......Page 34
References......Page 35
Problems......Page 36
9.1 Introduction......Page 40
9.2 Pseudonoise Addition and Artificial Lower Bounding of P......Page 41
9.3 Limiting Effective Filter Memory and Overweighting Most Recent Data......Page 45
9.4 Finite Memory Filtering......Page 50
9.5 Linearized and Extended Kalman Filters......Page 56
References......Page 76
Problems......Page 79
10.1 Introduction......Page 85
10.2 Problem Formulation......Page 87
10.3 Uncertainties in Φ and Bd: Lkelihood Equations......Page 91
10.4 Uncertainties in Φ and Bd : Full-Scale Estimator......Page 97
10.5 Uncertainties in Φ and Bd : Performance Analysis......Page 113
10.6 Uncertainties in Φ and Bd : Attaining Online Applicability......Page 118
10.7 Uncertainties in Qd and R......Page 137
10.8 Bayesian and Multiple Model Filtering Algorithms......Page 146
10.9 Correlation Methods for Self-Tuning: Residual \"Whitening\"......Page 153
10.10 Covariance Matching and Other Techniques......Page 158
10.11 Summary......Page 160
References......Page 161
Problems......Page 168
11.1 Introduction......Page 176
11.2 Extensions of Linear System Modeling......Page 177
11.3 Markov Process Fundamentals......Page 184
11.4 Itô Stochastic Integrals and Differentials......Page 192
11.5 Itô Stochastic Differential Equations......Page 198
11.6 Forward Kolmogorov Equation......Page 209
References......Page 219
Problems......Page 222
12.1 Introduction......Page 229
12.2 Nonlinear Filtering with Discrete-Time Measurements: Conceptually......Page 230
12.3 Conditional Moment Estimators......Page 232
12.4 Conditional Quasi-Moments and Hermite Polynomial Series......Page 256
12.5 Conditional Mode Estimators......Page 258
12.6 Statistically Linearized Filter......Page 260
12.7 Nonlinear Filtering with Continuous-Time Measurements......Page 262
12.8 Summary......Page 274
References......Page 276
Problems......Page 282
Index......Page 290