Ebook: Kalman Filtering: with Real-Time Applications

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.

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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.
Content:
Front Matter....Pages i-xvi
Preliminaries....Pages 1-19
Kalman Filter: An Elementary Approach....Pages 20-32
Orthogonal Projection and Kalman Filter....Pages 33-48
Correlated System and Measurement Noise Processes....Pages 49-66
Colored Noise....Pages 67-76
Limiting Kalman Filter....Pages 77-96
Sequential and Square-Root Algorithms....Pages 97-107
Extended Kalman Filter and System Identification....Pages 108-130
Decoupling of Filtering Equations....Pages 131-142
Notes....Pages 143-157
Back Matter....Pages 158-195

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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.
Content:
Front Matter....Pages i-xvi
Preliminaries....Pages 1-19
Kalman Filter: An Elementary Approach....Pages 20-32
Orthogonal Projection and Kalman Filter....Pages 33-48
Correlated System and Measurement Noise Processes....Pages 49-66
Colored Noise....Pages 67-76
Limiting Kalman Filter....Pages 77-96
Sequential and Square-Root Algorithms....Pages 97-107
Extended Kalman Filter and System Identification....Pages 108-130
Decoupling of Filtering Equations....Pages 131-142
Notes....Pages 143-157
Back Matter....Pages 158-195
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