Kalman Filtering: With Real-Time Applications (Springer Series in Information Sciences) - Softcover

C. K. Chui Guanrong Chen Charles K. Chui; Guanrong Chen

Softcover

ISBN 10: 354054013X ISBN 13: 9783540540137

Publisher: Springer, 1991

Synopsis

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.

About this title

From the Back Cover

This new edition presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering. Over 100 exercises and problems with solutions help deepen the knowledge. This new edition has a new chapter on filtering communication networks and data processing, together with new exercises and new real-time applications.

About the Author

Chui is a professor of mathematics at Texas A&M University.

Edition details

• Publisher: Springer
• Publication date: 1991
• Language: English
• ISBN 10: 354054013X
• ISBN 13: 9783540540137
• Binding: Paperback
• Edition number: 2
• Number of pages: 215