N.-Y.: Wiley, 2006. — 627 p.
Пособие по моделированию динамических систем с использованием
фильтров Калмана и родственных статистических методов. Обсуждаются
также вопросы робастного оценивания, адаптивной фильтрации,
обнаружения выбросов и т.п. Приводятся примеры применения в
различных естественно-научных и технических отраслях.
Для изучающих современные методы обработки сигналов. Contents
Preface.
Introduction.
System Dynamics and Models.
Modeling Examples.
Linear Least Squares Estimation – Fundamentals.
Linear Least Squares Estimation - Solution Techniques.
Least Squares Estimation - Model Errors and Model Order.
Least Squares Estimation - Constraints, Nonlinear Models and Robust Techniques.
Kalman Filtering.
Filtering for Nonlinear Systems, Smoothing, Error Analysis/Model Design and Measurement Processing.
Factored (Square Root) Filtering.
Advanced filtering Topics.
Empirical Modeling.
Software for Flexible and Efficient Execution.
Appendix. Summary of Matrix/Vector Properties.
Appendix.Probability and Random Variables.
Appendix. Selected First-Principle Concepts.
Appendix. Discrete-Time (ARMAX-type) Models.
Bibliography.
Для изучающих современные методы обработки сигналов. Contents
Preface.
Introduction.
System Dynamics and Models.
Modeling Examples.
Linear Least Squares Estimation – Fundamentals.
Linear Least Squares Estimation - Solution Techniques.
Least Squares Estimation - Model Errors and Model Order.
Least Squares Estimation - Constraints, Nonlinear Models and Robust Techniques.
Kalman Filtering.
Filtering for Nonlinear Systems, Smoothing, Error Analysis/Model Design and Measurement Processing.
Factored (Square Root) Filtering.
Advanced filtering Topics.
Empirical Modeling.
Software for Flexible and Efficient Execution.
Appendix. Summary of Matrix/Vector Properties.
Appendix.Probability and Random Variables.
Appendix. Selected First-Principle Concepts.
Appendix. Discrete-Time (ARMAX-type) Models.
Bibliography.