Lectures on Discrete Time Filtering

Overview

This book is based on a course given at the University of Southern California, at the University of Nice, and at Cheng Kung University in Taiwan. It discusses linear and nonlinear sequential filtering theory: that is, the problem of estimating the process underlying a shastic signal. For the linear colored-noise problem, the theory is due to Kalman, and in the case of white noise it is the continuous Kalman-Bucy theory. The techniques considered have applications in fields as diverse as economics (e.g., ...
See more details below
Paperback (Softcover reprint of the original 1st ed. 1994)
$99.00
BN.com price
Other sellers (Paperback)
  • All (6) from $73.66   
  • New (5) from $73.66   
  • Used (1) from $148.56   
Sending request ...

Overview

This book is based on a course given at the University of Southern California, at the University of Nice, and at Cheng Kung University in Taiwan. It discusses linear and nonlinear sequential filtering theory: that is, the problem of estimating the process underlying a shastic signal. For the linear colored-noise problem, the theory is due to Kalman, and in the case of white noise it is the continuous Kalman-Bucy theory. The techniques considered have applications in fields as diverse as economics (e.g., prediction of the money supply), geophysics (e.g., processing of sonar signals), electrical engineering (e.g., detection of radar signals), and numerical analysis (e.g., in integration packages). The nonlinear theory is treated thoroughly, along with some novel synthesis methods for this computationally demanding problem. The author also discusses the Burg technique, and gives a detailed analysis of the matrix Riccati equation that is not available elsewhere.
Read More Show Less

Product Details

  • ISBN-13: 9781461383949
  • Publisher: Springer New York
  • Publication date: 7/31/2012
  • Series: Signal Processing and Digital Filtering Series
  • Edition description: Softcover reprint of the original 1st ed. 1994
  • Edition number: 1
  • Pages: 156
  • Product dimensions: 6.14 (w) x 9.21 (h) x 0.38 (d)

Table of Contents

1 Review.- 1 Review of Concepts in Probability.- 1.1 Gaussian Random Variables.- 2 Random Noise Generation.- 1 Random Noise Generation.- 2 Cholesky Decomposition.- 3 Uses of the Pseudo Inverse.- 4 Signal Models.- 5 Sensor Model.- 3 Historical Background.- 1 Background Material.- 2 Historical Developments for Filtering.- 2.1 Concept of Innovations.- 2.2 Wiener-Hopf Equation.- 3 Development of Innovations.- 4 Sequential Filter Development.- 4 Sequential Filtering Theory.- 1 Summary of the Sequential Filter.- 2 The Scalar Autonomous Riccati Equation.- 3 Linearizing the Riccati Equation.- 3.1 Symplectic Matrices.- 3.2 Stability of the Filter.- 5 Burg Technique.- 1 Background Material.- 6 Signal Processing.- 1 The Burg Technique.- 2 Signal Processing.- 3 Burg Revisited (Rouché’s Theorem).- 3.1 Burg’s Inverse Iteration.- 7 Classical Approach.- 1 Classical Steady-State Filtering.- 8 A Priori Bounds.- 1 A Priori Bounds for the Riccati Equation.- 2 Information and Filtering.- 3 Nonlinear Systems.- 9 Asymptotic Theory.- 1 Applications of the Theory of Filtering.- 2 Asymptotic Theory of the Riccati Equation.- 3 Steady-State Solution to Riccati.- 10 Advanced Topics.- 1 Invariant Directions.- 2 Nonlinear Filtering.- 11 Applications.- 1 Historical Applications.- 1.1 Problem 1. Cubic Sensor Problem (d=1).- 1.2 Numerical Realization.- 1.3 Problem 2. Passive Receiver.- 12 Phase Tracking.- 1 The Phase Lock Loop.- 2 Phase Demodulation.- 13 Device Synthesis.- 1 Device Synthesis for Nonlinear Filtering.- 1.1 Hybrid Computing in Nonlinear Filtering.- 1.2 Optical Techniques for Nonlinear Filter Convolution.- 1.3 Acoustic Techniques for Nonlinear Filter Convolution.- 1.4 Digital Developments in Nonlinear Filtering.- 2 Radar Filtering Application.- 2.1 Rao-Cramer Bound.- 14 Random Fields.
Read More Show Less

Customer Reviews

Be the first to write a review
( 0 )
Rating Distribution

5 Star

(0)

4 Star

(0)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously

    If you find inappropriate content, please report it to Barnes & Noble
    Why is this product inappropriate?
    Comments (optional)