Smoothing, Filtering and Prediction : : Estimating The Past, Present and Future / / edited by Garry A. Einicke.
This book describes the classical smoothing, filtering and prediction techniques together with some more recently developed embellishments for improving performance within applications. It aims to present the subject in an accessible way, so that it can serve as a practical guide for undergraduates...
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Place / Publishing House: | Rijeka : : IntechOpen,, 2012. ©2012 |
Year of Publication: | 2012 |
Language: | English |
Physical Description: | 1 online resource (288 pages) :; illustrations |
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(CKB)3230000000076966 (NjHacI)993230000000076966 (oapen)https://directory.doabooks.org/handle/20.500.12854/59495 (EXLCZ)993230000000076966 |
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Garry A. Einicke auth Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / edited by Garry A. Einicke. Smoothing, filtering and prediction IntechOpen 2012 Rijeka : IntechOpen, 2012. ©2012 1 online resource (288 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Description based on: online resource; title from PDF information screen (InTech, viewed October 21, 2022). This book describes the classical smoothing, filtering and prediction techniques together with some more recently developed embellishments for improving performance within applications. It aims to present the subject in an accessible way, so that it can serve as a practical guide for undergraduates and newcomers to the field. The material is organised as a ten-lecture course. The foundations are laid in Chapters 1 and 2, which explain minimum-mean-square-error solution construction and asymptotic behaviour. Chapters 3 and 4 introduce continuous-time and discrete-time minimum-variance filtering. Generalisations for missing data, deterministic inputs, correlated noises, direct feedthrough terms, output estimation and equalisation are described. Chapter 5 simplifies the minimum-variance filtering results for steady-state problems. Observability, Riccati equation solution convergence, asymptotic stability and Wiener filter equivalence are discussed. Chapters 6 and 7 cover the subject of continuous-time and discrete-time smoothing. The main fixed-lag, fixed-point and fixed-interval smoother results are derived. It is shown that the minimum-variance fixed-interval smoother attains the best performance. Chapter 8 attends to parameter estimation. As the above-mentioned approaches all rely on knowledge of the underlying model parameters, maximum-likelihood techniques within expectation-maximisation algorithms for joint state and parameter estimation are described. Chapter 9 is concerned with robust techniques that accommodate uncertainties within problem specifications. An extra term within Riccati equations enables designers to trade-off average error and peak error performance. Chapter 10 rounds off the course by applying the afore-mentioned linear techniques to nonlinear estimation problems. It is demonstrated that step-wise linearisations can be used within predictors, filters and smoothers, albeit by forsaking optimal performance guarantees. English Mathematics. Physical Sciences Engineering and Technology Mathematical Modeling Computer and Information Science Numerical Analysis and Scientific Computing 953-307-752-2 Einicke, Garry A., editor. |
language |
English |
format |
eBook |
author |
Garry A. Einicke |
spellingShingle |
Garry A. Einicke Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / |
author_facet |
Garry A. Einicke Einicke, Garry A., |
author_variant |
g a e gae |
author2 |
Einicke, Garry A., |
author2_variant |
g a e ga gae |
author2_role |
TeilnehmendeR |
author_sort |
Garry A. Einicke |
title |
Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / |
title_sub |
Estimating The Past, Present and Future / |
title_full |
Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / edited by Garry A. Einicke. |
title_fullStr |
Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / edited by Garry A. Einicke. |
title_full_unstemmed |
Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / edited by Garry A. Einicke. |
title_auth |
Smoothing, Filtering and Prediction : Estimating The Past, Present and Future / |
title_alt |
Smoothing, filtering and prediction |
title_new |
Smoothing, Filtering and Prediction : |
title_sort |
smoothing, filtering and prediction : estimating the past, present and future / |
publisher |
IntechOpen IntechOpen, |
publishDate |
2012 |
physical |
1 online resource (288 pages) : illustrations |
isbn |
953-51-4346-8 953-307-752-2 |
callnumber-first |
Q - Science |
callnumber-subject |
QA - Mathematics |
callnumber-label |
QA39 |
callnumber-sort |
QA 239.2 S666 42012 |
illustrated |
Illustrated |
dewey-hundreds |
500 - Science |
dewey-tens |
510 - Mathematics |
dewey-ones |
510 - Mathematics |
dewey-full |
510 |
dewey-sort |
3510 |
dewey-raw |
510 |
dewey-search |
510 |
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(CKB)3230000000076966 (NjHacI)993230000000076966 (oapen)https://directory.doabooks.org/handle/20.500.12854/59495 (EXLCZ)993230000000076966 |
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