discrete stochastic processes and optimal filtering

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Discrete Stochastic Processes And Optimal Filtering

Author : Jean-Claude Bertein
ISBN : 9781118615492
Genre : Technology & Engineering
File Size : 28. 15 MB
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Optimal filtering applied to stationary and non-stationary signals provides the most efficient means of dealing with problems arising from the extraction of noise signals. Moreover, it is a fundamental feature in a range of applications, such as in navigation in aerospace and aeronautics, filter processing in the telecommunications industry, etc. This book provides a comprehensive overview of this area, discussing random and Gaussian vectors, outlining the results necessary for the creation of Wiener and adaptive filters used for stationary signals, as well as examining Kalman filters which are used in relation to non-stationary signals. Exercises with solutions feature in each chapter to demonstrate the practical application of these ideas using Matlab.

Optimal Filtering

Author : Brian D. O. Anderson
ISBN : 9780486136899
Genre : Science
File Size : 76. 75 MB
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Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.

Random Processes Filtering Estimation And Detection

Author : Lonnie C. Ludeman
ISBN : 8126527234
Genre :
File Size : 60. 43 MB
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Market_Desc: Graduate students of electrical and computer engineering. Practicing engineers in communications and signal processing. Special Features: " Covers modern detection and estimation theory as well as the basics of random processes" Emphasizes the use of discrete-time Weiner and Kalman filters and covers nonlinear systems in detail" Includes over 380 class-tested homework exercises About The Book: An understanding of random processes is crucial in the study of many engineering systems, for example analyzing noise in a wireless communications channel. This book covers the basics of probability and random processes for an engineering audience. Importantly, though, the book also presents the details of modern detection and estimation theory, giving it a real edge over existing textbooks. The author has a proven track record. His book Fundamentals of Digital Signal Processing has sold 15,000 copies and won Choice magazine's Outstanding Engineering Book of the Year award.

Stochastic Processes Estimation And Control

Author : Jason L. Speyer
ISBN : 9780898716559
Genre : Mathematics
File Size : 90. 57 MB
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The authors provide a comprehensive treatment of stochastic systems from the foundations of probability to stochastic optimal control. The book covers discrete- and continuous-time stochastic dynamic systems leading to the derivation of the Kalman filter, its properties, and its relation to the frequency domain Wiener filter aswell as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to HÝsubscript 2¨ and HÝsubscript Ýinfinity¨¨ controllers and system robustness. This book is suitable for first-year graduate students in electrical, mechanical, chemical, and aerospace engineering specializing in systems and control. Students in computer science, economics, and possibly business will also find it useful.

Stochastic Processes And Filtering Theory

Author : Andrew H. Jazwinski
ISBN : 9780486318196
Genre : Science
File Size : 81. 86 MB
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This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.

Fundamentals Of Stochastic Filtering

Author : Alan Bain
ISBN : 9780387768960
Genre : Mathematics
File Size : 41. 44 MB
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This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Introduction To Random Signals And Noise

Author : Wim C. Van Etten
ISBN : 9780470024126
Genre : Science
File Size : 75. 50 MB
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Random signals and noise are present in many engineering systems and networks. Signal processing techniques allow engineers to distinguish between useful signals in audio, video or communication equipment, and interference, which disturbs the desired signal. With a strong mathematical grounding, this text provides a clear introduction to the fundamentals of stochastic processes and their practical applications to random signals and noise. With worked examples, problems, and detailed appendices, Introduction to Random Signals and Noise gives the reader the knowledge to design optimum systems for effectively coping with unwanted signals. Key features: Considers a wide range of signals and noise, including analogue, discrete-time and bandpass signals in both time and frequency domains. Analyses the basics of digital signal detection using matched filtering, signal space representation and correlation receiver. Examines optimal filtering methods and their consequences. Presents a detailed discussion of the topic of Poisson processes and shot noise. An excellent resource for professional engineers developing communication systems, semiconductor devices, and audio and video equipment, this book is also ideal for senior undergraduate and graduate students in Electronic and Electrical Engineering.

Optimal Filtering

Author : V.N. Fomin
ISBN : 9789401153263
Genre : Mathematics
File Size : 20. 56 MB
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This book is devoted to an investigation of some important problems of mod ern filtering theory concerned with systems of 'any nature being able to per ceive, store and process an information and apply it for control and regulation'. (The above quotation is taken from the preface to [27]). Despite the fact that filtering theory is l'argely worked out (and its major issues such as the Wiener-Kolmogorov theory of optimal filtering of stationary processes and Kalman-Bucy recursive filtering theory have become classical) a development of the theory is far from complete. A great deal of recent activity in this area is observed, researchers are trying consistently to generalize famous results, extend them to more broad classes of processes, realize and justify more simple procedures for processing measurement data in order to obtain more efficient filtering algorithms. As to nonlinear filter ing, it remains much as fragmentary. Here much progress has been made by R. L. Stratonovich and his successors in the area of filtering of Markov processes. In this volume an effort is made to advance in certain of these issues. The monograph has evolved over many years, coming of age by stages. First it was an impressive job of gathering together the bulk of the impor tant contributions to estimation theory, an understanding and moderniza tion of some of its results and methods, with the intention of applying them to recursive filtering problems.

Discrete Random Signal Processing And Filtering Primer With Matlab

Author : Alexander D. Poularikas
ISBN : 9781420089349
Genre : Technology & Engineering
File Size : 45. 59 MB
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Engineers in all fields will appreciate a practical guide that combines several new effective MATLAB® problem-solving approaches and the very latest in discrete random signal processing and filtering. Numerous Useful Examples, Problems, and Solutions – An Extensive and Powerful Review Written for practicing engineers seeking to strengthen their practical grasp of random signal processing, Discrete Random Signal Processing and Filtering Primer with MATLAB provides the opportunity to doubly enhance their skills. The author, a leading expert in the field of electrical and computer engineering, offers a solid review of recent developments in discrete signal processing. The book also details the latest progress in the revolutionary MATLAB language. A Practical Self-Tutorial That Transcends Theory The author introduces an incremental discussion of signal processing and filtering, and presents several new methods that can be used for a more dynamic analysis of random digital signals with both linear and non-linear filtering. Ideal as a self-tutorial, this book includes numerous examples and functions, which can be used to select parameters, perform simulations, and analyze results. This concise guide encourages readers to use MATLAB functions – and those new ones introduced as Book MATLAB Functions – to substitute many different combinations of parameters, giving them a firm grasp of how much each parameter affects results. Much more than a simple review of theory, this book emphasizes problem solving and result analysis, enabling readers to take a hands-on approach to advance their own understanding of MATLAB and the way it is used within signal processing and filtering.

Discrete Time Stochastic Systems

Author : Torsten Söderström
ISBN : 9781447101017
Genre : Mathematics
File Size : 45. 78 MB
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This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.

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