Linear and Nonlinear Filtering for Scientists and Engineers (Applied Mathematics) - Hardcover

Ahmed, Nasir Uddin

Hardcover

ISBN 10: 9810236093 ISBN 13: 9789810236090

Publisher: World Scientific Publishing Co Pte Ltd, 1999

Synopsis

The book combines both rigor and intuition to derive most of the classical results of linear and nonlinear filtering and beyond. Many fundamental results recently discovered by the author are included. Furthermore, many results that have appeared in recent years in the literature are also presented. The most interesting feature of the book is that all the derivations of the linear filter equations given in Chapters 3-11, beginning from the classical Kalman filter presented in Chapters 3 and 5, are based on one basic principle which is fully rigorous but also very intuitive and easily understandable. The second most interesting feature is that the book provides a rigorous theoretical basis for the numerical solution of nonlinear filter equations illustrated by multidimensional examples. The book also provides a strong foundation for theoretical understanding of the subject based on the theory of stochastic differential equations.

About this title

Synopsis

Combines both rigour and intuition to derive most of the classical results of linear and nonlinear filtering and beyond. The book provides a theoretical basis for the numerical solution of nonlinear filter equations illustrated by multidimensional examples. It also provides a foundation for theoretical understanding of the subject based on the theory of stochastic differential equations.

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 1999
• Language: English
• ISBN 10: 9810236093
• ISBN 13: 9789810236090
• Binding: Hardcover
• Number of pages: 272