Fundamentals of Stochastic Filtering - Couverture souple

Bain, Alan; Crisan, Dan

Couverture souple

ISBN 10 : 1441926429 ISBN 13 : 9781441926425

Editeur : Springer, 2010

Synopsis

Many aspects of phenomena critical to our lives can not be measured directly. Fortunately models of these phenomena, together with more limited obs- vations frequently allow us to make reasonable inferences about the state of the systems that a?ect us. The process of using partial observations and a stochastic model to make inferences about an evolving system is known as stochastic ?ltering. The objective of this text is to assist anyone who would like to become familiar with the theory of stochastic ?ltering, whether graduate student or more experienced scientist. The majority of the fundamental results of the subject are presented using modern methods making them readily available for reference. The book may also be of interest to practitioners of stochastic ?ltering, who wish to gain a better understanding of the underlying theory. Stochastic ?ltering in continuous time relies heavily on measure theory, stochasticprocessesandstochasticcalculus.Whileknowledgeofbasicmeasure theory and probability is assumed, the text is largely self-contained in that the majority of the results needed are stated in two appendices. This should make it easy for the book to be used as a graduate teaching text. With this in mind, each chapter contains a number of exercises, with solutions detailed at the end of the chapter.

A propos du livre

À propos de l'auteur

Alan Bain is Professor of Innovation in Learning, Teaching and Technology at Charles Sturt University. He has led comprehensive organisational change processes in various educational contexts, including higher education institutions and schools. He has held appointments at the University of Western Australia and Lehigh University and is the recipient of multiple competitive Faculty, University, State and National awards for his leadership and innovation, teaching, and research in the United States and Australia.

Lucia Zundans-Fraser is currently the Acting Deputy Dean in the Faculty of Arts and Education at Charles Sturt University. She is the recipient of two national, and multiple institutional, teaching excellence awards and has led a comprehensive organisational change process in higher education. Her research examines higher education course and subject design, inclusive education legislation and policy, pre-service teachers and their understandings of inclusion, and the use of evidence-based pedagogies in education.

À propos de la quatrième de couverture

The objective of stochastic filtering is to determine the best estimate for the state of a stochastic dynamical system from partial observations. The solution of this problem in the linear case is the well known Kalman-Bucy filter which has found widespread practical application. The purpose of this book is to provide 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.

The book is intended as a reference for graduate students and researchers interested in the field. It is also suitable for use as a text for a graduate level course on stochastic filtering. Suitable exercises and solutions are included.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2010
• Langue: anglais
• ISBN 10: 1441926429
• ISBN 13: 9781441926425
• Reliure: Broché
• Numéro d'édition: 1
• Nombre de pages: 404
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Slevogtstraße 3-5; Heidelberg; 69126; Allemagne