Optimal State Estimation

Dan Simon 지음

Wiley-Interscience 2006년 06월 19일 출간

작품소개

책소개

A bottom-up approach that enables readers to master and apply the latest techniques in state estimationThis book offers the best mathematical approaches to estimating the state of a general system. The author presents state estimation theory clearly and rigorously, providing the right amount of advanced material, recent research results, and references to enable the reader to apply state estimation techniques confidently across a variety of fields in science and engineering.While there are other textbooks that treat state estimation, this one offers special features and a unique perspective and pedagogical approach that speed learning:* Straightforward, bottom-up approach begins with basic concepts and then builds step by step to more advanced topics for a clear understanding of state estimation* Simple examples and problems that require only paper and pen to solve lead to an intuitive understanding of how theory works in practice* MATLAB(r)-based source code that corresponds to examples in the book, available on the author's Web site, enables readers to recreate results and experiment with other simulation setups and parametersArmed with a solid foundation in the basics, readers are presented with a careful treatment of advanced topics, including unscented filtering, high order nonlinear filtering, particle filtering, constrained state estimation, reduced order filtering, robust Kalman filtering, and mixed Kalman/H? filtering.Problems at the end of each chapter include both written exercises and computer exercises. Written exercises focus on improving the reader's understanding of theory and key concepts, whereas computer exercises help readers apply theory to problems similar to ones they are likely to encounter in industry. With its expert blend of theory and practice, coupled with its presentation of recent research results, Optimal State Estimation is strongly recommended for undergraduate and graduate-level courses i

목차

Acknowledgments.Acronyms.List of algorithms.Introduction.PART I INTRODUCTORY MATERIAL.1 Linear systems theory.1.1 Matrix algebra and matrix calculus.1.1.1 Matrix algebra.1.1.2 The matrix inversion lemma.1.1.3 Matrix calculus.1.1.4 The history of matrices.1.2 Linear systems.1.3 Nonlinear systems.1.4 Discretization.1.5 Simulation.1.5.1 Rectangular integration.1.5.2 Trapezoidal integration.1.5.3 RungeKutta integration.1.6 Stability.1.6.1 Continuous-time systems.1.6.2 Discretetime systems.1.7 Controllability and observability.1.7.1 Controllability.1.7.2 Observability.1.7.3 Stabilizability and detectability.1.8 Summary.Problems.Probability theory.2.1 Probability.2.2 Random variables.2.3 Transformations of random variables.2.4 Multiple random variables.2.4.1 Statistical independence.2.4.2 Multivariate statistics.2.5 Stochastic Processes.2.6 White noise and colored noise.2.7 Simulating correlated noise.2.8 Summary.Problems.3 Least squares estimation.3.1 Estimation of a constant.3.2 Weighted least squares estimation.3.3 Recursive least squares estimation.3.3.1 Alternate estimator forms.3.3.2 Curve fitting.3.4 Wiener filtering.3.4.1 Parametric filter optimization.3.4.2 General filter optimization.3.4.3 Noncausal filter optimization.3.4.4 Causal filter optimization.3.4.5 Comparison.3.5 Summary.Problems.4 Propagation of states and covariances.4.1 Discretetime systems.4.2 Sampled-data systems.4.3 Continuous-time systems.4.4 Summary.Problems.PART II THE KALMAN FILTER.5 The discrete-time Kalman filter.5.1 Derivation of the discrete-time Kalman filter.5.2 Kalman filter properties.5.3 One-step Kalman filter equations.5.4 Alternate propagation of covariance.5.4.1 Multiple state systems.5.4.2 Scalar systems.5.5 Divergence issues.5.6 Summary.Problems.6 Alternate Kalman filter fo

출판사 서평

"This book is obviously written with care and reads very easily. A very valuable resource for students, teachers, and practitioners…highly recommended." (CHOICE, February 2007)"The dozens of helpful step-by-step examples, visual illustrations, and lists of exercises proposed at the end of each chapter significantly facilitate a reader's understanding of the book's content." (Computing Reviews.com, December 4, 2006)

작가정보

저자(글) Dan Simon

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DAN SIMON, PhD, is an Associate Professor at Cleveland State University. Prior to this appointment, Dr. Simon spent fourteen years working for such firms as Boeing, TRW, and several smaller companies.