Optimal and robust estimation : with an introduction to stochastic control theory /: with an introduction to stochastic control theory. (2007)

• Record Type: Book
• Further Information: Note: Frank L. Lewis, Lihua Xie, Dan Popa.
• Other Names: Lewis, Frank L; Xie, Lihua; Popa, Dan, 1969-; Lewis, Frank L
• Contents: OPTIMAL ESTIMATION; Classical Estimation Theory; Mean-Square Estimation; Maximum-Likelihood Estimation; The Cramer-Rao Bound; Recursive Estimation; Wiener Filtering; Problems; Discrete-Time Kalman Filter; Deterministic State Observer; Linear Stochastic Systems; The Discrete-Time Kalman Filter; Discrete Measurements of Continuous-Time Systems; Error Dynamics and Statistical Steady State; Frequency Domain Results; Correlated Noise and Shaping Filters; Optimal Smoothing; Problems; Continuous-Time Kalman Filter; Derivation from Discrete Kalman Filter; Some Examples; Derivation from Wiener-Hopf Equation; Error Dynamics and Statistical Steady State; Frequency Domain Results; Correlated Noise and Shaping Filters; Discrete Measurements of Continuous-Time Systems; Optimal Smoothing; Problems; Kalman Filter Design and Implementation; Modeling Errors, Divergence, and Exponential Data Weighting; Reduced-Order Filters and Decoupling; Using Suboptimal Gains; Scalar Measurement Updating; Problems; Estimation for Nonlinear Systems; Update of the Hyperstate; General Update of Mean and Covariance; Extended Kalman Filter; Application to Robotics and Adaptive Sampling; Problems; ROBUST ESTIMATION; Robust Kalman Filter; Systems with Modeling Uncertainties; Robust Finite Horizon Kalman A Priori Filter; Robust Stationary Kalman A Priori Filter; Convergence Analysis; Linear Matrix Inequality Approach; Robust Kalman Filtering for Continuous-Time Systems; Problems; H-Infinity Filtering of Continuous-Time Systems; H-Infinity Filtering Problem; Finite Horizon H-Infinity Linear Filter; Characterization of All Finite Horizon H-Infinity Linear Filters; Stationary H-Infinity Filter-Riccati Equation Approach; Relationship with the Kalman Filter; Convergence Analysis; H-Infinity Filtering for a Special Class of Signal Models; Stationary H-Infinity Filter-Linear Matrix Inequality Approach; Problems; H-Infinity Filtering of Discrete-Time Systems; Discrete-Time H-Infinity Filtering Problem; H-Infinity A Priori Filter; H-Infinity A Posteriori Filter; Polynomial Approach to H-Infinity Estimation; J-Spectral Factorization; Applications in Channel Equalization; Problems; OPTIMAL STOCHASTIC CONTROL; Stochastic Control for State Variable Systems; Dynamic Programming Approach; Continuous-Time Linear Quadratic Gaussian Problem; Discrete-Time Linear Quadratic Gaussian Problem; Problems; Stochastic Control for Polynomial Systems; Polynomial Representation of Stochastic Systems; Optimal Prediction; Minimum Variance Control; Polynomial Linear Quadratic Gaussian Regulator; Problems; Appendix A: Review of Matrix Algebra; Basic Definitions and Facts; Partitioned Matrices; Quadratic Forms and Definiteness; Matrix Calculus; References; Index
• Edition: 2nd ed
• Publisher Details: Place of publication not identified : CRC Press
• Publication Date: 2007
• Extent: 1 online resource (552 pages), (125 illustrations)
• Subjects: 629.8/312; Stochastic control theory; Mathematical optimization
• Languages: English
• ISBNs: 9781420008296; 1420008293
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.