Stochastic Systems The Mathematics Of Filtering And Identification And Applications

Author : Michiel Hazewinkel,J.C. Williams
Publisher : Springer Science & Business Media
Page : 655 pages
File Size : 51,5 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9789400985469

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Stochastic Systems: The Mathematics of Filtering and Identification and Applications by Michiel Hazewinkel,J.C. Williams Pdf

In the last five years or so there has been an important renaissance in the area of (mathematical) modeling, identification and (stochastic) control. It was the purpose of the Advanced Study Institute of which the present volume constitutes the proceedings to review recent developments in this area with par ticular emphasis on identification and filtering and to do so in such a manner that the material is accessible to a wide variety of both embryo scientists and the various breeds of established researchers to whom identification, filtering, etc. are important (such as control engineers, time series analysts, econometricians, probabilists, mathematical geologists, and various kinds of pure and applied mathematicians; all of these were represented at the ASI). For these proceedings we have taken particular care to see to it that the material presented will be understandable for a quite diverse audience. To that end we have added a fifth tutorial section (besides the four presented at the meeting) and have also included an extensive introduction which explains in detail the main problem areas and themes of these proceedings and which outlines how the various contributions fit together to form a coherent, integrated whole. The prerequisites needed to understand the material in this volume are modest and most graduate students in e. g. mathematical systems theory, applied mathematics, econo metrics or control engineering will qualify.

Author : Anonim
Publisher : Unknown
Page : 663 pages
File Size : 51,7 Mb
Release : 1981
Category : Electronic
ISBN : OCLC:1106645687

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STOCHASTIC SYSTEMS : THE MATHEMATICS OF FILTERING AND IDENTIFICATION AND APPLICATIONS ; PROCEEDINGS OF THE NATO ADVANCED STUDY INSTITUTE HELD AT LES ARCS, SAVOIE, FRANCE, JUNE 22 - JULY 5, 1980 by Anonim Pdf

Author : P. R. Kumar,Pravin Varaiya
Publisher : SIAM
Page : 371 pages
File Size : 45,7 Mb
Release : 2015-12-15
Category : Mathematics
ISBN : 9781611974263

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Stochastic Systems by P. R. Kumar,Pravin Varaiya Pdf

Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.?

Author : Anders Lindquist,Giorgio Picci
Publisher : Springer
Page : 788 pages
File Size : 44,8 Mb
Release : 2015-04-24
Category : Science
ISBN : 9783662457504

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Linear Stochastic Systems by Anders Lindquist,Giorgio Picci Pdf

This book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of past and future flows of the relevant signals, are revealed to be fundamentally unifying ideas. The book, based on over 30 years of original research, represents a valuable contribution that will inform the fields of stochastic modeling, estimation, system identification, and time series analysis for decades to come. It also provides the mathematical tools needed to grasp and analyze the structures of algorithms in stochastic systems theory.

Author : Vasile Dragan,Toader Morozan,Adrian-Mihail Stoica
Publisher : Springer Science & Business Media
Page : 455 pages
File Size : 43,8 Mb
Release : 2013-10-04
Category : Science
ISBN : 9781461486633

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Mathematical Methods in Robust Control of Linear Stochastic Systems by Vasile Dragan,Toader Morozan,Adrian-Mihail Stoica Pdf

This second edition of Mathematical Methods in the Robust Control of Linear Stochastic Systems includes a large number of recent results in the control of linear stochastic systems. More specifically, the new results presented are: - A unified and abstract framework for Riccati type equations arising in the stochastic control - Stability and control problems for systems perturbed by homogeneous Markov processes with infinite number of states - Mixed H2 / H∞ control problem and numerical procedures - Linear differential equations with positive evolution on ordered Banach spaces with applications for stochastic systems including both multiplicative white noise and Markovian jumps represented by a Markov chain with countable infinite set of states - Kalman filtering for stochastic systems subject both to state dependent noise and Markovian jumps - H∞ reduced order filters for stochastic systems The book will appeal to graduate students, researchers in advanced control engineering, finance, mathematical systems theory, applied probability and stochastic processes, and numerical analysis. From Reviews of the First Edition: This book is concerned with robust control of stochastic systems. One of the main features is its coverage of jump Markovian systems. ... Overall, this book presents results taking into consideration both white noise and Markov chain perturbations. It is clearly written and should be useful for people working in applied mathematics and in control and systems theory. The references cited provide further reading sources. (George Yin, Mathematical Reviews, Issue 2007 m) This book considers linear time varying stochastic systems, subjected to white noise disturbances and system parameter Markovian jumping, in the context of optimal control ... robust stabilization, and disturbance attenuation. ... The material presented in the book is organized in seven chapters. ... The book is very well written and organized. ... is a valuable reference for all researchers and graduate students in applied mathematics and control engineering interested in linear stochastic time varying control systems with Markovian parameter jumping and white noise disturbances. (Zoran Gajic, SIAM Review, Vol. 49 (3), 2007)

Author : Alan Bain,Dan Crisan
Publisher : Springer Science & Business Media
Page : 395 pages
File Size : 44,7 Mb
Release : 2008-10-08
Category : Mathematics
ISBN : 9780387768960

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Fundamentals of Stochastic Filtering by Alan Bain,Dan Crisan Pdf

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.

Author : Hermenegild Salzwedel
Publisher : Unknown
Page : 404 pages
File Size : 53,8 Mb
Release : 2017-10
Category : Electronic
ISBN : 1681179652

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Probability and Stochastic Processes by Hermenegild Salzwedel Pdf

"In probability theory and associated fields, a stochastic or random process is a mathematical object usually defined as a collection of random variables. In the past, the random variables were allied with or indexed by a set of numbers, typically viewed as points in time, giving the explanation of a stochastic process representing numerical values of some system randomly changing ultimately, such as the growth of a bacterial population, an electrical current fluctuating due to thermal noise, or the movement of a gas molecule. Stochastic processes have played a significant role in various engineering disciplines like power systems, robotics, automotive technology, signal processing, manufacturing systems, semiconductor manufacturing, communication networks, wireless networks etc. Among the above engineering applications of stochastic processes are extensively used as mathematical models of systems and phenomena that appear to fluctuate in a random manner. This Book Probability & Stochastic Processes is concerned with stochastic processes and their applications in the modeling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. It deals with all aspects of stochastic systems analysis, characterization problems, stochastic modeling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. With an emphasis on applications in engineering, applied sciences, business and finance, statistics, the book provides several practical examples that demonstrate how random phenomena take place in nature and how to employ probabilistic techniques to precisely model these phenomena. This book is oriented towards a broad spectrum of mathematical, scientific and engineering interests. "

Author : G. A. Bekey,G. N. Saridis
Publisher : Elsevier
Page : 868 pages
File Size : 45,8 Mb
Release : 2016-06-06
Category : Technology & Engineering
ISBN : 9781483165783

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Identification and System Parameter Estimation 1982 by G. A. Bekey,G. N. Saridis Pdf

Identification and System Parameter Estimation 1982 covers the proceedings of the Sixth International Federation of Automatic Control (IFAC) Symposium. The book also serves as a tribute to Dr. Naum S. Rajbman. The text covers issues concerning identification and estimation, such as increasing interrelationships between identification/estimation and other aspects of system theory, including control theory, signal processing, experimental design, numerical mathematics, pattern recognition, and information theory. The book also provides coverage regarding the application and problems faced by several engineering and scientific fields that use identification and estimation, such as biological systems, traffic control, geophysics, aeronautics, robotics, economics, and power systems. Researchers from all scientific fields will find this book a great reference material, since it presents topics that concern various disciplines.

Author : G. Kallianpur
Publisher : Springer Science & Business Media
Page : 326 pages
File Size : 47,9 Mb
Release : 2013-04-17
Category : Science
ISBN : 9781475765922

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Stochastic Filtering Theory by G. Kallianpur Pdf

This book is based on a seminar given at the University of California at Los Angeles in the Spring of 1975. The choice of topics reflects my interests at the time and the needs of the students taking the course. Initially the lectures were written up for publication in the Lecture Notes series. How ever, when I accepted Professor A. V. Balakrishnan's invitation to publish them in the Springer series on Applications of Mathematics it became necessary to alter the informal and often abridged style of the notes and to rewrite or expand much of the original manuscript so as to make the book as self-contained as possible. Even so, no attempt has been made to write a comprehensive treatise on filtering theory, and the book still follows the original plan of the lectures. While this book was in preparation, the two-volume English translation of the work by R. S. Liptser and A. N. Shiryaev has appeared in this series. The first volume and the present book have the same approach to the sub ject, viz. that of martingale theory. Liptser and Shiryaev go into greater detail in the discussion of statistical applications and also consider inter polation and extrapolation as well as filtering.

Author : Andrew H. Jazwinski
Publisher : Courier Corporation
Page : 404 pages
File Size : 46,8 Mb
Release : 2013-04-15
Category : Science
ISBN : 9780486318196

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Stochastic Processes and Filtering Theory by Andrew H. Jazwinski Pdf

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.

Author : Peter E. Caines
Publisher : SIAM
Page : 892 pages
File Size : 47,8 Mb
Release : 2018-06-12
Category : Mathematics
ISBN : 9781611974706

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Linear Stochastic Systems by Peter E. Caines Pdf

Linear Stochastic Systems, originally published in 1988, is today as comprehensive a reference to the theory of linear discrete-time-parameter systems as ever. Its most outstanding feature is the unified presentation, including both input-output and state space representations of stochastic linear systems, together with their interrelationships. The author first covers the foundations of linear stochastic systems and then continues through to more sophisticated topics including the fundamentals of stochastic processes and the construction of stochastic systems; an integrated exposition of the theories of prediction, realization (modeling), parameter estimation, and control; and a presentation of stochastic adaptive control theory. Written in a clear, concise manner and accessible to graduate students, researchers, and teachers, this classic volume also includes background material to make it self-contained and has complete proofs for all the principal results of the book. Furthermore, this edition includes many corrections of errata collected over the years.

Author : N U Ahmed
Publisher : World Scientific
Page : 272 pages
File Size : 48,6 Mb
Release : 1999-01-22
Category : Mathematics
ISBN : 9789814495646

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Linear and Nonlinear Filtering for Scientists and Engineers by N U Ahmed Pdf

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. Contents:Introduction to Stochastic ProcessesStochastic Differential EquationsKalman Filtering for Linear Systems Driven by Wiener Process IKalman Filtering for Linear Systems Driven by Wiener Process IIDiscrete Kalman FilteringLinear Filtering with Correlated Noise ILinear Filtering with Correlated Noise IILinear Filtering with Correlated Noise IIILinear Filtering of Jump ProcessesLinear Filtering with ConstraintsFiltering for Linear Systems Driven by Second Order Random ProcessesExtended Kalman Filtering I, II and IIINonlinear FilteringNumerical Techniques for Nonlinear FilteringPartially Observed ControlSystem Identification Readership: Researchers in analysis & differential equations, applied mathematics, probability & statistics, numerical & computational methods, statistical physics, engineering, chaos/dynamical systems and economics/finance. Keywords:Stochastic Systems;Kalman Filtering;Nonlinear Filtering;Jump Processes;Identification;Numerical TechniquesReviews: “… many new results, especially on nonlinear filtering problems and their numerical techniques, are included in book form for the first time … it will serve as a useful reference book on the recent progress in this field. The book can be used for teaching graduate courses to students in mathematics, probability, statistics, and engineering. And finally, doctoral students and young researchers in the area of filtering theory and its applications can find inspiring ideas and techniques.” Journal of Applied Mathematics and Stochastic Analysis

Author : Christiaan Heij,André C.M. Ran,Frederik van Schagen
Publisher : Springer Nature
Page : 195 pages
File Size : 55,8 Mb
Release : 2021-03-21
Category : Science
ISBN : 9783030596545

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Introduction to Mathematical Systems Theory by Christiaan Heij,André C.M. Ran,Frederik van Schagen Pdf

This book provides an introduction to the theory of linear systems and control for students in business mathematics, econometrics, computer science, and engineering. The focus is on discrete time systems, which are the most relevant in business applications, as opposed to continuous time systems, requiring less mathematical preliminaries. The subjects treated are among the central topics of deterministic linear system theory: controllability, observability, realization theory, stability and stabilization by feedback, LQ-optimal control theory. Kalman filtering and LQC-control of stochastic systems are also discussed, as are modeling, time series analysis and model specification, along with model validation. This second edition has been updated and slightly expanded. In addition, supplementary material containing the exercises is now available on the Springer Link's book website.

Author : Werner Schiehlen,Walter Wedig
Publisher : Springer
Page : 352 pages
File Size : 43,8 Mb
Release : 2014-05-04
Category : Mathematics
ISBN : 9783709128206

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Analysis and Estimation of Stochastic Mechanical Systems by Werner Schiehlen,Walter Wedig Pdf

This book summarizes the developments in stochastic analysis and estimation. It presents novel applications to practical problems in mechanical systems. The main aspects of the course are random vibrations of discrete and continuous systems, analysis of nonlinear and parametric systems, stochastic modelling of fatigue damage, parameter estimation and identification with applications to vehicle road systems and process simulations by means of autoregressive models. The contributions will be of interest to engineers and research workers in industries and universities who want first hand information on present trends and problems in this topical field of engineering dynamics.

Author : S.K. Mitter,A. Moro
Publisher : Springer
Page : 310 pages
File Size : 44,9 Mb
Release : 2006-11-15
Category : Mathematics
ISBN : 9783540394310

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Nonlinear Filtering and Stochastic Control by S.K. Mitter,A. Moro Pdf