EAN: 9783319476100

KALMAN FILTERING - CHARLES K CHUI GUANRONG CHEN...

This new edition presents a thorough discussion of the mathematical theory and computational
schemes of Kalman filtering. The filtering algorithms are derived via different approaches 
including a direct method consisting of a series of elementary steps  and an indirect method
based on innovation projection. Other topics include Kalman filtering for systems with
correlated noise or colored noise  limiting Kalman filtering for time-invariant systems 
extended Kalman filtering for nonlinear systems  interval Kalman filtering for uncertain
systems  and wavelet Kalman filtering for multiresolution analysis of random signals. Most
filtering algorithms are illustrated by using simplified radar tracking examples. The style of
the book is informal  and the mathematics is elementary but rigorous. The text is
self-contained  suitable for self-study  and accessible to all readers with a minimum knowledge
of linear algebra  probability theory  and system engineering. Over 100 exercises and problems
with solutions help deepen the knowledge. This new edition has a new chapter on filtering
communication networks and data processing  together with new exercises and new real-time
applications.

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