# Filtrage et lissage statistiques optimaux linéaires / J.-C. Radix

Type de document : MonographieCollection : Ecole nationale supérieure de techniques avancées, 4Langue : français.Pays: France.Éditeur : Toulouse : Cépaduès, 1984Description : 1 vol. (350 p.) ; 25 cmISBN: 2854280830.ISSN: 0224-7429.Bibliographie : Bibliogr. p. 240-243 et 350.Sujet MSC : 93E11, Systems theory; control, Filtering in stochastic control theory93-01, Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory

93E14, Systems theory; control, Data smoothing in stochastic control theory

93C10, Model systems in control theory, Nonlinear systems

62M20, Statistics - Inference from stochastic processes, Inference from stochastic processes and prediction; filtering Item type: Monographie

Current library | Call number | Status | Date due | Barcode |
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CMI Salle E | Manuels RAD (Browse shelf(Opens below)) | Available | 09831-01 | |

CMI Salle E | Manuels RAD (Browse shelf(Opens below)) | Available | 09831-02 |

This course introduces linear filtering and smoothing from an engineering viewpoint. The mathematical knowledge in probability theory and linear algebra which is needed is elementary and is reviewed; on the other hand, several examples are worked out; the equations are clearly written and intuitive explanation of the algorithms and results is emphasized. Firstly, Kalman filtering is studied, both is continuous and discrete time; the various classical generalizations of the initial problem are also discussed (coloured noise, correlated noise, nonlinear systems). Secondly, the different classical formulations of the smoothing problem are stated and solved; examples of algorithms are provided with graphical representations of the results. Finally, after a theoretical study of the factorization of matrices, square root filtering algorithms are derived; in an appendix computer programs are given. (Zentralblatt)

Bibliogr. p. 240-243 et 350

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