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

Auteur principal : Radix, Jean-Claude, AuteurType 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 -- Stochastic systems and control, Filtering
93-01, Systems theory; control, Instructional exposition (textbooks, tutorial papers, etc.)
93E14, Systems theory; control -- Stochastic systems and control, Data smoothing
93C10, Systems theory; control -- Control systems, Nonlinear systems
62M20, Statistics -- Inference from stochastic processes, Prediction; filtering
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Salle E
Manuels RAD (Browse shelf) Available 09831-01
Salle E
Manuels RAD (Browse shelf) 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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