Restricted Kalman Filtering
Restricted Kalman Filtering

Author: Adrian Pizzinga

Publisher: Springer Science & Business Media

Published: 2012-07-25

Total Pages: 66

ISBN-13: 1461447380

DOWNLOAD EBOOK

​​​​​​​​ ​In statistics, the Kalman filter is a mathematical method whose purpose is to use a series of measurements observed over time, containing random variations and other inaccuracies, and produce estimates that tend to be closer to the true unknown values than those that would be based on a single measurement alone. This Brief offers developments on Kalman filtering subject to general linear constraints. There are essentially three types of contributions: new proofs for results already established; new results within the subject; and applications in investment analysis and macroeconomics, where the proposed methods are illustrated and evaluated. The Brief has a short chapter on linear state space models and the Kalman filter, aiming to make the book self-contained and to give a quick reference to the reader (notation and terminology). The prerequisites would be a contact with time series analysis in the level of Hamilton (1994) or Brockwell & Davis (2002) and also with linear state models and the Kalman filter – each of these books has a chapter entirely dedicated to the subject. The book is intended for graduate students, researchers and practitioners in statistics (specifically: time series analysis and econometrics).

Beyond the Kalman Filter: Particle Filters for Tracking Applications
Beyond the Kalman Filter: Particle Filters for Tracking Applications

Author: Branko Ristic

Publisher: Artech House

Published: 2003-12-01

Total Pages: 328

ISBN-13: 9781580538510

DOWNLOAD EBOOK

For most tracking applications the Kalman filter is reliable and efficient, but it is limited to a relatively restricted class of linear Gaussian problems. To solve problems beyond this restricted class, particle filters are proving to be dependable methods for stochastic dynamic estimation. Packed with 867 equations, this cutting-edge book introduces the latest advances in particle filter theory, discusses their relevance to defense surveillance systems, and examines defense-related applications of particle filters to nonlinear and non-Gaussian problems. With this hands-on guide, you can develop more accurate and reliable nonlinear filter designs and more precisely predict the performance of these designs. You can also apply particle filters to tracking a ballistic object, detection and tracking of stealthy targets, tracking through the blind Doppler zone, bi-static radar tracking, passive ranging (bearings-only tracking) of maneuvering targets, range-only tracking, terrain-aided tracking of ground vehicles, and group and extended object tracking.

Optimal Filtering
Optimal Filtering

Author: Brian D. O. Anderson

Publisher: Courier Corporation

Published: 2012-05-23

Total Pages: 370

ISBN-13: 0486136892

DOWNLOAD EBOOK

Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.

Kalman Filtering
Kalman Filtering

Author: Mohinder S. Grewal

Publisher: John Wiley & Sons

Published: 2015-02-02

Total Pages: 639

ISBN-13: 111898496X

DOWNLOAD EBOOK

The definitive textbook and professional reference on Kalman Filtering – fully updated, revised, and expanded This book contains the latest developments in the implementation and application of Kalman filtering. Authors Grewal and Andrews draw upon their decades of experience to offer an in-depth examination of the subtleties, common pitfalls, and limitations of estimation theory as it applies to real-world situations. They present many illustrative examples including adaptations for nonlinear filtering, global navigation satellite systems, the error modeling of gyros and accelerometers, inertial navigation systems, and freeway traffic control. Kalman Filtering: Theory and Practice Using MATLAB, Fourth Edition is an ideal textbook in advanced undergraduate and beginning graduate courses in stochastic processes and Kalman filtering. It is also appropriate for self-instruction or review by practicing engineers and scientists who want to learn more about this important topic.

Bayesian Filtering and Smoothing
Bayesian Filtering and Smoothing

Author: Simo Särkkä

Publisher: Cambridge University Press

Published: 2013-09-05

Total Pages: 255

ISBN-13: 110703065X

DOWNLOAD EBOOK

A unified Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.

Kalman Filtering and Information Fusion
Kalman Filtering and Information Fusion

Author: Hongbin Ma

Publisher: Springer Nature

Published: 2019-11-27

Total Pages: 295

ISBN-13: 9811508062

DOWNLOAD EBOOK

This book addresses a key technology for digital information processing: Kalman filtering, which is generally considered to be one of the greatest discoveries of the 20th century. It introduces readers to issues concerning various uncertainties in a single plant, and to corresponding solutions based on adaptive estimation. Further, it discusses in detail the issues that arise when Kalman filtering technology is applied in multi-sensor systems and/or multi-agent systems, especially when various sensors are used in systems like intelligent robots, autonomous cars, smart homes, smart buildings, etc., requiring multi-sensor information fusion techniques. Furthermore, when multiple agents (subsystems) interact with one another, it produces coupling uncertainties, a challenging issue that is addressed here with the aid of novel decentralized adaptive filtering techniques.Overall, the book’s goal is to provide readers with a comprehensive investigation into the challenging problem of making Kalman filtering work well in the presence of various uncertainties and/or for multiple sensors/components. State-of-art techniques are introduced, together with a wealth of novel findings. As such, it can be a good reference book for researchers whose work involves filtering and applications; yet it can also serve as a postgraduate textbook for students in mathematics, engineering, automation, and related fields.To read this book, only a basic grasp of linear algebra and probability theory is needed, though experience with least squares, navigation, robotics, etc. would definitely be a plus.

Tracking and Kalman Filtering Made Easy
Tracking and Kalman Filtering Made Easy

Author: Eli Brookner

Publisher: Wiley-Interscience

Published: 1998

Total Pages: 512

ISBN-13:

DOWNLOAD EBOOK

TRACKING, PREDICTION, AND SMOOTHING BASICS. g and g-h-k Filters. Kalman Filter. Practical Issues for Radar Tracking. LEAST-SQUARES FILTERING, VOLTAGE PROCESSING, ADAPTIVE ARRAY PROCESSING, AND EXTENDED KALMAN FILTER. Least-Squares and Minimum-Variance Estimates for Linear Time-Invariant Systems. Fixed-Memory Polynomial Filter. Expanding- Memory (Growing-Memory) Polynomial Filters. Fading-Memory (Discounted Least-Squares) Filter. General Form for Linear Time-Invariant System. General Recursive Minimum-Variance Growing-Memory Filter (Bayes and Kalman Filters without Target Process Noise). Voltage Least-Squares Algorithms Revisited. Givens Orthonormal Transformation. Householder Orthonormal Transformation. Gram--Schmidt Orthonormal Transformation. More on Voltage-Processing Techniques. Linear Time-Variant System. Nonlinear Observation Scheme and Dynamic Model (Extended Kalman Filter). Bayes Algorithm with Iterative Differential Correction for Nonlinear Systems. Kalman Filter Revisited. Appendix. Problems. Symbols and Acronyms. Solution to Selected Problems. References. Index.

The Theory of Matrices
The Theory of Matrices

Author: Peter Lancaster

Publisher: Academic Press

Published: 1985-05-28

Total Pages: 590

ISBN-13: 9780124355606

DOWNLOAD EBOOK

Matrix algebra; Determinants, inverse matrices, and rank; Linear, euclidean, and unitary spaces; Linear transformations and matrices; Linear transformations in unitary spaces and simple matrices; The jordan canonical form: a geometric approach; Matrix polynomials and normal forms; The variational method; Functions of matrices; Norms and bounds for eigenvalues; Perturbation theory; Linear matrices equations and generalized inverses; Stability problems; Matrix polynomials; Nonnegative matrices.

Optimal State Estimation
Optimal State Estimation

Author: Dan Simon

Publisher: John Wiley & Sons

Published: 2006-06-19

Total Pages: 554

ISBN-13: 0470045337

DOWNLOAD EBOOK

A bottom-up approach that enables readers to master and apply the latest techniques in state estimation This book offers the best mathematical approaches to estimating the state of a general system. The author presents state estimation theory clearly and rigorously, providing the right amount of advanced material, recent research results, and references to enable the reader to apply state estimation techniques confidently across a variety of fields in science and engineering. While there are other textbooks that treat state estimation, this one offers special features and a unique perspective and pedagogical approach that speed learning: * Straightforward, bottom-up approach begins with basic concepts and then builds step by step to more advanced topics for a clear understanding of state estimation * Simple examples and problems that require only paper and pen to solve lead to an intuitive understanding of how theory works in practice * MATLAB(r)-based source code that corresponds to examples in the book, available on the author's Web site, enables readers to recreate results and experiment with other simulation setups and parameters Armed with a solid foundation in the basics, readers are presented with a careful treatment of advanced topics, including unscented filtering, high order nonlinear filtering, particle filtering, constrained state estimation, reduced order filtering, robust Kalman filtering, and mixed Kalman/H? filtering. Problems at the end of each chapter include both written exercises and computer exercises. Written exercises focus on improving the reader's understanding of theory and key concepts, whereas computer exercises help readers apply theory to problems similar to ones they are likely to encounter in industry. With its expert blend of theory and practice, coupled with its presentation of recent research results, Optimal State Estimation is strongly recommended for undergraduate and graduate-level courses in optimal control and state estimation theory. It also serves as a reference for engineers and science professionals across a wide array of industries.

Combinatorial Kalman Filter and High Level Trigger Reconstruction for the Belle II Experiment
Combinatorial Kalman Filter and High Level Trigger Reconstruction for the Belle II Experiment

Author: Nils Braun

Publisher: Springer

Published: 2019-08-06

Total Pages: 186

ISBN-13: 3030249972

DOWNLOAD EBOOK

Combinatorial Kalman filters are a standard tool today for pattern recognition and charged particle reconstruction in high energy physics. In this thesis the implementation of the track finding software for the Belle II experiment and first studies on early Belle II data are presented. The track finding algorithm exploits novel concepts such as multivariate track quality estimates to form charged trajectory hypotheses combining information from the Belle II central drift chamber with the inner vertex sub-detectors. The eventual track candidates show an improvement in resolution on the parameters describing their spatial and momentum properties by up to a factor of seven over the former legacy implementation. The second part of the thesis documents a novel way to determine the collision event null time T0 and the implementation of optimisation steps in the online reconstruction code, which proved crucial in overcoming the high level trigger limitations.