State Estimation for Nonlinear Continuous Discrete Stochastic Systems: Numerical Aspects and Implementation Issues (Studies in Systems, Decision and Control, 539) free ebook download.

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State Estimation for Nonlinear Continuous Discrete Stochastic Systems: Numerical Aspects and Implementation Issues (Studies in Systems, Decision and Control, 539) free ebook download

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Author(s):	Gennady Yu. Kulikov

Date:	2024	Format:	pdf	Language:	English	ISBN/ASIN:	3031613708
Pages:	819	OCR:		Quality:		ISBN13:
Uploader:	topron	Upload Date:	9/13/2024 2:29:15 AM

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3031613708 pdf
This book addresses the problem of accurate state estimation in nonlinear continuous-time stochastic models with additive noise and discrete measurements. Its main focus is on numerical aspects of computation of the expectation and covariance in Kalman-like filters rather than on statistical properties determining a model of the system state. Nevertheless, it provides the sound theoretical background and covers all contemporary state estimation techniques beginning at the celebrated Kalman filter, including its versions extended to nonlinear stochastic models, and till the most advanced universal Gaussian filters with deterministically sampled mean and covariance. In particular, the authors demonstrate that, when applying such filtering procedures to stochastic models with strong nonlinearities, the use of adaptive ordinary differential equation solvers with automatic local and global error control facilities allows the discretization errorand consequently the state estimation errorto be reduced considerably. For achieving that, the variable-stepsize methods with automatic error regulation and stepsize selection mechanisms are applied to treating moment differential equations arisen. The implemented discretization error reduction makes the self-adaptive nonlinear Gaussian filtering algorithms more suitable for application and leads to the novel notion of accurate state estimation.
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Tags: Aspects Continuous Discrete Estimation Implementation Nonlinear Numerical State Stochastic Systems

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