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AuthorCatlin, Donald E. author
TitleEstimation, Control, and the Discrete Kalman Filter [electronic resource] / by Donald E. Catlin
ImprintNew York, NY : Springer New York, 1989
Connect tohttp://dx.doi.org/10.1007/978-1-4612-4528-5
Descript XIV, 276 p. online resource

SUMMARY

In 1960, R. E. Kalman published his celebrated paper on recursive minยญ imum variance estimation in dynamical systems [14]. This paper, which introduced an algorithm that has since been known as the discrete Kalman filter, produced a virtual revolution in the field of systems engineering. Today, Kalman filters are used in such diverse areas as navigation, guidยญ ance, oil drilling, water and air quality, and geodetic surveys. In addition, Kalman's work led to a multitude of books and papers on minimum variยญ ance estimation in dynamical systems, including one by Kalman and Bucy on continuous time systems [15]. Most of this work was done outside of the mathematics and statistics communities and, in the spirit of true academic parochialism, was, with a few notable exceptions, ignored by them. This text is my effort toward closing that chasm. For mathematics students, the Kalman filtering theorem is a beautiful illustration of functional analysis in action; Hilbert spaces being used to solve an extremely important problem in applied mathematics. For statistics students, the Kalman filter is a vivid example of Bayesian statistics in action. The present text grew out of a series of graduate courses given by me in the past decade. Most of these courses were given at the University of Masยญ sachusetts at Amherst


CONTENT

1 Basic Probability -- 1.1. Definitions -- 1.2. Probability Distributions and Densities -- 1.3. Expected Value, Covariance -- 1.4. Independence -- 1.5. The Radonโ{128}{148}Nikodym Theorem -- 1.6. Continuously Distributed Random Vectors -- 1.7. The Matrix Inversion Lemma -- 1.8. The Multivariate Normal Distribution -- 1.9. Conditional Expectation -- 1.10. Exercises -- 2 Minimum Variance Estimationโ{128}{148}How the Theory Fits -- 2.1. Theory Versus Practiceโ{128}{148}Some General Observations -- 2.2. The Genesis of Minimum Variance Estimation -- 2.3. The Minimum Variance Estimation Problem -- 2.4. Calculating the Minimum Variance Estimator -- 2.5. Exercises -- 3 The Maximum Entropy Principle -- 3.1. Introduction -- 3.2. The Notion of Entropy -- 3.3. The Maximum Entropy Principle -- 3.4. The Prior Covariance Problem -- 3.5. Minimum Variance Estimation with Prior Covariance -- 3.6. Some Criticisms and Conclusions -- 3.7. Exercises -- 4 Adjoints, Projections, Pseudoinverses -- 4.1. Adjoints -- 4.2. Projections -- 4.3. Pseudoinverses -- 4.4. Calculating the Pseudoinverse in Finite Dimensions -- 4.5. The Grammian -- 4.6. Exercises -- 5 Linear Minimum Variance Estimation -- 5.1. Reformulation -- 5.2. Linear Minimum Variance Estimation -- 5.3. Unbiased Estimators, Affine Estimators -- 5.4. Exercises -- 6 Recursive Linear Estimation (Bayesian Estimation) -- 6.1. Introduction -- 6.2. The Recursive Linear Estimator -- 6.3. Exercises -- 7 The Discrete Kalman Filter -- 7.1. Discrete Linear Dynamical Systems -- 7.2. The Kalman Filter -- 7.3. Initialization, Fisher Estimation -- 7.4. Fisher Estimation with Singular Measurement Noise -- 7.5. Exercises -- 8 The Linear Quadratic Tracking Problem -- 8.1. Control of Deterministic Systems -- 8.2. Stochastic Control with Perfect Observations -- 8.3. Stochastic Control with Imperfect Measurement -- 8.4. Exercises -- 9 Fixed Interval Smoothing -- 9.1. Introduction -- 9.2. The Rauch, Tung, Streibel Smoother -- 9.3. The Two-Filter Form of the Smoother -- 9.4. Exercises -- Appendix A Construction Measures -- Appendix B Two Examples from Measure Theory -- Appendix C Measurable Functions -- Appendix D Integration -- Appendix E Introduction to Hilbert Space -- Appendix F The Uniform Boundedness Principle and Invertibility of Operators


Engineering System theory Calculus of variations Statistics Applied mathematics Engineering mathematics Control engineering Robotics Mechatronics Automation Engineering Robotics and Automation Statistics general Systems Theory Control Calculus of Variations and Optimal Control; Optimization Appl.Mathematics/Computational Methods of Engineering Control Robotics Mechatronics



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