Optimal State Estimation - Dan Simon

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Auteur(s) : Dan Simon

Editeur : John Wiley & Sons

Langue : Anglais

Parution : 01/06/2006

Format : Moyen, de 350g à 1kg

Nombre de pages : 552.0

Nombre de livres : 1

Expédition : 2390

ISBN : 9780471708582

Résumé :

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?-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. A solutions manual is available for instructors.

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.

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Sommaire:
Acknowledgments.

Acronyms.

List of algorithms.

Introduction.

PART I INTRODUCTORY MATERIAL.

1 Linear systems theory.

1.1 Matrix algebra and matrix calculus.

1.1.1 Matrix algebra.

1.1.2 The matrix inversion lemma.

1.1.3 Matrix calculus.

1.1.4 The history of matrices.

1.2 Linear systems.

1.3 Nonlinear systems.

1.4 Discretization.

1.5 Simulation.

1.5.1 Rectangular integration.

1.5.2 Trapezoidal integration.

1.5.3 RungeKutta integration.

1.6 Stability.

1.6.1 Continuous-time systems.

1.6.2 Discretetime systems.

1.7 Controllability and observability.

1.7.1 Controllability.

1.7.2 Observability.

1.7.3 Stabilizability and detectability.

1.8 Summary.

Problems.

2 Probability theory.

2.1 Probability.

2.2 Random variables.

2.3 Transformations of random variables.

2.4 Multiple random variables.

2.4.1 Statistical independence.

2.4.2 Multivariate statistics.

2.5 Stochastic Processes.

2.6 White noise and colored noise.

2.7 Simulating correlated noise.

2.8 Summary.

Problems.

3 Least squares estimation.

3.1 Estimation of a constant.

3.2 Weighted least squares estimation.

3.3 Recursive least squares estimation.

3.3.1 Alternate estimator forms.

3.3.2 Curve fitting.

3.4 Wiener filtering.

3.4.1 Parametric filter optimization.

3.4.2 General filter optimization.

3.4.3 Noncausal filter optimization.

3.4.4 Causal filter optimization.

3.4.5 Comparison.

3.5 Summary.

Problems.

4 Propagation of states and covariances.

4.1 Discretetime systems.

4.2 Sampled-data systems.

4.3 Continuous-time systems.

4.4 Summary.

Problems.

PART II THE KALMAN FILTER.

5 The discrete-time Kalman filter.

5.1 Derivation of the discrete-time Kalman filter.

5.2 Kalman filter properties.

5.3 One-step Kalman filter equations.

5.4 Alternate propagation of covariance.

5.4.1 Multiple state systems.

5.4.2 Scalar systems.

5.5 Divergence issues.

5.6 Summary.

Problems.

6 Alternate Kalman filter formulations.

6.1 Sequential Kalman filtering.

6.2 Information filtering.

6.3 Square root filtering.

6.3.1 Condition number.

6.3.2 The square root time-update equation.

6.3.3 Potter's square root measurement-update equation.

6.3.4 Square root measurement update via triangularization.

6.3.5 Algorithms for orthogonal transformations.

6.4 U-D filtering.

6.4.1 U-D filtering: The measurement-update equation.

6.4.2 U-D filtering: The time-update equation.

6.5 Summary.

Problems.

7 Kalman filter generalizations.

7.1 Correlated process and measurement noise.

7.2 Colored process and measurement noise.

7.2.1 Colored process noise.

7.2.2 Colored measurement noise: State augmentation.

7.2.3 Colored measurement noise: Measurement differencing.

7.3 Steady-state filtering.

7.3.1 a-P filtering.

7.3.2 a-P-y filtering.

7.3.3 A Hamiltonian approach to steady-state filtering.

7.4 Kalman filtering with fading memory.

7.5 Constrained Kalman filtering.

7.5.1 Model reduction.

7.5.2 Perfect measurements.

7.5.3 Projection approaches.

7.5.4 A pdf truncation approach.

7.6 Summary.

Problems.

8 The continuous-time Kalman filter.

8.1 Discrete-time and continuo...