Kalman filtering: with real-time applications.

MaRDI QIDQ1188992zbMATH OpenFDO

Authors Charles K. Chui, Guanrong Chen

Publication date 18 September 1992

Published in Springer Series in Information Sciences (Search for Journal in Brave)

zbMATH Keywords

colored noisesdiscrete Kalman-filteringextended Kalman filterorder reductionorthogonal projection methodsRiccati equationwavelets

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Filtering in stochastic control theory (93E11)

Review text

[For a review of the first edition (1987) see Zbl 0636.93070.] In addition to making a number of minor corrections and updating the references, we have expanded the section on ``real-time system identification in Chapter 10 of the first edition into two sections and combined it with Chapter 8. In its place, a very brief introduction to wavelet analysis is included in Chapter 10. Although the pyramid algorithms for wavelet decompositions and reconstructions are quite different from the Kalman filtering algorithms, they can also be applied to time-domain filtering, and it is hoped that splines and wavelets can be incorporated with Kalman filtering in the near future.

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Cited in

(10)

• A Monte Carlo method for filtering a marked doubly stochastic Poisson process
• Real-time simultaneous estimation and decomposition of random signals
• Dynamic observers for unknown populations
• On-line discontinuities identification in noisy signals: Application to Kalman filtering
• Real‐time trajectory resolution for a two‐manipulator machining system
• An Adaptive Extended Kalman Filter with Application to Compartment Models
• Modified extended Kalman filtering for supervised learning
• An empirical analysis of consumption and current account in an intertemporal stochastic model
• Remote secure fusion estimation of cyber-physical systems under false data injection attacks
• Covariance regulation based invariant Kalman filtering for attitude estimation on matrix Lie groups

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