Kniha Linear Stochastic Systems Anders Lindquist

Linear Stochastic Systems

A Geometric Approach to Modeling, Estimation and Identification

Jazyk: Angličtina
Väzba: Pevná
Dostupnosť: Skladom u dodávateľa v malom množstve
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This book presents a treatise on the theory and modeling of second-order stationary processes, inclu...

Informácie o knihe

Jazyk
Angličtina
Väzba
Kniha - Pevná
Vydalo
2015
Stránok
781
EAN
9783662457498
ISBN
3662457490
Enbook ID
09090491
Hmotnosť
1316
Rozmery
246 x 170 x 46

Kompletný popis

This book presents a treatise on the theory and modeling of second-order stationary processes, including an exposition on selected application areas that are important in the engineering and applied sciences. The foundational issues regarding stationary processes dealt with in the beginning of the book have a long history, starting in the 1940s with the work of Kolmogorov, Wiener, Cramér and his students, in particular Wold, and have since been refined and complemented by many others. Problems concerning the filtering and modeling of stationary random signals and systems have also been addressed and studied, fostered by the advent of modern digital computers, since the fundamental work of R.E. Kalman in the early 1960s. The book offers a unified and logically consistent view of the subject based on simple ideas from Hilbert space geometry and coordinate-free thinking. In this framework, the concepts of stochastic state space and state space modeling, based on the notion of the conditional independence of past and future flows of the relevant signals, are revealed to be fundamentally unifying ideas. The book, based on over 30 years of original research, represents a valuable contribution that will inform the fields of stochastic modeling, estimation, system identification, and time series analysis for decades to come. It also provides the mathematical tools needed to grasp and analyze the structures of algorithms in stochastic systems theory.

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