Nonlinear Stochastic Problems

1. Front Matter

   Pages i-xii

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2. Introduction

   1. Front Matter

      Pages 1-1

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   2. Overview of the ASI on Nonlinear Stochastic Problems

      • R. S. Bucy, José M. F. Moura

      Pages 3-5

   3. Appendix

      • Richard S. Bucy, José M. F. Moura

      Pages 7-18

3. Spectral Estimation

   1. Front Matter

      Pages 19-19

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   2. Estimation of Structured Covariance Matrices a Generalization of the Burg Technique

      • John Parker Burg

      Pages 21-39

   3. Classification of Radar Clutter using the Maximum-Entropy Method

      • Simon Haykin

      Pages 41-54

   4. A Simple Approach to High-Resolution Spectral Analysis

      • R. A. Wagstaff, J. L. Berrou

      Pages 55-62

4. Identification

   1. Front Matter

      Pages 63-63

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   2. Estimation of Stochastic Parameters for ARMA Models by Fast Filtering Algorithms

      • G. Alengrin

      Pages 65-78

   3. Convergence Study of Two Real-Time Parameter Estimation Schemes for Nonlinear System

      • Yung-chang Chen

      Pages 79-86

   4. Approximation by a Sum of Complex Exponentials Utilizing the Pencil of Function Method

      • Tapan K. Sarkar, Donald K. Weiner, Vijay K. Jain, Soheil A. Dianat

      Pages 87-100

   5. Minimax Estimation of Arma Systems

      • M. L. S. Teles

      Pages 101-107

5. System Theory

   1. Front Matter

      Pages 109-109

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   2. On the Structure of Minimal Markovian Representations

      • Guy Ruckebusch

      Pages 111-122

   3. A Brief Tutorial on Calculus on Manifolds, with Emphasis on Applications to Identification and Control

      • Christopher I. Byrnes

      Pages 123-150

   4. Role of Multiplicative Non-White Noise in a Nonlinear Surface Catalytic Reaction

      • F. J. de la Rubia, J. Garcia Sanz, M. G. Velarde

      Pages 151-159

6. Adaptive / Stochastic Control

   1. Front Matter

      Pages 161-161

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   2. Geometric Aspects of the Convergence Analysis of Identification Algorithms

      • Christopher I. Byrnes

      Pages 163-186

   3. Multivariable Adaptive Regulators Based on Multistep Quadratic Cost Functionals

      • Edoardo Mosca

      Pages 187-204

This volume corresponds to the invited lectures and advanced research papers presented at the NATD Advanced Study Institute on Nonlinear Stochastic Problems with emphasis on Identification, Signal Processing, Control and Nonlinear Filtering held in Algarve (Portugal), on May 1982. The book is a blend of theoretical issues, algorithmic implementation aspects, and application examples. In many areas of science and engineering, there are problems which are intrinsically nonlinear 3nd stochastic in nature. Clear examples arise in identification and mOdeling, signal processing, nonlinear filtering, stochastic and adaptive conLrol. The meeting was organized because it was felt that there is a need for discussion of the methods and philosophy underlying these different areas, and in order to communicate those approaches that have proven to be effective. As the computational technology progresses, more general approaches to a number of problems which have been treated previously by linearization and perturbation methods become feasible and rewarding.

• Estimator
• Hilbert space
• Maximum
• Minimum
• Variance
• calculus
• differential equation

• Department of Aerospace Engineering, University of Southern California, Los Angeles, USA

  Richard S. Bucy

• Department of Electrical Engineering, Instituto Superior Técnico, Lisbon, Portugal

  José M. F. Moura

Policies and ethics