Kalman Filtering
with Real-Time Applications
Authors: Chui, Charles K., Chen, Guanrong
Free Preview- Provides a rigorous and concise introduction to Kalman filtering, now expanded and fully updated in its 5th edition
- Includes many end-of-chapters exercises, as well as a section at the end of the book with solutions and hints
- Also of interest to practitioners with a strong mathematical background who will be building Kalman filters and smoothers
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- About this Textbook
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This new edition presents a thorough discussion of the mathematical theory and computational schemes of Kalman filtering. The filtering algorithms are derived via different approaches, including a direct method consisting of a series of elementary steps, and an indirect method based on innovation projection. Other topics include Kalman filtering for systems with correlated noise or colored noise, limiting Kalman filtering for time-invariant systems, extended Kalman filtering for nonlinear systems, interval Kalman filtering for uncertain systems, and wavelet Kalman filtering for multiresolution analysis of random signals. Most filtering algorithms are illustrated by using simplified radar tracking examples. The style of the book is informal, and the mathematics is elementary but rigorous. The text is self-contained, suitable for self-study, and accessible to all readers with a minimum knowledge of linear algebra, probability theory, and system engineering. Over 100 exercises and problems with solutions help deepen the knowledge. This new edition has a new chapter on filtering communication networks and data processing, together with new exercises and new real-time applications.
- About the authors
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Prof. Dr. Charles K. Chui, Stanford University, Stanford, CA, USA
Prof. Dr. Guanrong Chen, City Univesity Hong Kong, Kowloon, Hong Kong, PR China
- Reviews
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“Kalman filtering (KF) is a wide class of algorithms designed, in words selected from this outstanding book, ‘to obtain an optimal estimate’ of the state of a system from information in the presence of noise. … It is also written to serve as a reference for engineers … . The book has my highest recommendation, and it will reward readers for careful and iterative study of its text and well-designed exercises.” (Computing Reviews, October, 2017)
- Download Preface 1 PDF (60.1 KB)
- Download Sample pages 2 PDF (278.9 KB)
- Download Table of contents PDF (155.7 KB)
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Bibliographic Information
- Bibliographic Information
-
- Book Title
- Kalman Filtering
- Book Subtitle
- with Real-Time Applications
- Authors
-
- Charles K. Chui
- Guanrong Chen
- Copyright
- 2017
- Publisher
- Springer International Publishing
- Copyright Holder
- Springer International Publishing AG
- eBook ISBN
- 978-3-319-47612-4
- DOI
- 10.1007/978-3-319-47612-4
- Hardcover ISBN
- 978-3-319-47610-0
- Softcover ISBN
- 978-3-319-83780-2
- Edition Number
- 5
- Number of Pages
- XVIII, 247
- Number of Illustrations
- 34 b/w illustrations
- Additional Information
- Originally published as volume 17 in the series: Springer Series in Information Sciences
- Topics
