The Springer International Series in Engineering and Computer Science

Fixed Interval Smoothing for State Space Models

Authors: Weinert, Howard

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  • ISBN 978-1-4615-1691-0
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Hardcover $169.99
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Softcover $119.99
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  • ISBN 978-1-4613-5680-6
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About this book

Fixed-interval smoothing is a method of extracting useful information from inaccurate data. It has been applied to problems in engineering, the physical sciences, and the social sciences, in areas such as control, communications, signal processing, acoustics, geophysics, oceanography, statistics, econometrics, and structural analysis.
This monograph addresses problems for which a linear stochastic state space model is available, in which case the objective is to compute the linear least-squares estimate of the state vector in a fixed interval, using observations previously collected in that interval. The author uses a geometric approach based on the method of complementary models. Using the simplest possible notation, he presents straightforward derivations of the four types of fixed-interval smoothing algorithms, and compares the algorithms in terms of efficiency and applicability. Results show that the best algorithm has received the least attention in the literature.
Fixed Interval Smoothing for State Space Models:

  • includes new material on interpolation, fast square root implementations, and boundary value models;
  • is the first book devoted to smoothing;
  • contains an annotated bibliography of smoothing literature;
  • uses simple notation and clear derivations;
  • compares algorithms from a computational perspective;
  • identifies a best algorithm.
Fixed Interval Smoothing for State Space Models will be the primary source for those wanting to understand and apply fixed-interval smoothing: academics, researchers, and graduate students in control, communications, signal processing, statistics and econometrics.

Reviews

`In the reviewer's opinion, this monograph is pioneering in a fascinating and relatively new field of research. It should prove useful to people working in control theory and doing research on smoothing, and for those who want to choose a smoothing algorithm for a particular application.'
Zdzislaw W. Trzaska, American Mathematical Society

Table of contents (5 chapters)

Table of contents (5 chapters)

Buy this book

eBook $89.00
price for USA in USD (gross)
  • ISBN 978-1-4615-1691-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $169.99
price for USA in USD
  • ISBN 978-0-7923-7299-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $119.99
price for USA in USD
  • ISBN 978-1-4613-5680-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Fixed Interval Smoothing for State Space Models
Authors
Series Title
The Springer International Series in Engineering and Computer Science
Series Volume
609
Copyright
2001
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4615-1691-0
DOI
10.1007/978-1-4615-1691-0
Hardcover ISBN
978-0-7923-7299-8
Softcover ISBN
978-1-4613-5680-6
Series ISSN
0893-3405
Edition Number
1
Number of Pages
X, 119
Topics