Stochastic systems : the mathematics of filtering and identification and applications : proceedings of the NATO Advanced Study Institute, held at Les Arcs, Savoie, France, June 22-July 5, 1980

edited by Michiel Hazewinkel and Jan C. Willems

Proceedings of the NATO Advanced Study Institute, Les Arcs, Savoie, France, June 22-July 5, 1980

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[目次]

  • 1. The Main Themes of the ASI "Stochastic Systems": The Mathematics of Filtering and Identification and Applications.- 1.1. Introduction: An Annotated Navigation Chart and Sketch of the Main Themes in This Volume and their Interrelations.- 2. Introductory Tutorial Material for Identification and Filtering Problems.- 2.1. The LQG-Problem: A Brief Tutorial Exposition.- 2.2. A Tutorial Article on the Ito Integral and the Stochastic Calculus.- 2.3. An Introduction to Nonlinear Filtering.- 2.4. A Tutorial Introduction to Differentiable Manifolds and Vector Fields.- 2.5. A Short Tutorial on Lie Algebras.- 3. Foundations of Stochastic Systems and Modeling Issues and Applications.- 3.1. Mathematical Models of Chemical Reactions.- 3.2. Qualitative Theory of Real Noise Excited Systems.- 3.3. Stochastic Models of Computer Networks.- 3.4. State Space Models for Gaussian Stochastic Processes.- 3.5. Ergodic Theory of Linear Parameter-excited systems.- 4. Identification.- 4.1. System Identification.- 4.2. Recursive Identification.- 4.3. The Properties of the Parameterization of ARMAX Systems in Structural Specification and their Relevance for Estimation.- 4.4. Tests of Adequacy for ARMA Models and Tests of Separated Hypotheses.- 4.5. Some Nonlinear Filtering Problems Arising in Recursive Identification.- 5. Linear Filtering.- 5.1. Some Topics in Linear Estimation.- 5.2. Inverse Scattering and Linear Prediction, the Time Continuous Case.- 5.3. Harmonic Analysis and the Mathematics behind Filtering and Prediction (d'apres P. Cartier d'apres N. Wiener, A. N. Kolmogorov) Abstract only.- 6. Adaptive Control.- 6.1. Deterministic and Stochastic Model Reference Adaptive Control.- 6.2. Adaptive Control of Systems Subject to a Class of Random Parameter Variations and Disturbances.- 6.3. On Stochastic Self-Tuning Methods.- 7. Nonlinear Filtering.- 7.1. Nonlinear systems and Nonlinear Estimation Theory.- 7.2. Non-linear Filtering and Stochastic Mechanics.- 7.3. Pathwise Non-linear Filtering.- 7.4. Non-linear Filtering, Prediction and Smoothing.- 7.5. Estimation Problems with Low Dimensional Filters.- 7.6. Group Invariance Methods in Nonlinear Filtering of Diffusion Processes.- 7.7. Asymptotic Bounds on the Minimal Error of Non-linear Filtering.- 7.8. An Approximation to Optical Nonlinear Filtering with Discontinuous Observations.- 7.9. Some Results and Speculations on the Role of Lie Algebras in Filtering.- 7.10. Deterministic Estimation and Asymptotic Stochastic Estimation.- 7.11. Non-linear Filtering Equation and a Problem of Parametric Estimation.- 7.12. Regularity of Conditional Laws in Non-linear Filtering Theory and Stochastic Calculus of Variations.- 7.13. Finite Dimensional Estimation Algebras in Nonlinear Filtering.- 7.14. Rigorous Results on the Cubic Sensor Problem.- 7.15. A Footnote to the Papers which Prove the Non-Existence of Finite Dimensional Filters.- List of Other Contributed Papers.- List of Participants.

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この本の情報

書名 Stochastic systems : the mathematics of filtering and identification and applications : proceedings of the NATO Advanced Study Institute, held at Les Arcs, Savoie, France, June 22-July 5, 1980
著作者等 Hazewinkel, Michiel
NATO Advanced Study Institute on Gauge Theory and the Early Universe
North Atlantic Treaty Organization. Scientific Affairs Division
Willems, Jan C.
Williams J.C.
シリーズ名 NATO advanced study institutes series
出版元 D. Reidel Pub. Co.
刊行年月 c1981
版表示 annotated ed
ページ数 xi, 663 p.
大きさ 25 cm
ISBN 9027713308
NCID BA00220995
※クリックでCiNii Booksを表示
言語 英語
出版国 オランダ
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