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Kalman Filtering

with Real-Time Applications

  • Charles K. Chui
  • Guanrong Chen

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Charles K. Chui, Guanrong Chen
    Pages 1-18
  3. Charles K. Chui, Guanrong Chen
    Pages 19-31
  4. Charles K. Chui, Guanrong Chen
    Pages 33-49
  5. Charles K. Chui, Guanrong Chen
    Pages 51-68
  6. Charles K. Chui, Guanrong Chen
    Pages 69-79
  7. Charles K. Chui, Guanrong Chen
    Pages 81-100
  8. Charles K. Chui, Guanrong Chen
    Pages 101-113
  9. Charles K. Chui, Guanrong Chen
    Pages 115-137
  10. Charles K. Chui, Guanrong Chen
    Pages 139-149
  11. Charles K. Chui, Guanrong Chen
    Pages 151-170
  12. Charles K. Chui, Guanrong Chen
    Pages 171-183
  13. Charles K. Chui, Guanrong Chen
    Pages 185-195
  14. Charles K. Chui, Guanrong Chen
    Pages 197-208
  15. Back Matter
    Pages 209-247

About this book

Introduction

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.

Keywords

Algorithm Dynamic System Algorithm Noisy Data Algorithm Remote Tracking System Algorithm Satellite Navigation Control Theory Navigation Control Theory Positioning Filtering Communication Networks Filtering Nonlinear Systems Textbook Chui Textbook Kalman Filtering

Authors and affiliations

  • Charles K. Chui
    • 1
  • Guanrong Chen
    • 2
  1. 1.Department of StatisticsStanford UniversityStanfordUSA
  2. 2.Department of Electronic EngineeringCity University of Hong KongHong KongChina

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-47612-4
  • Copyright Information Springer International Publishing AG 2017
  • Publisher Name Springer, Cham
  • eBook Packages Physics and Astronomy
  • Print ISBN 978-3-319-47610-0
  • Online ISBN 978-3-319-47612-4
  • Buy this book on publisher's site