By Professor Charles K. Chui, Dr. Guanrong Chen (auth.)
This ebook provides an intensive dialogue of the mathematical idea of Kalman filtering. The filtering equations are derived in a sequence of trouble-free steps allowing the optimality of the method to be understood. It offers a entire remedy of assorted significant issues in Kalman-filtering concept, together with uncorrelated and correlated noise, coloured noise, steady-state idea, nonlinear structures, structures identity, numerical algorithms, and real-time purposes. a chain of difficulties for the coed, including a whole set of options, also are integrated. the fashion of the publication is casual, and the math straight forward yet rigorous, making it available to all people with a minimum wisdom of linear algebra and structures conception. during this moment variation, as well as a few minor corrections and up-dating, the part on real-time procedure identity has been extended and a quick creation to wavelet research incorporated.