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Smoothing, Filtering and Prediction - Estimating The Past, Present and Future

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ISBN: 9789533077529 Year: Pages: 288 DOI: 10.5772/2706 Language: English
Publisher: IntechOpen
Subject: Mathematics
Added to DOAB on : 2019-10-03 07:51:48

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This book describes the classical smoothing, filtering and prediction techniques together with some more recently developed embellishments for improving performance within applications. It aims to present the subject in an accessible way, so that it can serve as a practical guide for undergraduates and newcomers to the field. The material is organised as a ten-lecture course. The foundations are laid in Chapters 1 and 2, which explain minimum-mean-square-error solution construction and asymptotic behaviour. Chapters 3 and 4 introduce continuous-time and discrete-time minimum-variance filtering. Generalisations for missing data, deterministic inputs, correlated noises, direct feedthrough terms, output estimation and equalisation are described. Chapter 5 simplifies the minimum-variance filtering results for steady-state problems. Observability, Riccati equation solution convergence, asymptotic stability and Wiener filter equivalence are discussed. Chapters 6 and 7 cover the subject of continuous-time and discrete-time smoothing. The main fixed-lag, fixed-point and fixed-interval smoother results are derived. It is shown that the minimum-variance fixed-interval smoother attains the best performance. Chapter 8 attends to parameter estimation. As the above-mentioned approaches all rely on knowledge of the underlying model parameters, maximum-likelihood techniques within expectation-maximisation algorithms for joint state and parameter estimation are described. Chapter 9 is concerned with robust techniques that accommodate uncertainties within problem specifications. An extra term within Riccati equations enables designers to trade-off average error and peak error performance. Chapter 10 rounds off the course by applying the afore-mentioned linear techniques to nonlinear estimation problems. It is demonstrated that step-wise linearisations can be used within predictors, filters and smoothers, albeit by forsaking optimal performance guarantees.

Advances in Wavelet Theory and Their Applications in Engineering, Physics and Technology

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ISBN: 9789535104940 Year: Pages: 648 DOI: 10.5772/2668 Language: English
Publisher: IntechOpen
Subject: Computer Science
Added to DOAB on : 2019-10-03 09:47:09

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The use of the wavelet transform to analyze the behaviour of the complex systems from various fields started to be widely recognized and applied successfully during the last few decades. In this book some advances in wavelet theory and their applications in engineering, physics and technology are presented. The applications were carefully selected and grouped in five main sections - Signal Processing, Electrical Systems, Fault Diagnosis and Monitoring, Image Processing and Applications in Engineering. One of the key features of this book is that the wavelet concepts have been described from a point of view that is familiar to researchers from various branches of science and engineering. The content of the book is accessible to a large number of readers.

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