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  3. Stochastic Dynamics, Filtering and Optimization
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  • Publisher:
    Cambridge University Press
    Publication date:
    February 2018
    January 2017
    ISBN:
    9781316863107
    9781107182646
    DOI:
    https://doi.org/10.1017/9781316863107
    Dimensions:
    (244 x 170 mm)
    Weight & Pages:
    1.32kg, 742 Pages
    Dimensions:
    Weight & Pages:
    • Subjects:
    Engineering, Control Systems and Optimisation, Probability Theory and Stochastic Processes, Statistics and Probability
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    Subjects:
    Engineering, Control Systems and Optimisation, Probability Theory and Stochastic Processes, Statistics and Probability
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    Book description

    Targeted at graduate students, researchers and practitioners in the field of science and engineering, this book gives a self-contained introduction to a measure-theoretic framework in laying out the definitions and basic concepts of random variables and stochastic diffusion processes. It then continues to weave into a framework of several practical tools and applications involving stochastic dynamical systems. These include tools for the numerical integration of such dynamical systems, nonlinear stochastic filtering and generalized Bayesian update theories for solving inverse problems and a new stochastic search technique for treating a broad class of non-convex optimization problems. MATLAB® codes for all the applications are uploaded on the companion website.

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