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Filtering and smoothing methods are used to produce an accurate estimate of the state of a time-varying system based on multiple observational inputs (data). Interest in these methods has exploded in recent years, with numerous applications emerging in fields such as navigation, aerospace engineering, telecommunications and medicine. This compact, informal introduction for graduate students and advanced undergraduates presents the current state-of-the-art filtering and smoothing methods in a unified Bayesian framework. Readers learn what non-linear Kalman filters and particle filters are, how they are related, and their relative advantages and disadvantages. They also discover how state-of-the-art Bayesian parameter estimation methods can be combined with state-of-the-art filtering and smoothing algorithms. The book's practical and algorithmic approach assumes only modest mathematical prerequisites. Examples include MATLAB computations, and the numerous end-of-chapter exercises include computational assignments. MATLAB/GNU Octave source code is available for download at www.cambridge.org/sarkka, promoting hands-on work with the methods.Read more
- The first book to draw together estimation, smoothing and Monte Carlo methods
- Examples and exercises demonstrate practical use of the algorithms
- Matlab code is available for download, allowing readers hands-on work with the methods
13th Apr 2017 by Wanghs
this is a very professional book about Bayesian filtering and Smoothing .
Review was not posted due to profanity×
- Date Published: October 2013
- format: Hardback
- isbn: 9781107030657
- length: 254 pages
- dimensions: 229 x 152 x 18 mm
- weight: 0.54kg
- contains: 55 b/w illus. 60 exercises
- availability: Available
Table of Contents
Symbols and abbreviations
1. What are Bayesian filtering and smoothing?
2. Bayesian inference
3. Batch and recursive Bayesian estimation
4. Bayesian filtering equations and exact solutions
5. Extended and unscented Kalman filtering
6. General Gaussian filtering
7. Particle filtering
8. Bayesian smoothing equations and exact solutions
9. Extended and unscented smoothing
10. General Gaussian smoothing
11. Particle smoothing
12. Parameter estimation
Appendix: additional material
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