Lewis / Xie / Popa Optimal and Robust Estimation

With an Introduction to Stochastic Control Theory, Second Edition
2. Auflage 2007
ISBN: 978-1-4200-0829-6
Verlag: Taylor & Francis
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 552 Seiten

Reihe: Automation and Control Engineering

More than a decade ago, world-renowned control systems authority Frank L. Lewis introduced what would become a standard textbook on estimation, under the title Optimal Estimation, used in top universities throughout the world. The time has come for a new edition of this classic text, and Lewis enlisted the aid of two accomplished experts to bring the book completely up to date with the estimation methods driving today's high-performance systems.

A Classic Revisited
Optimal and Robust Estimation: With an Introduction to Stochastic Control Theory, Second Edition reflects new developments in estimation theory and design techniques. As the title suggests, the major feature of this edition is the inclusion of robust methods. Three new chapters cover the robust Kalman filter, H-infinity filtering, and H-infinity filtering of discrete-time systems.

Modern Tools for Tomorrow's Engineers
This text overflows with examples that highlight practical applications of the theory and concepts. Design algorithms appear conveniently in tables, allowing students quick reference, easy implementation into software, and intuitive comparisons for selecting the best algorithm for a given application. In addition, downloadable MATLAB® code allows students to gain hands-on experience with industry-standard software tools for a wide variety of applications.

This cutting-edge and highly interactive text makes teaching, and learning, estimation methods easier and more modern than ever.

Zielgruppe

Senior undergraduate and first-year graduate students taking a first course on estimation; researchers and professional engineers in control, systems, communications, aerospace, electrical, computer, robotics, automotive, and industrial engineering.

Autoren/Hrsg.

Lewis, Frank L.

Xie, Lihua

Popa, Dan

Fachgebiete

• Technische Wissenschaften Energietechnik | Elektrotechnik Elektrotechnik
• Technische Wissenschaften Maschinenbau | Werkstoffkunde Maschinenbau

Inhaltsverzeichnis

OPTIMAL ESTIMATION
Classical Estimation Theory
Mean-Square Estimation

Maximum-Likelihood Estimation

The Cramer-Rao Bound

Recursive Estimation

Wiener Filtering
Problems
Discrete-Time Kalman Filter
Deterministic State Observer

Linear Stochastic Systems

The Discrete-Time Kalman Filter

Discrete Measurements of Continuous-Time Systems
Error Dynamics and Statistical Steady State

Frequency Domain Results

Correlated Noise and Shaping Filters

Optimal Smoothing
Problems
Continuous-Time Kalman Filter
Derivation from Discrete Kalman Filter

Some Examples

Derivation from Wiener-Hopf Equation

Error Dynamics and Statistical Steady State

Frequency Domain Results

Correlated Noise and Shaping Filters

Discrete Measurements of Continuous-Time Systems

Optimal Smoothing
Problems
Kalman Filter Design and Implementation
Modeling Errors, Divergence, and Exponential Data Weighting

Reduced-Order Filters and Decoupling

Using Suboptimal Gains

Scalar Measurement Updating
Problems
Estimation for Nonlinear Systems
Update of the Hyperstate

General Update of Mean and Covariance

Extended Kalman Filter

Application to Robotics and Adaptive Sampling
Problems
ROBUST ESTIMATION
Robust Kalman Filter
Systems with Modeling Uncertainties

Robust Finite Horizon Kalman A Priori Filter

Robust Stationary Kalman A Priori Filter

Convergence Analysis
Linear Matrix Inequality Approach

Robust Kalman Filtering for Continuous-Time Systems
Problems
H-Infinity Filtering of Continuous-Time Systems
H-Infinity Filtering Problem

Finite Horizon H-Infinity Linear Filter

Characterization of All Finite Horizon H-Infinity Linear Filters

Stationary H-Infinity Filter-Riccati Equation Approach

Relationship with the Kalman Filter

Convergence Analysis

H-Infinity Filtering for a Special Class of Signal Models

Stationary H-Infinity Filter-Linear Matrix Inequality Approach
Problems
H-Infinity Filtering of Discrete-Time Systems
Discrete-Time H-Infinity Filtering Problem

H-Infinity A Priori Filter

H-Infinity A Posteriori Filter

Polynomial Approach to H-Infinity Estimation

J-Spectral Factorization

Applications in Channel Equalization
Problems
OPTIMAL STOCHASTIC CONTROL
Stochastic Control for State Variable Systems
Dynamic Programming Approach

Continuous-Time Linear Quadratic Gaussian Problem
Discrete-Time Linear Quadratic Gaussian Problem
Problems
Stochastic Control for Polynomial Systems
Polynomial Representation of Stochastic Systems

Optimal Prediction

Minimum Variance Control

Polynomial Linear Quadratic Gaussian Regulator
Problems
Appendix A: Review of Matrix Algebra
Basic Definitions and Facts

Partitioned Matrices

Quadratic Forms and Definiteness

Matrix Calculus
References
Index