(ebook math) Kalman Filtering - Theory and Practice Using MATLAB - Mohinder Grewal (Wiley, 2001, 0471392545)

Kalman Filtering

Kalman Filtering:
Theory and Practice
Using MATLAB
Second Edition
MOHINDER S. GREWAL
California State University at Fullerton
ANGUS P. ANDREWS
Rockwell Science Center
A Wiley-Interscience Publication
John Wiley & Sons, Inc.
NEW YORK CHICHESTER WEINHEIM BRISBANE SINGAPORE TORONTO

Copyright #2001 by John Wiley & Sons, Inc. All rights reserved.
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ISBN 0-471-26638-8.
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Contents
PREFACE ix
ACKNOWLEDGMENTS xiii
1 General Information 1
1.1 On Kalman Filtering 1
1.2 On Estimation Methods 5
1.3 On the Notation Used in This Book 20
1.4 Summary 22
Problems 23
2 Linear Dynamic Systems 25
2.1 Chapter Focus 25
2.2 Dynamic Systems 26
2.3 Continuous Linear Systems and Their Solutions 30
2.4 Discrete Linear Systems and Their Solutions 41
2.5 Observability of Linear Dynamic System Models 42
2.6 Procedures for Computing Matrix Exponentials 48
2.7 Summary 50
Problems 53
3 Random Processes and Stochastic Systems 56
3.1 Chapter Focus 56
3.2 Probability and Random Variables 58
3.3 Statistical Properties of Random Variables 66
v