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Viser: Fundamentals of Stochastic Filtering

Fundamentals of Stochastic Filtering
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Fundamentals of Stochastic Filtering Vital Source e-bog

Alan Bain og Dan Crisan
(2008)
Springer Nature
897,00 kr.
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Fundamentals of Stochastic Filtering

Fundamentals of Stochastic Filtering

Alan Bain og Dan Crisan
(2008)
Sprog: Engelsk
Springer New York
1.523,00 kr.
Print on demand. Leveringstid vil være ca 2-3 uger.

Detaljer om varen

  • Vital Source searchable e-book (Fixed pages)
  • Udgiver: Springer Nature (Oktober 2008)
  • Forfattere: Alan Bain og Dan Crisan
  • ISBN: 9780387768960
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.
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Detaljer om varen

  • Hardback: 380 sider
  • Udgiver: Springer New York (Oktober 2008)
  • Forfattere: Alan Bain og Dan Crisan
  • ISBN: 9780387768953

This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Filtering Theory.- The Stochastic Process '.- The Filtering Equations.- Uniqueness of the Solution to the Zakai and the Kushner-Stratonovich Equations.- The Robust Representation Formula.- Finite-Dimensional Filters.- The Density of the Conditional Distribution of the Signal.- Numerical Algorithms.- Numerical Methods for Solving the Filtering Problem.- A Continuous Time Particle Filter.- Particle Filters in Discrete Time.
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