Nonlinear Filtering

Jitendra R. Raol, Ph.D., is an Emeritus Professor at the Ramaiah Institute of Technology in Bangalore, India. He previously served at the National Aerospace Laboratories (NAL), as Scientist-G and head of the Flight Mechanics and Control Division (FMCD). He was elected a fellow of the IEE (UK), was a senior member of the IEEE (US), is a life-fellow of the Aeronautical Society of India, and a life member of the System Society of India. Mrs. Dr. Girija, G. is a former senior scientist from CSIR-NAL, Bangalore. She was selected to participate in the Science Technology & Innovation Policy (STIP) Executive Education Program at the John F. Kennedy School of Government, Harvard University, USA sponsored by the Indo-US Science & Technology Forum (IUSSTF), April 8-23, 2008. Professor Bhekisipho Twala is a professor of artificial intelligence and statistical sciences, and head of the Department of Electrical and Electronic Engineering Science at the Johannesburg University, South Africa.

Preface

Acknowledgements

Authors

Introduction

Section I Mathematical Models, Kalman Filtering and H-Infinity Filters

1. Dynamic System Models and Basic Concepts

2. Filtering and Smoothing

3. H∞ Filtering

4. Adaptive Filtering

Section II Factorization and Approximation Filters

5. Factorization Filtering

6. Approximation Filters for Nonlinear Systems

7. Generalized Model Error Estimators for Nonlinear Systems

Section III Nonlinear Filtering, Estimation and Implementation Approaches

8. Nonlinear Estimation and Filtering

9. Nonlinear Filtering Based on Characteristic Functions

10. Implementation Aspects of Nonlinear Filters

11. Nonlinear Parameter Estimation

12. Nonlinear Observers

Section IV Appendixes – Basic Concepts and Supporting Material

Appendix A: System Theoretic Concepts – Controllability, Observability, Identifiability and Estimability

Appendix B: Probability, Stochastic Processes and Stochastic Calculus

Appendix C: Bayesian Filtering

Appendix D: Girsanov Theorem

Appendix E: Concepts from Signal and Stochastic Analyses

Appendix F: Notes on Simulation and Some Algorithms

Appendix G: Additional Examples

Index