Read e-book online Optimal Filtering: Volume I: Filtering of Stochastic PDF

By Vladimir Fomin (auth.)

ISBN-10: 9401062382

ISBN-13: 9789401062381

ISBN-10: 9401153264

ISBN-13: 9789401153263

This e-book is dedicated to an research of a few very important difficulties of mod­ ern filtering conception fascinated about structures of 'any nature with the ability to in step with­ ceive, shop and technique a knowledge and practice it for keep watch over and regulation'. (The above citation is taken from the preface to [27]). although filtering conception is l'argely labored out (and its significant matters resembling the Wiener-Kolmogorov concept of optimum filtering of desk bound procedures and Kalman-Bucy recursive filtering idea became classical) a improvement of the idea is much from whole. loads of fresh task during this region is saw, researchers are attempting regularly to generalize recognized effects, expand them to extra vast periods of techniques, observe and justify extra uncomplicated strategies for processing size info with a purpose to receive extra effective filtering algorithms. As to nonlinear clear out­ ing, it is still a lot as fragmentary. right here a lot development has been made by way of R. L. Stratonovich and his successors within the sector of filtering of Markov techniques. during this quantity an attempt is made to enhance in sure of those matters. The monograph has advanced over decades, coming of age by means of phases. First it was once a magnificent activity of accumulating jointly the majority of the impor­ tant contributions to estimation conception, an realizing and moderniza­ tion of a few of its effects and strategies, with the goal of making use of them to recursive filtering problems.

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Extra resources for Optimal Filtering: Volume I: Filtering of Stochastic Processes

Example text

The signal is a known time function; II. the desired signal depends on a random parameter (St deterministic function of the random parameter x); = St(x) is the III. the desired signal is a stationary time series ({ St} is a stationary time series with the known statistical characteristics). ). 1. 123) we can obtain p(yT I( T 1) = IIPv(Yt - St), p(yT I( T 0) t=1 = IIPv(Yt). T (called a likelihood ratio) from the observational data is 33 Optimal Filtering the most essential. Furthermore, the statistics t1T are compared with the threshold'Y depending on the probability p = P(Ol) of the appearance of the desired signal, and also of the penalty entries to take decision of the presence or absence of a signal.

153) are soluble, but their solution need not be unique. 153) for all y ERN. That is why these inequalities are spoken of as goal, the point y playing the role of a number of the corresponding inequality. J. (-), j = 1, 2, ... ) can be computed at the point col (x, y). If these values are known for all y, there is no problem in identifying the classifier (the recognition system). Indeed, on the above assumptions of the decision hypothesis [w E O .. i) is fulfilled. Given the classified sample of patterns Wl,W2, ...

I)}. 121). 121) can be simplified. Taking Cu = C22 = 0, that is to say well-defined decisions need not be penalized, we obtain y _ { 1 - . p(y I0 .. 1) < C 12 (1- P(O .. y. p(yI02 .. 122) alone depends on the results of measurements referred to as the likelihood ratio. The right hand part of this inequality is y-independent and plays the role of a threshold. Alternative optimality criteria different from the mean risk can be introduced. For example, if the probability of the appearance of a pattern of an ideal image remains unknown, then the minimax criterion is used.

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Optimal Filtering: Volume I: Filtering of Stochastic Processes by Vladimir Fomin (auth.)

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