Maybeck P.S. Stochastic Models, Estimation, and Control. Volume 1

4th ed. — Wiley, 2012. — 397 p. — ISBN: 9780470609699 The Fourth Edition to the Introduction of Random Signals and Applied Kalman Filtering is updated to cover innovations in the Kalman filter algorithm and the proliferation of Kalman filtering applications from the past decade. The text updates both the research advances in variations on the Kalman filter algorithm and adds a...

N.-Y.: Wiley, 2006. — 627 p. Пособие по моделированию динамических систем с использованием фильтров Калмана и родственных статистических методов. Обсуждаются также вопросы робастного оценивания, адаптивной фильтрации, обнаружения выбросов и т.п. Приводятся примеры применения в различных естественно-научных и технических отраслях. Для изучающих современные методы обработки...

5-th ed. Boston: Pearson, 2014. - 913p. The subject of adaptive filters constitutes an important part of statistical signal processing. Whenever there is a requirement to process signals that result from operation in an environment of unknown statistics or one that is inherently nonstationary, the use of an adaptive filter offers a highly attractive solution to the problem as...

Academic Press, 1982. — 311 p. — (Mathematics in Science and Engineering). —ISBN: 0124807038, 9780124807037 This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws. Subsequently, Chapter 14 concentrates attention...

Издательство Academic Press, 1982, -307 pp. As was true of Volume 1, the purpose of this book is twofold. First, it attempts to develop a thorough understanding of the fundamental concepts incorporated in stochastic processes, estimation, and control. Second, and of equal importance, it provides experience and insights into applying the theory to realistic practical problems....

McGraw-Hill, 2002. — 186 p. Решения около 400 задач из всех глав, кроме 12 и 13, 4-го издания книги Папулиса и Пиллая «Вероятность, случайные величины и случайные процессы» (англ.) Papoulis A., S. Unnikrishna Pillai. Probability, Random Variables and Stochastic Processes