Stochastic dynamics, filtering and optimization

by Roy, Debasish Kumar

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Title Statements

Full title :Stochastic dynamics, filtering and optimization / Debasish Roy, G. Visweswara Rao.

Summary

Targeted at graduate students, researchers and practitioners in the field of science and engineering, this book gives a self-contained introduction to a measure-theoretic framework in laying out the definitions and basic concepts of random variables and stochastic diffusion processes. It then continues to weave into a framework of several practical tools and applications involving stochastic dynamical systems. These include tools for the numerical integration of such dynamical systems, nonlinear stochastic filtering and generalized Bayesian update theories for solving inverse problems and a new stochastic search technique for treating a broad class of non-convex optimization problems. MATLAB® codes for all the applications are uploaded on the companion website.

Edition Statements

Publication Date:©2017

Publication Statements

Publisher(s):Cambridge University Press
Place of Publication:Cambridge
Language:eng
Publication Date:©2017

The Physical Object

Description:1 online resource (xxxvii, 709 pages) : : illustrations

Edition Identifiers

ISBN:9781316863107, 1316863107
oclc:ocn990684241
LC Classification:QA274
Dewey Decimal:519.23

Probability theory and random variables -- Random variables: conditioning, convergence and simulation -- An introduction to stochastic processes -- Stochastic calculus and diffusion processes -- Numerical solutions to stochastic differential equations -- Non-linear stochastic filtering and recursive Monte Carlo estimation -- Non-linear filters with gain-type additive updates -- Improved numerical solutions to SDEs by change of measures -- Evolutionary global optimization via change of measures: a Martingale route -- COMBEO: a new global optimization scheme by change of measures.

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