Stochastic Dynamics, Filtering and Optimization by Debasish R... - 9781107182646

Stochastic Dynamics, Filtering and OptimizationAuthor(s): Debasish Roy, G. Visweswara Rao\nFormat: Hardback\nPublisher: Cambridge University Press, United Kingdom\nImprint: Cambridge University Press\nISBN-13: 9781107182646, 978-1107182646\nSynopsis\nTargeted 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.