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1、Stochasticmodels,estimation,andcontrolVOLUME2ThisisVolume141-2inMATHEMATICSINSCIENCEANDENGINEERINGASeriesofMonographsandTextbooksEditedbyRICHARDBELLMAN,UniversityofSouthernCalifornia"{he"omlletel'i.tt'g,otboo¥..'i.\\\'1>'1>e!e'1>'1>a'lalab
2、ehomt\elub\'!>\etuponrequest.Stochasticmodels,estimation,andcontrolVOLUME2PETERS.MAYBECKDEPARTMENTOFELECTRICALENGINEERINGAIRFORCEINSTITUTEOFTECHNOLOGYWRIGHT-PATTERSONAIRFORCEBASEOHIO1982@ACADEMICPRESSASubsidiaryofHarcourtBraceJovanovich,Publishers
3、NewYorkLondonParisSanDiegoSanFranciscoSaoPauloSydneyTokyoTorontoCOPYRIGHT©1982,BYACADEMICPRESS,INC.ALLRIGHTSRESERVED.NOPARTOFTHISPUBLICATIONMAYBEREPRODUCEDORTRANSMITTEDINANYFORMORBYANYMEANS,ELECTRONICORMECHANICAL,INCLUDINGPHOTOCOPY,RECORDING,ORANYINFO
4、RMATIONSTORAGE'ANDRETRIEVALSYSTEM,WITHOUTPERMISSIONINWRITINGFROMTHEPUBLISHER.ACADEMICPRESS,INC.111FifthAvenue,NewYork,NewYork10003UnitedKingdomEditionpublishedbyACADEMICPRESS,INC.(LONDON)LTD.24/28OvalRoad,LondonNWI7DXLibraryofcorgressCatalogirginPubli
5、cationDataMaybeck,PeterS.Stochasticmodels,estimation,andcontrol.(Mathematicsinscienceandengineering)Includesbibliographiesandindex.1.Systemanalysis.2.Controltheory.3.Estimationtheory.4.Stochasticprocesses.I.Title.II.Series.QA4D2.toG7519.278-8836ISBND-
6、12-48D7D2-X(v.2)AACRlPRINTEDINTHEUNITEDSTATESOFAMERICA82838485987654321ToKristenandKeryn...the"otherwomen"inmylifeThispageintentionallyleftblankContentsPreface•xiNotationxiiiVOLUME1Chapter1IntroductionChapter2DeterministicsystemmodelsChapter3Probabili
7、tytheoryandstaticmodelsChapter4StochasticprocessesandlineardynamicsystemmodelsChapter5OptimalfilteringwithlinearsystemmodelsChapter6DesignandperformanceanalysisofKalmanfiltersChapter7SquarerootfilteringVOLUME2Chapter8Optimalsmoothing8.1IntroductionI8.
8、2BasicStructure28.3ThreeClassesofSmoothingProblems38.4Fixed-IntervalSmoothing58.5Fixed-PointSmoothing158.6Fixed-LagSmoothing168.7Summary17References18Problems19viiviiiCONTENTSChapter9Compensationoflinearmodelinadequacies9.1Introduction239.2Pse
