Stochastic Dynamics, Filtering and Optimization

ISBN-13: 9781107182646 / Angielski / Twarda / 2017 / 742 str.

Debasish Roy; G. Visweswara Rao

Opis

This book introduces essential concepts in stochastic processes that interface seamlessly with applications of interest in science and engineering.

Spis treści

List of figures; List of tables; Preface; Dedication; Acronyms; 1. Probability theory and random variables; 2. Random variables: conditioning, convergence and simulation; 3. An introduction to stochastic processes; 4. Stochastic calculus and diffusion processes; 5. Numerical solutions to stochastic differential equations; 6. Non-Linear Stochastic Filtering and Recursive Monte Carlo Estimation; 7. Nonlinear filters with gain-type additive updates; 8. Improved numerical solutions to SDEs by change of measure; 9. Evolutionary global optimization via change of measures: A Martingale Route; 10. COMBEO – a new global optimization scheme by change of measures; Appendices; Bibliography; References.