Stochastic Dynamics, Filtering and Optimization

Download or read book Stochastic Dynamics, Filtering and Optimization written by Debasish Roy and published by Cambridge University Press. This book was released on 2017-05-04 with total page 750 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.