Physical Sciences and Mathematics Commons^™

Linear Estimation: The Kalman-Bucy Filter, William Douglas Schindel

Graduate Theses - Mathematics

The problem of linear dynamic estimation, its solution as developed by Kalman and Bucy, and interpretations, properties and illustrations of that solution are discussed. The central problem considered is the estimation of the system state vector X, describing a linear dynamic system governed by

dx/dt = F(t)X(t) + G(t)U(t)

Y(t) = H(t)X(t) + V(t)

for observations of Y (system output), where V is a random observation-corrupting process, and U is a random system driving process.

An extension of the Kalman-Bucy filter to estimation in the absence of priori knowledge of the random process U and V is developed and illustrated.

Contributions To Measure Theory., Merepalli Bhaskara Rao Dr.

Doctoral Theses

This thesis 1s devoted to a study of measures vith emplas sis on nonatonie nea sures. Me briefrly desoribe here the work carried out in various chapters. In Chapter 1, we study various aspects of nonatomic nea sures based on some characterisations obtained early in the Chapter. In Chapter 2, the problem - when a mixture of nonatoftic mea sures is nonatomic - is exanined. An example and rive sufficient conditions are given. In Chapter 3, we examine when a mixture of 1nvariant non-ergorlie mesures is non-ergodic. An example and three sufficient eonditions are given. In Chapter 4, we study …