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Stochastic dynamics, filtering and optimization

Roy, D and Visweswara Rao, G (2017) Stochastic dynamics, filtering and optimization. [Book Chapter]

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Official URL: http://doi.org10.1017/9781316863107


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.

Item Type: Book Chapter
Publication: Stochastic Dynamics, Filtering and Optimization
Publisher: Cambridge University Press
Additional Information: The copyright for this article belongs to Cambridge University Press.
Department/Centre: Division of Mechanical Sciences > Civil Engineering
Date Deposited: 20 Jul 2022 10:54
Last Modified: 20 Jul 2022 10:54
URI: https://eprints.iisc.ac.in/id/eprint/74763

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