Review of Stochastic Dynamics, Filtering and Optimization by Roy & Rao
Abstract
Stochastic Dynamics, Filtering and Optimization by Roy & Rao is an introductory, graduate level book to the field of stochastics systems and their practical application. In the main, the authors focus upon Markov-type processes and the filtering problem associated with partially observed diffusion processes, with the text fully self contained. The book is comprised of ten chapters, to be described, roughly split into the more pedagogical (Chapters 1-6, accompanied by exercises) and the more research orientated. Many of the topics that are contained in the book are motivated or explained through (well-thought out) examples, some of which can occur in practical applications. MATLAB code is provided for some of the applications. The level of the exercises range from basic to reasonably challenging.
- Publication:
-
Journal of Sound Vibration
- Pub Date:
- September 2018
- DOI:
- 10.1016/j.jsv.2018.05.051
- Bibcode:
- 2018JSV...431..458J