Written for seniors and graduate students, this book focuses on applied Kalman filtering and random signal analysis. The book emphasizes applications, computer software, and associated sets of special computer problems to aid in relating theory to practice. Topics include probability and random variables, linear systems response, state-space modeling, and Monte Carlo simulation. The revised fourth edition includes new chapters on mathematical descriptions of random signals and linear systems and alternative forms of the Kalman filter.
MATLAB is introduced and used to solve numerous examples in the book. In addition, a supplemental set of MATLAB code files is available for download.
Teaching materials based on MATLAB and Simulink