ENGINEEKING MARLEE ERIE UN MODERN ENGINEERING. ‘Managing Editor: AV. Balakrishnan ‘School of Engineering University of California Los Angeles, California 90034 USA SYSTEMS & SIGNALS. N.Levan 1983, x +173 pp. z ISBN 0-911575-28-1 Optimization Software, Inc SBN 0-987-90900-1 Springer-Veriag New York Berlin Heidelberg Tokyo SBN 3-540-90900:4 Springer-Vertag Beri Heidelbarg New York Tokyo. ELEMENTS OF STATE SPACE THEORY OF SYSTEMS AN. Balakrishnan 1983, vi + 187 pp. ISBN 0-911875-27-8 Optimization Software, nc, ISBN 0-387-90904-4 Springer-Verlag New York Bertin Heidelberg Tokyo ISBN 3-540-90904-4 Springer-Verlag Beriin Heidelberg New York Tokyo KALMAN FILTERING THEORY ‘AN. Balakrishnan 1984, xi + 222 pp. ISBN 0-911575-26-X Optimization Software, Inc. ISBN 0-387-90903-6 Springer-Verlag Now York Bertin Heidelberg Tokyo 'SBN 3-540-90903-6 Springer-Verlag Bein Heidelberg New York Tokyo 4 A.V. BALAKRISHNAN KALMAN FILTERING THEORY K OPTIMIZATION SOFTWARE, INC. PUBLICATIONS DIVISION, NEW YORKAuthor A. Balakrishnan * School of Engineering University of California Los Angeles, California 90024 USA Library of Congress Cataloging in Publication Data Balakrishnan, A.V. Kalman filtering theory. (University series in modern engineering) Bibliography: p. Includes index. 1. Control theory. 2. Estimation theory, 9. Kalman filtering. |. Tile. “Il, Series, QA402.9.8287 1984 00383-25122. ISBN 0-911575-26-x © 1984 by Optimization Software, Inc., Publications Division, Now York. All rights reserved. Printed in the United States of America. No part of this publication may be reproduced in any form or by any means without priorpermission in writing from. the publisher. Worldwide Distribution Rights by Springer-Verlag New York, Inc., 175 Filth ‘Avenue, New York, New York 10010, USA and Springer-Verlag Berlin Heidelberg New York Tokyo, Heidelberg Platz 8, Berlin-Wilmersdor! 33, West Germany. ABOUT THE AUTHOR Professor A.V, Balakrishnanis the founding Chairman of the Department of System Science in the School of Engineering and Applied Science at UCLA. He is. a Fellow of the IEEE, and past Chairman of the IEEE Information Theory Group. He has received a Certif- Cate of Recognition from the National Aeronautics and ‘Space Administration for his scientific contributions to the processing of Fight Test data. More recently, he ‘was awarded the Guilemin Prize for his many contr- butions to Communication and Control Systems Engineering, Hes also the recipient of the Siver Core ‘Award from the International Federation of information Processing, He is the author of several books and monagranhs in Applied Mathematics and Engineer ing, and serves on the Editorial Boards of numerous Joumals and monograph series.ERRATA page. line as wes change to Pretzee | +8. | not’ not not 12 | -1) | converge as n>. | converge as n> =, even though bounded. - wm jas |@-Rp EP) -3 [Pg 2a: By Si -3: Pp oh Pg eh 10 |-s0. | 4s wiita alco. rt is., | is white ‘azo. We assume forthormre that the sig hel tnd noise processes Are mutually independents Sr, eagivalentiy that be wie noise processes Np fod Ng. are mutually Sndependent. TE 15 +s so fe+2 | ne ohany ws ~~ (deters) 5 42 | Bon -- (delete) +3 | smpiving ~+-¢asiete) +a | cesses. Another. Another. eof a7 |e KCl yor | Ryle 90 | a fem = ga: : a [4 [vay 98) 2 | Bat Baan * #06 oF or [att [eRohar# GR. e4haeg yO +S yBy as frto. [vy = Oy vy By x00 |+12 J equai to the var (aorete : 413. | sance of the dmovation and is (aerate) ror [ent ae replace with p. 102 soa fant replace with p, 304 Please turn over Line eae | original LSE) 0 btxgatd BUgmh aoa | -9 |x, “ Bas. 4} BCE, x172: Bling x17]. fros [> 6: Late, stoom —x80") | | atc 3896, - 989") roe | 42 | ocr emt: arene. 00 | a2. |My « AM Cana : ay 2, ereyt. settey tp, . aa [> 48 | once vane (Av) ts not Giatvottanle WP Céetetey ve |e sinzuar. caeiere) ao | sa cf “3 % 216 41, A, . ote ot 04059 -(0,05)" FP, el r+ Gt sert,afy"s GE OSD) » LF (6090p, 6)