Stochastic dynamics, filtering and optimization
By: Roy, Debasish.
Contributor(s): Rao, G. Visweswara.
Publisher: Cambridge Cambridge University Press 2017Description: xxxvii, 709p.ISBN: 9781107182646.Subject(s): Mathematical optimization | Stochastic differential equations -- Numerical solutionsDDC classification: 519.2 | R812s Summary: 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 | Current location | Collection | Call number | Status | Date due | Barcode | Item holds |
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Books
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PK Kelkar Library, IIT Kanpur | General Stacks | 519.2 R812s (Browse shelf) | Available | A183504 |
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.
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