Skip to content
Register Sign in Wishlist
Stochastic Dynamics, Filtering and Optimization

Stochastic Dynamics, Filtering and Optimization

£78.99

  • Date Published: May 2017
  • availability: In stock
  • format: Hardback
  • isbn: 9781107182646

£ 78.99
Hardback

Add to cart Add to wishlist

Other available formats:
eBook


Looking for an inspection copy?

This title is not currently available on inspection

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • 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.

    • Applications to dynamical systems in science, engineering and recursive search algorithms are covered in depth
    • Important topics including Radon-Nikodym derivatives and Girsanov theorems with emphasis on Ito diffusion processes are discussed comprehensively
    • MATLAB® codes for all the applications are available on the companion website for both students and instructors
    Read more

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: May 2017
    • format: Hardback
    • isbn: 9781107182646
    • length: 742 pages
    • dimensions: 249 x 190 x 39 mm
    • weight: 1.31kg
    • availability: In stock
  • Table of Contents

    List of figures
    List of tables
    Preface
    Dedication
    Acronyms
    1. Probability theory and random variables
    2. Random variables: conditioning, convergence and simulation
    3. An introduction to stochastic processes
    4. Stochastic calculus and diffusion processes
    5. Numerical solutions to stochastic differential equations
    6. Non-Linear Stochastic Filtering and Recursive Monte Carlo Estimation
    7. Nonlinear filters with gain-type additive updates
    8. Improved numerical solutions to SDEs by change of measure
    9. Evolutionary global optimization via change of measures: A Martingale Route
    10. COMBEO – a new global optimization scheme by change of measures
    Appendices
    Bibliography
    References.

  • Resources for

    Stochastic Dynamics, Filtering and Optimization

    Debasish Roy, G. Visweswara Rao

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.

    Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

    Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

    If you are having problems accessing these resources please contact lecturers@cambridge.org.

  • Authors

    Debasish Roy, Indian Institute of Science, Bangalore
    Debasish Roy is currently working as Professor in the Computational Mechanics Laboratory at the Indian Institute of Science, Bangalore. He obtained his Ph.D. from the Indian Institute of Science, followed by post-doctoral research at the University of Innsbruck, Austria. Besides being a fellow of the Indian National Academy of Engineering, he has also held an Honorary Professorship in the School of Engineering, University of Aberdeen, and a distinguished visiting fellowship of the Royal Academy of Engineering, London. His areas of research include computational mechanics of non-classical continua, stochastic dynamical systems and optimization/inverse problems. He has published over 120 papers in journals of international repute, delivered keynote/invited lectures at many international conferences and served on editorial boards.

    G. Visweswara Rao
    G. Visweswara Rao was Technical Advisor in ACS Design Consulting Private Limited, Bangalore. He received his Ph.D. from the Indian Institute of Science, Bangalore, in 1989. He has published several research papers in the areas of structural dynamics specific to earthquake engineering, nonlinear and random vibration, and structural control, and co-authored Elements of Structural Dynamics: A New Perspective (2012) with D. Roy. His areas of research include non-linear and stochastic structural dynamics.

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×