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Stochastic differential equations are differential equations whose solutions are stochastic processes. They exhibit appealing mathematical properties that are useful in modeling uncertainties and noisy phenomena in many disciplines. This book is motivated by applications of stochastic differential equations in target tracking and medical technology and, in particular, their use in methodologies such as filtering, smoothing, parameter estimation, and machine learning. It builds an intuitive hands-on understanding of what stochastic differential equations are all about, but also covers the essentials of Itô calculus, the central theorems in the field, and such approximation schemes as stochastic Runge–Kutta. Greater emphasis is given to solution methods than to analysis of theoretical properties of the equations. The book's practical approach assumes only prior understanding of ordinary differential equations. The numerous worked examples and end-of-chapter exercises include application-driven derivations and computational assignments. MATLAB/Octave source code is available for download, promoting hands-on work with the methods.
A unified Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
A Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.
By restricting to Gaussian distributions, the optimal Bayesian filtering problem can be transformed into an algebraically simple form, which allows for computationally efficient algorithms. Three problem settings are discussed in this thesis: (1) filtering with Gaussians only, (2) Gaussian mixture filtering for strong nonlinearities, (3) Gaussian process filtering for purely data-driven scenarios. For each setting, efficient algorithms are derived and applied to real-world problems.
A readable, digestible introduction to essential theory and wealth of applications, with a vast set of examples and numerous exercises.
This accessible course on a central player in modern statistical practice connects models with methodology, without need for advanced math.
This book constitutes the refereed proceedings of the 18th Scandinavian Conference on Image Analysis, SCIA 2013, held in Espoo, Finland, in June 2013. The 67 revised full papers presented were carefully reviewed and selected from 132 submissions. The papers are organized in topical sections on feature extraction and segmentation, pattern recognition and machine learning, medical and biomedical image analysis, faces and gestures, object and scene recognition, matching, registration, and alignment, 3D vision, color and multispectral image analysis, motion analysis, systems and applications, human-centered computing, and video and multimedia analysis.
A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.
This is the third volume in a trilogy on modern Signal Processing. The three books provide a concise exposition of signal processing topics, and a guide to support individual practical exploration based on MATLAB programs. This book includes MATLAB codes to illustrate each of the main steps of the theory, offering a self-contained guide suitable for independent study. The code is embedded in the text, helping readers to put into practice the ideas and methods discussed. The book primarily focuses on filter banks, wavelets, and images. While the Fourier transform is adequate for periodic signals, wavelets are more suitable for other cases, such as short-duration signals: bursts, spikes, tweet...