
This is the first book on the optimal estimation that places its major emphasis on practical applications treating the subject more from an engineering than a mathematical orientation Even so theoretical & mathematical concepts are introduced & developed sufficiently to make the book a self-contained source of instruction for readers without prior knowledge of the basic principles of the field The work is the product of the technical staff of the The Analytic Sciences Corporation (TASC) an organization whose success has resulted largely from its applications of optimal estimation techniques to a wide variety of real situations involving large-scale systems Arthur Gelb writes in the Foreword that It is our intent throughout to provide a simple & interesting picture of the central issues underlying modern estimation theory & practice Heuristic rather than theoretically elegant arguments are used extensively with emphasis on physical insights & key questions of practical importance Numerous illustrative examples many based on actual applications have been interspersed throughout the text to lead the student to a concrete understanding of the theoretical material The inclusion of problems with built-in answers at the end of each of the nine chapters further enhances the self-study potential of the text After a brief historical prelude the book introduces the mathematics underlying random process theory & state-space characterization of linear dynamic systems The theory & practice of optimal estimation is them presented including filtering smoothing & prediction Both linear & non-linear systems & continuous- & discrete-time cases are covered in considerable detail New results are described concerning the application of covariance analysis to non-linear systems & the connection between observers & optimal estimators The final chapters treat such practical & often pivotal issues as suboptimal structure & computer loading considerations This book is an outgrowth of a course given by TASC at a number of US Government facilities Virtually all of the members of the TASC technical staff have at one time & in one way or another contributed to the material contained in the work