Bayesian Signal Processing: Classical, Modern and Particle - download pdf or read online

By James V. Candy

ISBN-10: 0470180943

ISBN-13: 9780470180945

New Bayesian procedure is helping you resolve difficult difficulties in sign processing with easeSignal processing is predicated in this basic concept—the extraction of serious info from noisy, doubtful info. so much suggestions depend upon underlying Gaussian assumptions for an answer, yet what occurs whilst those assumptions are faulty? Bayesian options keep away from this hindrance by way of providing a very diverse strategy which can simply comprise non-Gaussian and nonlinear tactics in addition to the entire traditional tools at the moment available.This textual content allows readers to totally take advantage of the numerous benefits of the "Bayesian method" to model-based sign processing. It truly demonstrates the gains of this robust strategy in comparison to the natural statistical equipment present in different texts. Readers will notice how simply and successfully the Bayesian method, coupled with the hierarchy of physics-based versions constructed all through, may be utilized to sign processing difficulties that in the past appeared unsolvable.Bayesian sign Processing good points the newest iteration of processors (particle filters) which have been enabled by means of the appearance of high-speed/high-throughput pcs. The Bayesian procedure is uniformly constructed during this book's algorithms, examples, functions, and case experiences. all through this booklet, the emphasis is on nonlinear/non-Gaussian difficulties; in spite of the fact that, a few classical concepts (e.g. Kalman filters, unscented Kalman filters, Gaussian sums, grid-based filters, et al) are integrated to permit readers conversant in these the way to draw parallels among the 2 approaches.Special positive factors include:Unified Bayesian therapy ranging from the fundamentals (Bayes's rule) to the extra complicated (Monte Carlo sampling), evolving to the next-generation options (sequential Monte Carlo sampling)Incorporates "classical" Kalman filtering for linear, linearized, and nonlinear structures; "modern" unscented Kalman filters; and the "next-generation" Bayesian particle filtersExamples illustrate how concept may be utilized on to various processing problemsCase stories reveal how the Bayesian method solves real-world difficulties in practiceMATLAB® notes on the finish of every bankruptcy support readers clear up advanced difficulties utilizing on hand software program instructions and indicate software program applications availableProblem units try readers' wisdom and aid them placed their new abilities into practiceThe simple Bayesian strategy is emphasised all through this article which will permit the processor to reconsider the method of formulating and fixing sign processing difficulties from the Bayesian viewpoint. this article brings readers from the classical equipment of model-based sign processing to the following new release of processors that might basically dominate the way forward for sign processing for years yet to come. With its many illustrations demonstrating the applicability of the Bayesian method of real-world difficulties in sign processing, this article is vital for all scholars, scientists, and engineers who examine and follow sign processing to their daily difficulties.

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Extra info for Bayesian Signal Processing: Classical, Modern and Particle Filtering Methods (Adaptive and Learning Systems for Signal Processing, Communications and Control Series)

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A) Determine the model for the measured output voltage, Vout (t) (measurement model). (b) Determine a model for the circuit (process model). (c) Identify the general model-based processor structures. In each scheme, specify the models for the process, measurement and noise. 7 A communications satellite is placed into orbit and must be maneuvered using thrusters to orientate its antennas. Restricting the problem to the single axis perpendicular to the page, the equations of motion are J d2θ = Tc + Td dt 2 where J is the moment of inertia of the satellite about its center of mass, Tc is the thruster control torque, Td is the disturbance torque, and θ is the angle of the satellite axis with respect to the inertial reference (no angular acceleration) A.

But, given the measured data y, we can estimate the posterior probability for the missing (data) variables, x. For each x, there exists a θˆ , and therefore we can calculate an expected value of the complete log-likelihood. The basic EM principle is to find the θ that maximizes Pr(z|θ) using the available data y and current parameter estimate. 28) for θ the new parameter vector to be optimized in the next step. 29) x where Pr(x|y, θˆ i−1 ) is the marginal of the missing data (hidden variable) based on the measured data and current parameter estimate (as shown).

Probably the most popular applications of the EM technique occur in tomographic image reconstruction, pattern recognition, communications and the training of hidden Markov models (see Chapter 9) for speech recognition [8, 9]. The EM technique produces maximum-likelihood parameter estimates in two steps: an expectation-step followed by a maximization-step. The expectation-step with respect to the unknown parameters uses the most recently available parameter estimate conditioned on the measurements, while the maximization-step provides an updated estimate of the parameters.

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Bayesian Signal Processing: Classical, Modern and Particle Filtering Methods (Adaptive and Learning Systems for Signal Processing, Communications and Control Series) by James V. Candy

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