Stochastic Dynamics, Filtering and Optimization
Debasish Roy and G V Rao, “Stochastic Dynamics, Filtering and Optimization”, Cambridge University Press, first edition published in May 2017, ISBN 978-1107182646 (742 pages)
About this book
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.
MATLAB Codes
MATLAB codes for all the applications can be downloaded here (zip file; 13mb).
Cambridge University Press: Click here
Remark: This book is in the list of suggested books by the AICTE for postgraduate degree courses (https://www.aicte-india.org/sites/default/files/Latest%20AICTE%20-%20PG.pdf).
