Preface |
|
xv | |
Acknowledgments |
|
xxi | |
1. Introduction |
|
1 | (20) |
|
|
1 | (4) |
|
|
5 | (2) |
|
1.3 Model-Based Processing Example |
|
|
7 | (4) |
|
1.4 Model-Based Signal Processing Concepts |
|
|
11 | (5) |
|
1.5 Notation and Terminology |
|
|
16 | (1) |
|
|
16 | (1) |
|
|
16 | (1) |
|
|
17 | (1) |
|
|
17 | (4) |
2. Discrete Random Signals and Systems |
|
21 | (114) |
|
|
21 | (1) |
|
2.2 Deterministic Signals and Systems |
|
|
21 | (3) |
|
2.3 Spectral Representation of Discrete Signals |
|
|
24 | (8) |
|
|
26 | (3) |
|
2.3.2 Frequency Response of Discrete Systems |
|
|
29 | (3) |
|
2.4 Discrete Random Signals |
|
|
32 | (12) |
|
|
32 | (4) |
|
|
36 | (8) |
|
2.5 Spectral Representation of Random Signals |
|
|
44 | (13) |
|
2.6 Discrete Systems with Random Inputs |
|
|
57 | (3) |
|
2.7 ARMAX (AR, ARX, MA, ARMA) Models |
|
|
60 | (11) |
|
|
71 | (8) |
|
2.9 Exponential (Harmonic) Models |
|
|
79 | (4) |
|
2.10 Spatiotemporal Wave Models |
|
|
83 | (9) |
|
|
83 | (4) |
|
|
87 | (2) |
|
2.10.3 Spatiotemporal Wave Model |
|
|
89 | (3) |
|
|
92 | (20) |
|
2.11.1 Continuous State-Space Models |
|
|
92 | (6) |
|
2.11.2 Discrete State-Space Models |
|
|
98 | (4) |
|
2.11.3 Discrete Systems Theory |
|
|
102 | (3) |
|
2.11.4 Gauss-Markov (State-Space) Models |
|
|
105 | (6) |
|
2.11.5 Innovations (State-Space) Models |
|
|
111 | (1) |
|
2.12 State-Space, ARMAX (AR, MA, ARMA, Lattice) Equivalence Models |
|
|
112 | (8) |
|
2.13 State-Space and Wave Model Equivalence |
|
|
120 | (4) |
|
|
124 | (1) |
|
|
124 | (1) |
|
|
125 | (2) |
|
|
127 | (8) |
3. Estimation Theory |
|
135 | (40) |
|
|
135 | (4) |
|
3.1.1 Estimator Properties |
|
|
136 | (1) |
|
3.1.2 Estimator Performance |
|
|
137 | (2) |
|
3.2 Minimum Variance (MV) Estimation |
|
|
139 | (8) |
|
3.2.1 Maximum a Posteriori (MAP) Estimation |
|
|
142 | (1) |
|
3.2.2 Maximum Likelihood (ML) Estimation |
|
|
143 | (4) |
|
3.3 Least-Squares (LS) Estimation |
|
|
147 | (13) |
|
3.3.1 Batch Least Squares |
|
|
147 | (3) |
|
3.3.2 LS: A Geometric Perspective |
|
|
150 | (6) |
|
3.3.3 Recursive Least Squares |
|
|
156 | (4) |
|
3.4 Optimal Signal Estimation |
|
|
160 | (7) |
|
|
167 | (1) |
|
|
167 | (1) |
|
|
167 | (1) |
|
|
168 | (7) |
4. AR, MA, ARMAX, Lattice, Exponential, Wave Model-Based Processors |
|
175 | (106) |
|
|
175 | (1) |
|
|
176 | (15) |
|
4.2.1 Levinson-Durbin Recursion |
|
|
179 | (6) |
|
4.2.2 Toeplitz Matrices for AR Model-Based Processors |
|
|
185 | (2) |
|
4.2.3 Model-Based AR Spectral Estimation |
|
|
187 | (4) |
|
|
191 | (16) |
|
4.3.1 Levinson-Wiggins-Robinson (LWR) Recursion |
|
|
193 | (5) |
|
4.3.2 Optimal Deconvolution |
|
|
198 | (3) |
|
4.3.3 Optimal Time Delay Estimation |
|
|
201 | (6) |
|
|
207 | (6) |
|
4.5 ARMAX (Pole-Zero) MBP |
|
|
213 | (7) |
|
4.6 Order Estimation for MBP |
|
|
220 | (7) |
|
4.7 Case Study: Electromagnetic Signal Processing |
|
|
227 | (11) |
|
4.8 Exponential (Harmonic) MBP |
|
|
238 | (24) |
|
|
240 | (7) |
|
4.8.2 SVD Exponential MBP |
|
|
247 | (3) |
|
|
250 | (12) |
|
|
262 | (9) |
|
|
271 | (1) |
|
|
272 | (1) |
|
|
272 | (3) |
|
|
275 | (6) |
5. Linear State-Space Model-Based Processors |
|
281 | (86) |
|
5.1 State-Space MBP (Kalman Filter) |
|
|
281 | (3) |
|
5.2 Innovations Approach to the MBP |
|
|
284 | (7) |
|
5.3 Innovations Sequence of the MBP |
|
|
291 | (4) |
|
5.4 Bayesian Approach to the MBP |
|
|
295 | (4) |
|
|
299 | (9) |
|
5.6 Tuning and Model Mismatch in the MBP |
|
|
308 | (10) |
|
5.6.1 Tuning with State-Space MBP Parameters |
|
|
308 | (4) |
|
5.6.2 Model Mismatch Performance in the State-Space MBP |
|
|
312 | (6) |
|
5.7 MBP Design Methodology |
|
|
318 | (9) |
|
|
327 | (11) |
|
5.8.1 Model-Based Processor: Prediction-Form |
|
|
327 | (2) |
|
5.8.2 Model-Based Processor: Colored Noise |
|
|
329 | (6) |
|
5.8.3 Model-Based Processor: Bias Correction |
|
|
335 | (3) |
|
|
338 | (4) |
|
|
342 | (3) |
|
5.11 Steady-State MBP Design |
|
|
345 | (6) |
|
|
345 | (4) |
|
5.11.2 Steady-State MBP and the Wiener Filter |
|
|
349 | (2) |
|
5.12 Case Study: MBP Design for a Storage Tank |
|
|
351 | (7) |
|
|
358 | (1) |
|
|
358 | (1) |
|
|
359 | (2) |
|
|
361 | (6) |
6. Nonlinear State-Space Model-Based Processors |
|
367 | (52) |
|
6.1 Linearized MBP (Kalman Filter) |
|
|
367 | (10) |
|
6.2 Extended MBP (Extended Kalman Filter) |
|
|
377 | (8) |
|
6.3 Iterated-Extended MBP (Iterated-Extended Kalman Filter) |
|
|
385 | (7) |
|
6.4 Unscented MBP (Kalman Filter) |
|
|
392 | (12) |
|
6.4.1 Unscented Transformations |
|
|
393 | (4) |
|
6.4.2 Unscented Processor |
|
|
397 | (7) |
|
6.5 Case Study: 2D-Tracking Problem |
|
|
404 | (7) |
|
|
411 | (1) |
|
|
411 | (1) |
|
|
412 | (1) |
|
|
413 | (6) |
7. Adaptive AR, MA, ARMAX, Exponential Model-Based Processors |
|
419 | (70) |
|
|
419 | (1) |
|
|
420 | (3) |
|
7.3 All-Zero Adaptive MBP |
|
|
423 | (20) |
|
7.3.1 Stochastic Gradient Adaptive Processor |
|
|
424 | (6) |
|
7.3.2 Instantaneous Gradient LMS Adaptive Processor |
|
|
430 | (3) |
|
7.3.3 Normalized LMS Adaptive Processor |
|
|
433 | (3) |
|
7.3.4 Recursive Least-Squares (RLS) Adaptive Processor |
|
|
436 | (7) |
|
7.4 Pole-Zero Adaptive MBP |
|
|
443 | (8) |
|
|
443 | (2) |
|
7.4.2 All-Pole Adaptive Predictor |
|
|
445 | (6) |
|
|
451 | (9) |
|
7.5.1 All-Pole Adaptive Lattice MBP |
|
|
451 | (7) |
|
7.5.2 Joint Adaptive Lattice Processor |
|
|
458 | (2) |
|
7.6 Adaptive MBP Applications |
|
|
460 | (15) |
|
7.6.1 Adaptive Noise Canceler MBP |
|
|
460 | (5) |
|
7.6.2 Adaptive D-Step Predictor MBP |
|
|
465 | (4) |
|
7.6.3 Adaptive Harmonic MBP |
|
|
469 | (4) |
|
7.6.4 Adaptive Time-Frequency MBP |
|
|
473 | (2) |
|
7.7 Case Study: Plasma Pulse Estimation Using MBP |
|
|
475 | (6) |
|
|
481 | (1) |
|
|
481 | (1) |
|
|
481 | (2) |
|
|
483 | (6) |
8. Adaptive State-Space Model-Based Processors |
|
489 | (50) |
|
8.1 State-Space Adaption Algorithms |
|
|
489 | (2) |
|
8.2 Adaptive Linear State-Space MBP |
|
|
491 | (4) |
|
8.3 Adaptive Innovations State-Space MBP |
|
|
495 | (12) |
|
|
495 | (5) |
|
8.3.2 RPE Approach Using the Innovations Model |
|
|
500 | (7) |
|
8.4 Adaptive Covariance State-Space MBP |
|
|
507 | (5) |
|
8.5 Adaptive Nonlinear State-Space MBP |
|
|
512 | (10) |
|
8.6 Case Study: AMBP for Ocean Acoustic Sound Speed Inversion |
|
|
522 | (9) |
|
8.6.1 State-Space Forward Propagator |
|
|
522 | (4) |
|
8.6.2 Sound-Speed Estimation: AMBP Development |
|
|
526 | (2) |
|
8.6.3 Experimental Data Results |
|
|
528 | (3) |
|
|
531 | (1) |
|
|
531 | (1) |
|
|
532 | (1) |
|
|
533 | (6) |
9. Applied Physics-Based Processors |
|
539 | (92) |
|
9.1 MBP for Reentry Vehicle Tracking |
|
|
539 | (22) |
|
9.1.1 RV Simplified Dynamics |
|
|
540 | (2) |
|
9.1.2 Signal Processing Model |
|
|
542 | (4) |
|
9.1.3 Processing of RV Signatures |
|
|
546 | (10) |
|
9.1.4 Flight Data Processing |
|
|
556 | (3) |
|
|
559 | (2) |
|
9.2 MBP for Laser Ultrasonic Inspections |
|
|
561 | (10) |
|
9.2.1 Laser Ultrasonic Propagation Modeling |
|
|
562 | (1) |
|
9.2.2 Model-Based Laser Ultrasonic Processing |
|
|
563 | (4) |
|
9.2.3 Laser Ultrasonics Experiment |
|
|
567 | (3) |
|
|
570 | (1) |
|
9.3 MBP for Structural Failure Detection |
|
|
571 | (12) |
|
9.3.1 Structural Dynamics Model |
|
|
572 | (2) |
|
9.3.2 Model-Based Condition Monitor |
|
|
574 | (3) |
|
9.3.3 Model-Based Monitor Design |
|
|
577 | (1) |
|
9.3.4 MBP Vibrations Application |
|
|
577 | (6) |
|
|
583 | (1) |
|
9.4 MBP for Passive Sonar Direction-of-Arrival and Range Estimation |
|
|
583 | (11) |
|
9.4.1 Model-Based Adaptive Array Processing for Passive Sonar Applications |
|
|
584 | (3) |
|
9.4.2 Model-Based Adaptive Processing Application to Synthesized Sonar Data |
|
|
587 | (3) |
|
9.4.3 Model-Based Ranging |
|
|
590 | (4) |
|
|
594 | (1) |
|
9.5 MBP for Passive Localization in a Shallow Ocean |
|
|
594 | (13) |
|
9.5.1 Ocean Acoustic Forward Propagator |
|
|
595 | (4) |
|
9.5.2 AMBP for Localization |
|
|
599 | (4) |
|
9.5.3 AMBP Application to Experimental Data |
|
|
603 | (4) |
|
|
607 | (1) |
|
9.6 MBP for Dispersive Waves |
|
|
607 | (14) |
|
|
608 | (1) |
|
9.6.2 Dispersive State-Space Propagator |
|
|
609 | (3) |
|
9.6.3 Dispersive Model-Based Processor |
|
|
612 | (2) |
|
9.6.4 Internal Wave Processor |
|
|
614 | (7) |
|
|
621 | (1) |
|
9.7 MBP for Groundwater Flow |
|
|
621 | (6) |
|
9.7.1 Groundwater Flow Model |
|
|
621 | (4) |
|
|
625 | (2) |
|
|
627 | (1) |
|
|
627 | (1) |
|
|
628 | (3) |
Appendix A Probability and Statistics Overview |
|
631 | (10) |
|
|
631 | (6) |
|
A.2 Gaussian Random Vectors |
|
|
637 | (1) |
|
A.3 Uncorrelated Transformation: Gaussian Random Vectors |
|
|
638 | (1) |
|
|
639 | (2) |
Appendix B SEQUENTIAL MBP and UD-FACTORIZATION |
|
641 | (6) |
|
|
641 | (3) |
|
B.2 UD-Factorization Algorithm for MBP |
|
|
644 | (2) |
|
|
646 | (1) |
Appendix C SSPACK_PC: AN INTERACTIVE MODEL-BASED PROCESSING SOFTWARE PACKAGE |
|
647 | (8) |
|
|
647 | (1) |
|
|
648 | (1) |
|
|
649 | (1) |
|
|
650 | (1) |
|
|
650 | (3) |
|
|
653 | (1) |
|
|
653 | (2) |
Index |
|
655 | |