Stochastic processes, estimation, and control
Jason L. Speyer, Walter H. Chung
A comprehensive treatment of stochastic systems beginning with the foundations of probability and ending with stochastic optimal control. The book divides into three interrelated topics. First, the concepts of probability theory, random variables and stochastic processes are presented, which leads easily to expectation, conditional expectation, and discrete time estimation and the Kalman filter. With this background, stochastic calculus and continuous-time estimation are introduced. Finally, dynamic programming for both discrete-time and continuous-time systems leads to the solution of optimal stochastic control problems resulting in controllers with significant practical application. This book will be valuable to first year graduate students studying systems and control, as well as professionals in this field.
Κατηγορίες:
Έτος:
2008
Έκδοση:
1st ed
Εκδότης:
Society for Industrial and Applied Mathematics
Γλώσσα:
english
Σελίδες:
397
ISBN 10:
0898716551
ISBN 13:
9780898716559
Σειρές:
Advances in design and control 17
Αρχείο:
PDF, 2.45 MB
IPFS:
,
english, 2008