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Stochastic processes, estimation, and control

Jason L. Speyer, Walter H. Chung (Society for Industrial and Applied Mathematics, 2008)

 Abstrak

Uncertainty and risk are integral to engineering because real systems have inherent ambiguities that arise naturally or due to our inability to model complex physics. The authors discuss probability theory, stochastic processes, estimation, and stochastic control strategies and show how probability can be used to model uncertainty in control and estimation problems. The material is practical and rich in research opportunities.
The authors provide a comprehensive treatment of stochastic systems from the foundations of probability to stochastic optimal control. The book covers discrete- and continuous-time stochastic dynamic systems leading to the derivation of the Kalman filter, its properties, and its relation to the frequency domain Wiener filter as well as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to H2 and H controllers and system robustness.
Stochastic Processes, Estimation, and Control is divided into three related sections. First, the authors present the concepts of probability theory, random variables, and stochastic processes, which lead to the topics of expectation, conditional expectation, and discrete-time estimation and the Kalman filter. After establishing this foundation, 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.

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 Metadata

No. Panggil : e20450871
Entri utama-Nama orang :
Entri tambahan-Nama orang :
Subjek :
Penerbitan : Philadelphia: Society for Industrial and Applied Mathematics, 2008
Sumber Pengatalogan: LibUI eng rda
Tipe Konten: text
Tipe Media: computer
Tipe Pembawa: online resources
Deskripsi Fisik: xiv, 383 pages : illustration
Tautan: http://portal.igpublish.com/iglibrary/search/SIAMB0000363.main.html?1
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No. Panggil No. Barkod Ketersediaan
e20450871 02-17-451653586 TERSEDIA
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