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Stochastic processes, estimation, and control / Jason L. Speyer, Walter H. Chung.
- Format:
- Book
- Author/Creator:
- Speyer, Jason Lee.
- Series:
- Advances in design and control ; 17.
- Advances in design and control ; 17
- Language:
- English
- Subjects (All):
- Stochastic processes.
- Estimation theory.
- Control theory.
- Physical Description:
- 1 electronic text (xiv, 383 p.) : ill. (some col.), digital file.
- Edition:
- 1st ed.
- Place of Publication:
- Philadelphia, Pa. : Society for Industrial and Applied Mathematics (SIAM, 3600 Market Street, Floor 6, Philadelphia, PA 19104), 2008.
- Language Note:
- English
- System Details:
- Mode of access: World Wide Web.
- System requirements: Adobe Acrobat Reader.
- Summary:
- 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.
- Contents:
- Probability Theory 1
- Random Variables and Stochastic Processes
- Conditional Expectations and Discrete-Time Kalman Filtering
- Least Squares, the Orthogonal ProjectionLemma, and Discrete-TimeKalman Filtering
- Stochastic Processes and Stochastic Calculus
- Continuous-Time Gauss-Markov Systems : Continuous-Time Kalman Filter, Stationarity, Power Spectral Density, and the Wiener Filter
- The Extended Kalman Filter
- A Selection of Results from Estimation Theory
- Stochastic Control and the Linear Quadratic Gaussian Control Problem
- Linear Exponential Gaussian Control and Estimation.
- Probability theory
- Random variables and stochastic processes
- Conditional expectations and discrete-time Kalman filtering
- Least squares, the orthogonal projection Lemma, and discrete-time Kalman filtering
- Stochastic processes and stochastic calculus
- Continuous-time Guass-Markov systems
- The extended Kalman filter
- A selection of results from estimation theory
- Stochastic control and linear quadratic Guassian control problem
- Linear exponential Guassian control and estimation.
- Notes:
- Bibliographic Level Mode of Issuance: Monograph
- Includes bibliographical references (p. 377-380) and index.
- Description based on title page of print version.
- ISBN:
- 0-89871-859-7
- Publisher Number:
- DC17 siam
- DC17 SIAM
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