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Linear Stochastic Control Systems
Goong ChenGuanrong ChenShih-Hsun Hsu
出版CRC Press, 1995-07-12
主題Business & Economics / Operations ResearchTechnology & Engineering / Operations ResearchMathematics / Probability & Statistics / Bayesian AnalysisMathematics / Probability & Statistics / GeneralDesign / Product
ISBN08493807589780849380754
URLhttp://books.google.com.hk/books?id=EYi21_quDxUC&hl=&source=gbs_api
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註釋Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered.
Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter.
This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.