×

Uh-oh, it looks like your Internet Explorer is out of date.

For a better shopping experience, please upgrade now.

Introduction to Stochastic Control Theory
     

Introduction to Stochastic Control Theory

by Karl J. Aström
 

See All Formats & Editions


This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems.
The first three chapters provide motivation and background material on

Overview


This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems.
The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes. A simple version of the problem of optimal control of stochastic systems is discussed, along with an example of an industrial application of this theory. Subsequent discussions cover filtering and prediction theory as well as the general stochastic control problem for linear systems with quadratic criteria.
Each chapter begins with the discrete time version of a problem and progresses to a more challenging continuous time version of the same problem. Prerequisites include courses in analysis and probability theory in addition to a course in dynamical systems that covers frequency response and the state-space approach for continuous time and discrete time systems.

Product Details

ISBN-13:
9780486445311
Publisher:
Courier Corporation
Publication date:
01/06/2006
Series:
Dover Books on Electrical Engineering Series
Pages:
320
Product dimensions:
5.50(w) x 8.50(h) x 0.67(d)

Customer Reviews

Average Review:

Post to your social network

     

Most Helpful Customer Reviews

See all customer reviews