Stochastic Processes, Estimation, and Control

Download or read book Stochastic Processes, Estimation, and Control written by Jason L. Speyer and published by SIAM. This book was released on 2008-11-06 with total page 391 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 aswell as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to HÝsubscript 2¨ and HÝsubscript Ýinfinity¨¨ controllers and system robustness. This book is suitable for first-year graduate students in electrical, mechanical, chemical, and aerospace engineering specializing in systems and control. Students in computer science, economics, and possibly business will also find it useful.