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Stochastic Processes, Estimation, and Control

Language EnglishEnglish
Book Paperback
Book Stochastic Processes, Estimation, and Control Jason L. SpeyerWalter H. Chung
Libristo code: 02050217
Publishers Society for Industrial and Applied Mathematics, October 2008
A comprehensive treatment of stochastic systems beginning with the foundations of probability and en... Full description
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A comprehensive treatment of stochastic systems beginning with the foundations of probability and ending with stochastic optimal control. The book divides into three interrelated topics. First, the concepts of probability theory, random variables and stochastic processes are presented, which leads easily to expectation, conditional expectation, and discrete time estimation and the Kalman filter. With this background, 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. This book will be valuable to first year graduate students studying systems and control, as well as professionals in this field.

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About the book

Full name Stochastic Processes, Estimation, and Control
Author Jason L. SpeyerWalter H. Chung
Language English
Binding Book - Paperback
Date of issue 2008
Number of pages 397
EAN 9780898716559
ISBN 0898716551
Libristo code 02050217
Publishers Society for Industrial and Applied Mathematics
Weight 71
Dimensions 178 x 253 x 20

Categories

Mathematics & Science > Mathematics > Calculus & mathematical analysis > Numerical analysis
Mathematics & Science > Mathematics > Applied mathematics > Stochastics
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