Optimal Control Of Discrete Time Stochastic Systems

Author : Torsten Söderström
Publisher : Springer Science & Business Media
ISBN 13 : 1447101014
Total Pages : 387 pages
Book Rating : 4.17/5 ( download)

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Download or read book Discrete-time Stochastic Systems written by Torsten Söderström and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 387 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.

Author : C. Striebel
Publisher : Springer
ISBN 13 : 9783642454714
Total Pages : 214 pages
Book Rating : 4.12/5 ( download)

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Download or read book Optimal Control of Discrete Time Stochastic Systems written by C. Striebel and published by Springer. This book was released on 2012-02-29 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Vasile Dragan
Publisher : Springer Science & Business Media
ISBN 13 : 1441906304
Total Pages : 349 pages
Book Rating : 4.04/5 ( download)

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Download or read book Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems written by Vasile Dragan and published by Springer Science & Business Media. This book was released on 2009-11-10 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.

Author : C. Striebel
Publisher : Springer
ISBN 13 : 3642454704
Total Pages : 215 pages
Book Rating : 4.07/5 ( download)

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Download or read book Optimal Control of Discrete Time Stochastic Systems written by C. Striebel and published by Springer. This book was released on 2013-12-21 with total page 215 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Charlotte Striebel
Publisher : Springer
ISBN 13 : 9780387071817
Total Pages : 0 pages
Book Rating : 4.14/5 ( download)

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Download or read book Optimal Control of Discrete Time Stochastic Systems written by Charlotte Striebel and published by Springer. This book was released on 1975 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Dimitri P. Bertsekas
Publisher :
ISBN 13 : 9780120932603
Total Pages : 323 pages
Book Rating : 4.01/5 ( download)

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Download or read book Stochastic Optimal Control written by Dimitri P. Bertsekas and published by . This book was released on 1961 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Atle Seierstad
Publisher : Springer Science & Business Media
ISBN 13 : 0387766170
Total Pages : 299 pages
Book Rating : 4.71/5 ( download)

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Download or read book Stochastic Control in Discrete and Continuous Time written by Atle Seierstad and published by Springer Science & Business Media. This book was released on 2010-07-03 with total page 299 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.

Author : Jan H. van Schuppen
Publisher : Springer Nature
ISBN 13 : 3030669521
Total Pages : 940 pages
Book Rating : 4.22/5 ( download)

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Download or read book Control and System Theory of Discrete-Time Stochastic Systems written by Jan H. van Schuppen and published by Springer Nature. This book was released on 2021-08-02 with total page 940 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows. The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.​

Author : Goong Chen
Publisher : CRC Press
ISBN 13 : 9780849380754
Total Pages : 404 pages
Book Rating : 4.58/5 ( download)

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Download or read book Linear Stochastic Control Systems written by Goong Chen and published by CRC Press. This book was released on 1995-07-12 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Author : O.L.V. Costa
Publisher : Springer Science & Business Media
ISBN 13 : 1846280826
Total Pages : 287 pages
Book Rating : 4.25/5 ( download)

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Download or read book Discrete-Time Markov Jump Linear Systems written by O.L.V. Costa and published by Springer Science & Business Media. This book was released on 2006-03-30 with total page 287 pages. Available in PDF, EPUB and Kindle. Book excerpt: This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time