Stochastic processes, estimation, and control:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Philadelphia
Society for Industrial and Applied Mathematics
2008
|
| Series: | Advances in design and control
17 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | XIV, 383 S. graph. Darst. |
| ISBN: | 9780898716559 |
Staff View
MARC
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Record in the Search Index
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| adam_text | STOCHASTIC PROCESSES, ESTIMATION, AND CONTROL
/ SPEYER, JASON LEE
: C2008
TABLE OF CONTENTS / INHALTSVERZEICHNIS
PROBABILITY THEORY
RANDOM VARIABLES AND STOCHASTIC PROCESSES
CONDITIONAL EXPECTATIONS AND DISCRETE-TIME KALMAN FILTERING
LEAST SQUARES, THE ORTHOGONAL PROJECTION LEMMA, AND DISCRETE-TIME KALMAN
FILTERING
STOCHASTIC PROCESSES AND STOCHASTIC CALCULUS
CONTINUOUS-TIME GUASS-MARKOV SYSTEMS
THE EXTENDED KALMAN FILTER
A SELECTION OF RESULTS FROM ESTIMATION THEORY
STOCHASTIC CONTROL AND LINEAR QUADRATIC GUASSIAN CONTROL PROBLEM
LINEAR EXPONENTIAL GUASSIAN CONTROL AND ESTIMATION.
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
Uncertainty and risk are integral to engineering because real systems have inherent ambiguities
that arise naturally or due to our inability to model complex physics. The authors discuss
probability theory, stochastic processes, estimation, and stochastic control strategies and show
how probability can be used to model uncertainty in control and estimation problems. The
material is practical and rich in research opportunities.
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 as well as the dynamic programming derivation
of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and
their relation to H2 and Ho controllers and system robustness.
Stochastic Processes, Estimation, and Control is divided into three related sections. First, the
authors present the concepts of probability theory, random variables, and stochastic processes,
which lead to the topics of expectation, conditional expectation, and discrete-time estimation
and the
Kalman
filter. After establishing this foundation, 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 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. Professionals in all
these fields will find the book of interest.
Jason
L
Speyer is a Distinguished Professor in the Mechanical and Aerospace
Engineering Department and the Electrical Engineering Department at the
University of California, Los Angeles. Dr. Speyer has twice been an elected
member of the Board of Governors of the IEEE Control Systems Society and
has served as an Associate Editor for IEEE and AIAA journals. He is a Fellow
of the AIAA and a Life Fellow of the IEEE and has been honored with awards
from both organizations. He is also a member of the National Academy of
Engineering.
Walter H. Chung currently works in the aerospace industry. He has taught
graduate courses in stochastic processes, estimation, and control at UCLA
since
1997.
For more information about SIAM books, journals, conferences,
memberships, or activities, contact:
Society for Industrial and Applied Mathematics
3600
Market Street, 6th Floor
Philadelphia, PA
19104-2688
USA
+1-215-382-9800 ·
Fax
+1-215-386-7999
siam@siam.org
·
www.siam.org
|
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| dewey-full | 519.2/3 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
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| genre_facet | Lehrbuch |
| id | DE-604.BV035491623 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:38:48Z |
| institution | BVB |
| isbn | 9780898716559 |
| language | English |
| lccn | 2008022483 |
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| physical | XIV, 383 S. graph. Darst. |
| publishDate | 2008 |
| publishDateSearch | 2008 |
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| publisher | Society for Industrial and Applied Mathematics |
| record_format | marc |
| series | Advances in design and control |
| series2 | Advances in design and control |
| spelling | Speyer, Jason Lee Verfasser (DE-588)138184577 aut Stochastic processes, estimation, and control Jason L. Speyer ; Walter H. Chung Philadelphia Society for Industrial and Applied Mathematics 2008 XIV, 383 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Advances in design and control 17 Includes bibliographical references and index Stochastic processes Estimation theory Control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd rswk-swf Schätztheorie (DE-588)4121608-8 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Stochastische Kontrolltheorie (DE-588)4263657-7 s Stochastischer Prozess (DE-588)4057630-9 s Schätztheorie (DE-588)4121608-8 s DE-604 Chung, Walter H. 1968- Verfasser (DE-588)136963609 aut Advances in design and control 17 (DE-604)BV021715022 17 LoC Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017548017&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Bayreuth application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017548017&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Speyer, Jason Lee Chung, Walter H. 1968- Stochastic processes, estimation, and control Advances in design and control Stochastic processes Estimation theory Control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Schätztheorie (DE-588)4121608-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| subject_GND | (DE-588)4263657-7 (DE-588)4121608-8 (DE-588)4057630-9 (DE-588)4123623-3 |
| title | Stochastic processes, estimation, and control |
| title_auth | Stochastic processes, estimation, and control |
| title_exact_search | Stochastic processes, estimation, and control |
| title_full | Stochastic processes, estimation, and control Jason L. Speyer ; Walter H. Chung |
| title_fullStr | Stochastic processes, estimation, and control Jason L. Speyer ; Walter H. Chung |
| title_full_unstemmed | Stochastic processes, estimation, and control Jason L. Speyer ; Walter H. Chung |
| title_short | Stochastic processes, estimation, and control |
| title_sort | stochastic processes estimation and control |
| topic | Stochastic processes Estimation theory Control theory Stochastische Kontrolltheorie (DE-588)4263657-7 gnd Schätztheorie (DE-588)4121608-8 gnd Stochastischer Prozess (DE-588)4057630-9 gnd |
| topic_facet | Stochastic processes Estimation theory Control theory Stochastische Kontrolltheorie Schätztheorie Stochastischer Prozess Lehrbuch |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017548017&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017548017&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV021715022 |
| work_keys_str_mv | AT speyerjasonlee stochasticprocessesestimationandcontrol AT chungwalterh stochasticprocessesestimationandcontrol |