Introduction to Stochastic Control Theory (Dover Books on Electrical Engineering)

Karl J. Astrom

ISBN 10: 0486445313 / ISBN 13: 9780486445311

Published by Dover Publications, 2006

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Bibliographic Details

• Title: Introduction to Stochastic Control Theory (Dover Books on Electrical Engineering)
• Publisher: Dover Publications
• Publication Date: 2006
• Language: English
• ISBN 10: 0486445313
• ISBN 13: 9780486445311
• Binding: paperback
• Condition: New

About this title

Synopsis

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.