Stochastic Models, Estimation, and Control
Stochastic Models, Estimation, and Control

Author: Peter S. Maybeck

Publisher: Academic Press

Published: 1982-08-25

Total Pages: 311

ISBN-13: 0080960030

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This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.

Stochastic Processes, Estimation, and Control
Stochastic Processes, Estimation, and Control

Author: Jason L. Speyer

Publisher: SIAM

Published: 2008-11-06

Total Pages: 391

ISBN-13: 0898716551

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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.