Stochastic processes, estimation, and control / Jason L. Speyer, Walter H. Chung.
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| Edition: | 1st ed. |
|---|---|
| Published: |
Philadelphia :
Society for Industrial and Applied Mathematics,
c2008.
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| Online Access: | |
| Main Author: | |
| Other Authors: | |
| Series: | Advances in design and control
DC17. |
| Subjects: | |
| Format: | Book |
| Summary: | "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 H[subscript 2] and H[subscript [infinity]] 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."--BOOK JACKET. |
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| Physical Description: | xiv, 383 p. : ill. (some col.) ; 26 cm. |
| Notes: | Bib#: 1144411 |
| Bibliography: | Includes bibliographical references (p. 377-380) and index. |
| Series: | Advances in design and control ;
17 |
| Language: | English |
| ISBN: | 9780898716559 0898716551 |
| Bib#: | 1144411 |
