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 |
Table of Contents:
- 1. Probability Theory
- 2. Random Variables and Stochastic Processes
- 3. Conditional Expectations and Discrete-Time Kalman Filtering
- 4. Least Squares, the Orthogonal Projection Lemma, and Discrete-Time Kalman Filtering
- 5. Stochastic Processes and Stochastic Calculus
- 6. Continuous-Time Gauss-Markov Systems: Continuous-Time Kalman Filter, Stationarity, Power Spectral Density, and the Wiener Filter
- 7. The Extended Kalman Filter
- 8. A Selection of Results from Estimation Theory
- 9. Stochastic Control and the Linear Quadratic Gaussian Control Problem
- 10. Linear Exponential Gaussian Control and Estimation.
