Mathematical Methods in Robust Control of Linear Stochastic Systems: v. 50 (Mathematical Concepts and Methods in Science and Engineering) - Hardcover

Dragan, Vasile; Morozan, Toader; Stoica, Adrian-Mihail

Hardcover

ISBN 10: 0387305238 ISBN 13: 9780387305233

Publisher: Springer, 2006

Synopsis

The book covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations. It includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations. Systematic presentation leads the reader in a natural way to the original results. New theoretical results accompanied by detailed numerical examples, and the book proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.

About this title

Review

From the reviews:

"The subject of the book is related to the development of a theory of linear stochastic systems including both white noise and jump Markov perturbations, and to the development of analysis and design methods for linear-quadratic control, robust stabilization and disturbance attenuation problems. ... The book addresses graduate students and researchers in advanced control engineering, applied mathematics, mathematical systems theory and finance." (Vladimir Sobolev, Zentralblatt MATH, Vol. 1101 (3), 2007)

"This book is concerned with robust control of stochastic systems. One of the main features is its coverage of jump Markovian systems. ... Overall, this book presents results taking into consideration both white noise and Markov chain perturbations. It is clearly written and should be useful for people working in applied mathematics and in control and systems theory. The references cited provide further reading sources." (George Yin, Mathematical Reviews, Issue 2007 m)

"This book considers linear time varying stochastic systems, subjected to white noise disturbances and system parameter Markovian jumping, in the context of optimal control ... robust stabilization, and disturbance attenuation. ... The material presented in the book is organized in seven chapters. ... The book is very well written and organized. ... is a valuable reference for all researchers and graduate students in applied mathematics and control engineering interested in linear stochastic time varying control systems with Markovian parameter jumping and white noise disturbances." (Zoran Gajic, SIAM Review, Vol. 49 (3), 2007)

Synopsis

Linear stochastic systems are successfully used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. This monograph presents a useful methodology for the control of such stochastic systems with a focus on robust stabilization in the mean square, linear quadratic control, the disturbance attenuation problem, and robust stabilization with respect to dynamic and parametric uncertainty. Systems with both multiplicative white noise and Markovian jumping are covered. This book's key features: cover the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations; include detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations; includes a systematic presentation which leads the reader in a natural way to the original results; contain new theoretical results accompanied by detailed numerical examples; and, proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.

The unique monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.

Edition details

• Publisher: Springer
• Publication date: 2006
• ISBN 10: 0387305238
• ISBN 13: 9780387305233
• Binding: Hardcover
• Language: English
• Number of pages: 328