Linear Stochastic Control Systems: 3 (Probability and Stochastics Series) - Hardcover

Chen, Goong; Chen, Guanrong; Hsu, Shih-Hsun

Hardcover

ISBN 10: 0849380758 ISBN 13: 9780849380754

Publisher: CRC Press, 1995

Synopsis

Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered. Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter. This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.

About this title

About the Author

Chen\, Goong; Chen\, Guanrong; Hsu\, Shih-Hsun

Edition details

• Publisher: CRC Press
• Publication date: 1995
• Language: English
• ISBN 10: 0849380758
• ISBN 13: 9780849380754
• Binding: Hardcover
• Edition number: 1
• Number of pages: 400