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Introduction to Stochastic Control Theory (Dover Books on Electrical Engineering), by Karl J. Åström
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This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems.
The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes. A simple version of the problem of optimal control of stochastic systems is discussed, along with an example of an industrial application of this theory. Subsequent discussions cover filtering and prediction theory as well as the general stochastic control problem for linear systems with quadratic criteria.
Each chapter begins with the discrete time version of a problem and progresses to a more challenging continuous time version of the same problem. Prerequisites include courses in analysis and probability theory in addition to a course in dynamical systems that covers frequency response and the state-space approach for continuous time and discrete time systems.
- Sales Rank: #548834 in eBooks
- Published on: 2012-05-11
- Released on: 2012-05-11
- Format: Kindle eBook
Most helpful customer reviews
0 of 0 people found the following review helpful.
Excellent book for the slightly more experienced reader.
By S E
Astrom is an absolute delight to read. He is clear, concise, and has a
While it is titled "An introduction to", I would posit that it is more suitable to a reader with slightly more experience with control theory, as they can truly appreciate all the asides that the author includes in his text.
Word of warning: make sure you are up to speed with your stochastic processes - the book does not spend a lot of time on going through details, and it is hard, if not impossible, to truly understand the topics in the later chapters without a full grasp of a measure-theoretic knowledge of stochastic processes.
0 of 0 people found the following review helpful.
Five Stars
By Mark Coy
great book.
10 of 18 people found the following review helpful.
A classic made available.
By Sergio Alain Molina Garcia
I've had the book the first time in London in 1976. I've lent it and never came back. Today, I was looking for a book on stochastic processes and Kalman Filtering, when I came across with a suggestion to buy from amazon and I was happy to acquire once again after many years a book which I consider a good and orderly book on stochasctic control after so many years and so many advances in stochasctic control theory and applications.
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