随机控制
离散随机过程
连续时间随机过程
卡尔曼滤波器
随机微分方程
随机规划
数学
线性系统
最优控制
随机过程
随机优化
数学优化
离散时间和连续时间
线性二次高斯控制
马尔可夫过程
计算机科学
控制理论(社会学)
应用数学
控制(管理)
数学分析
统计
人工智能
作者
G. Chen,Goong Chen,Shih‐Hsun Hsu
摘要
Preface Introduction From Deterministic to Stochastic Linear Control Systems Text Organization and Reading Suggestion MATHEMATICAL PRELIMINARIES Probability and Random Processes Probability, Measure, and Integration Convergence of Random Sequences Random Vectors and Conditional Expectations Second Order Processes and Calculus in Mean Square Exercises References Ito Integrals and Stochastic Differential Equations Markov Processes Orthogonal Increments Processes and the Wiener-Levy Process Ito Integrals and Stochastic Differential Equations Exercises References LINEAR STOCHASTIC CONTROL SYSTEMS: THE DISCRETE-TIME CASE Analysis of Discrete-Time Linear Stochastic Control Systems Analysis of Discrete-Time Causal LTI Systems Analysis of Causal LTI Stochastic Control Systems Analysis of the Description of Controlled Markov Chains State Space Systems and ARMA Models Mathematical Modeling and Applications Exercises References Optimal Estimation for Discrete-Time Linear Stochastic Systems Optimal State Estimation Recursive Optimal Estimation and Kalman Filtering Modified Kalman Filtering Algorithms Exercises References Optimal Control of Discrete-Time Linear Stochastic Systems Introduction Dynamic Programming and LQC Control Problems LQC Optimal Control Problems Adaptive Stochastic Control Exercises References LINEAR STOCHASTIC CONTROL SYSTEMS: THE CONTINUOUS-TIME CASE Continuous-Time Linear Stochastic Control Systems Analysis of Continuous-Time Causal LTI Systems Further Discussion of Markov Processes Dynamic Programming and LQ Control Problems Exercises References Optimal Control of Continuous-Time Linear Stochastic Systems The Continuous-Time LQ Stochastic Control Problem Stochastic Dynamic Programming Innovation Processes and the Kalman-Bucy Filter Optimal Prediction and Smoothing The Separation Principle Exercises References Stability Analysis of Stochastic Differential Equations Stability of Deterministic Systems Stability of Stochastic Systems Stability of Moments Exercises References Appendix Fundamental Real and Functional Analysis Fundamental Matrix Theory and Vector Calculations Martingales References Index
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