Control and System Theory of Discrete-Time Stochastic Systems
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Beschreibung
This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows.
The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows.
The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.Motivates detailed theoretical work with relevant real-world problems Broadens reader understanding of control and system theory Provides comprehensive definitions of multiple related concepts Offers in-depth treatment of stochastic control with partial observation Equips readers with uniform treatment of various system probability distributions
Autor*in
Jan H. van Schuppen
Themen in »Control and System Theory of Discrete-Time Stochastic Systems«
Stochastic Systems Control Theory Filtering and Prediction Stochastic Realization Control with Partial Observations Stochastic Control Optimal State Estimation Linear Filtering
Stimmen zu »Control and System Theory of Discrete-Time Stochastic Systems«
“The book is written for students in applied mathematics and engineering with an interest in control theory and its application in various contexts … . All chapters offer numerous examples … all contain hints to further reading and end with a specific list of references. The way the book is organized and written, it is suited as textbook for university courses and seminars at master and Ph.D. level, as well as for self-instruction.” (Heinrich Hering, zbMATH 1478.93005, 2022)
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