Discrete Time Stochastic Systems PDF Download
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Author | : Torsten Söderström |
Publisher | : Springer Science & Business Media |
Total Pages | : 387 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1447101014 |
Download Discrete-time Stochastic Systems Book in PDF, ePub and Kindle
This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
Author | : Jan H. van Schuppen |
Publisher | : Springer Nature |
Total Pages | : 940 |
Release | : 2021-08-02 |
Genre | : Technology & Engineering |
ISBN | : 3030669521 |
Download Control and System Theory of Discrete-Time Stochastic Systems Book in PDF, ePub and Kindle
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.
Author | : Robert G. Gallager |
Publisher | : Springer Science & Business Media |
Total Pages | : 280 |
Release | : 2012-12-06 |
Genre | : Technology & Engineering |
ISBN | : 146152329X |
Download Discrete Stochastic Processes Book in PDF, ePub and Kindle
Stochastic processes are found in probabilistic systems that evolve with time. Discrete stochastic processes change by only integer time steps (for some time scale), or are characterized by discrete occurrences at arbitrary times. Discrete Stochastic Processes helps the reader develop the understanding and intuition necessary to apply stochastic process theory in engineering, science and operations research. The book approaches the subject via many simple examples which build insight into the structure of stochastic processes and the general effect of these phenomena in real systems. The book presents mathematical ideas without recourse to measure theory, using only minimal mathematical analysis. In the proofs and explanations, clarity is favored over formal rigor, and simplicity over generality. Numerous examples are given to show how results fail to hold when all the conditions are not satisfied. Audience: An excellent textbook for a graduate level course in engineering and operations research. Also an invaluable reference for all those requiring a deeper understanding of the subject.
Author | : Vasile Dragan |
Publisher | : Springer Science & Business Media |
Total Pages | : 349 |
Release | : 2009-11-10 |
Genre | : Mathematics |
ISBN | : 1441906304 |
Download Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems Book in PDF, ePub and Kindle
In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The 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.
Author | : O.L.V. Costa |
Publisher | : Springer Science & Business Media |
Total Pages | : 287 |
Release | : 2006-03-30 |
Genre | : Mathematics |
ISBN | : 1846280826 |
Download Discrete-Time Markov Jump Linear Systems Book in PDF, ePub and Kindle
This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time
Author | : P. R. Kumar |
Publisher | : SIAM |
Total Pages | : 371 |
Release | : 2015-12-15 |
Genre | : Mathematics |
ISBN | : 1611974259 |
Download Stochastic Systems Book in PDF, ePub and Kindle
Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.
Author | : V. G. Kulkarni |
Publisher | : Springer |
Total Pages | : 313 |
Release | : 2010-11-03 |
Genre | : Mathematics |
ISBN | : 1441917721 |
Download Introduction to Modeling and Analysis of Stochastic Systems Book in PDF, ePub and Kindle
This book provides a self-contained review of all the relevant topics in probability theory. A software package called MAXIM, which runs on MATLAB, is made available for downloading. Vidyadhar G. Kulkarni is Professor of Operations Research at the University of North Carolina at Chapel Hill.
Author | : Peter E. Caines |
Publisher | : SIAM |
Total Pages | : 892 |
Release | : 2018-06-12 |
Genre | : Mathematics |
ISBN | : 1611974704 |
Download Linear Stochastic Systems Book in PDF, ePub and Kindle
Linear Stochastic Systems, originally published in 1988, is today as comprehensive a reference to the theory of linear discrete-time-parameter systems as ever. Its most outstanding feature is the unified presentation, including both input-output and state space representations of stochastic linear systems, together with their interrelationships. The author first covers the foundations of linear stochastic systems and then continues through to more sophisticated topics including the fundamentals of stochastic processes and the construction of stochastic systems; an integrated exposition of the theories of prediction, realization (modeling), parameter estimation, and control; and a presentation of stochastic adaptive control theory. Written in a clear, concise manner and accessible to graduate students, researchers, and teachers, this classic volume also includes background material to make it self-contained and has complete proofs for all the principal results of the book. Furthermore, this edition includes many corrections of errata collected over the years.
Author | : Goong Chen |
Publisher | : CRC Press |
Total Pages | : 404 |
Release | : 1995-07-12 |
Genre | : Business & Economics |
ISBN | : 9780849380754 |
Download Linear Stochastic Control Systems Book in PDF, ePub and Kindle
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.
Author | : Satnesh Singh |
Publisher | : Springer Nature |
Total Pages | : 129 |
Release | : 2019-11-25 |
Genre | : Technology & Engineering |
ISBN | : 3030328007 |
Download Discrete-Time Stochastic Sliding Mode Control Using Functional Observation Book in PDF, ePub and Kindle
This book extrapolates many of the concepts that are well defined for discrete-time deterministic sliding-mode control for use with discrete-time stochastic systems. It details sliding-function designs for various categories of linear time-invariant systems and its application for control. The resulting sliding-mode control addresses robustness issues and the functional-observer approach reduces the observer order substantially. Sliding-mode control (SMC) is designed for discrete-time stochastic systems, extended so that states lie within a specified band, and able to deal with incomplete information. Functional-observer-based SMC is designed for various clauses of stochastic systems: discrete-time; discrete-time with delay; state time-delayed; and those with parametric uncertainty. Stability considerations arising because of parametric uncertainty are taken into account and, where necessary, the effects of unmatched uncertainties mitigated. A simulation example is used to explain the use of the functional-observer approach to SMC design. Discrete-Time Stochastic Sliding-Mode Control Using Functional Observation will interest all researchers working in sliding-mode control and will be of particular assistance to graduate students in understanding the changes in design philosophy that arise when changing from continuous- to discrete-time systems. It helps to pave the way for further progress in applications of discrete-time SMC.