Skip to content
Register Sign in Wishlist
Stochastic Processes, Estimation, and Control

Stochastic Processes, Estimation, and Control

£80.00

Part of Advances in Design and Control

  • Date Published: November 2008
  • availability: This item is not supplied by Cambridge University Press in your region. Please contact Soc for Industrial & Applied Mathematics for availability.
  • format: Paperback
  • isbn: 9780898716559

£ 80.00
Paperback

This item is not supplied by Cambridge University Press in your region. Please contact Soc for Industrial & Applied Mathematics for availability.
Unavailable Add to wishlist

Looking for an inspection copy?

This title is not currently available on inspection

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • A comprehensive treatment of stochastic systems beginning with the foundations of probability and ending with stochastic optimal control. The book divides into three interrelated topics. First, the concepts of probability theory, random variables and stochastic processes are presented, which leads easily to expectation, conditional expectation, and discrete time estimation and the Kalman filter. With this background, stochastic calculus and continuous-time estimation are introduced. Finally, dynamic programming for both discrete-time and continuous-time systems leads to the solution of optimal stochastic control problems resulting in controllers with significant practical application. This book will be valuable to first year graduate students studying systems and control, as well as professionals in this field.

    • Demonstrates how probability can be used to model uncertainty in control and estimation problems
    • Explains how the solution of optimal stochastic control problems results in controllers with significant practical application
    • A thorough treatment of stochastic systems from the foundations of probability to stochastic optimal control
    Read more

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: November 2008
    • format: Paperback
    • isbn: 9780898716559
    • length: 400 pages
    • dimensions: 254 x 177 x 19 mm
    • weight: 0.71kg
    • availability: This item is not supplied by Cambridge University Press in your region. Please contact Soc for Industrial & Applied Mathematics for availability.
  • Table of Contents

    Preface
    1. Probability theory
    2. Random variables and stochastic processes
    3. Conditional expectations and discrete-time Kalman filtering
    4. Least squares, the orthogonal projection lemma, and discrete-time Kalman filtering
    5. Stochastic processes and stochastic calculus
    6. Continuous-time Gauss-Markov systems: continuous-time Kalman filter, stationarity, power spectral density, and the Wiener filter
    7. The extended Kalman filter
    8. A selection of results from estimation theory
    9. Stochastic control and the linear quadratic Gaussian control problem
    10. Linear exponential Gaussian control and estimation
    Bibliography
    Index.

  • Authors

    Jason L. Speyer, University of California, Los Angeles
    Professor Jason L. Speyer received his B.S. in Aeronautics and Astronautics from M.I.T. (1960) and his Ph.D. in Applied Mathematics from Harvard University (1968). His industrial experience includes research at Boeing, Raytheon, Analytical Mechanics Associated, and the Charles Stark Draper Laboratory. He was the Harry H. Power Professor in Engineering Mechanics, University of Texas, Austin. Currently, he is a Distinguished Professor in the Mechanical and Aerospace Engineering Department and the Electrical Engineering Department at the University of California, Los Angeles. Professor Speyer has twice been an elected member of the Board of Governors of the IEEE Control Systems Society. He served as Associate Editor for Technical Notes and Correspondence (1975–76) and Stochastic Control (1978–79), IEEE Transactions on Automatic Control, for AIAA Journal of Spacecraft and Rockets (1976–77), AIAA Journal of Guidance and Control (1977–78), and for Journal of Optimization Theory and Applications, 1981–present. He is fellow of AIAA and IEEE (Life Fellow) and was awarded AIAA Mechanics and Control of Flight Award, AIAA Dryden Lectureship in Research, Air Force Exceptional Civilian Decoration (1991 and 2001), IEEE Third Millennium Medal, and membership in the National Academy of Engineering. In 2002 the UCLA Autonomous Vehicle System Instrumentation Laboratory under his direction was awarded the NASA Public Service Group Achievement Award for exceptional service, commitment, and dedication toward the successful development of the Dryden Flight Research Center Autonomous Flight Formation project.

    Walter H. Chung, University of California, Los Angeles
    Walter Chung received his B.S. in Aeronautics and Astronautics from M.I.T. (1990), his M.S. in Aeronautics and Astronautics from Stanford University (1992) and his Ph.D. in Aerospace Engineering from the University of California, Los Angeles (1997). He currently works in the aerospace industry and has taught gradaute courses in stochastic processes, estimation and control at UCLA since 1997.

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×