Stochastic Models, Estimation, and Control

Stochastic Models, Estimation, and Control
Author: Peter S. Maybeck
Publisher: Academic Press
Total Pages: 311
Release: 1982-08-25
Genre: Mathematics
ISBN: 0080960030

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This volume builds upon the foundations set in Volumes 1 and 2. Chapter 13 introduces the basic concepts of stochastic control and dynamic programming as the fundamental means of synthesizing optimal stochastic control laws.

Nonlinear Stochastic Control and Filtering with Engineering-oriented Complexities

Nonlinear Stochastic Control and Filtering with Engineering-oriented Complexities
Author: Guoliang Wei
Publisher: CRC Press
Total Pages: 250
Release: 2016-09-15
Genre: Mathematics
ISBN: 1498760759

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Nonlinear Stochastic Control and Filtering with Engineering-oriented Complexities presents a series of control and filtering approaches for stochastic systems with traditional and emerging engineering-oriented complexities. The book begins with an overview of the relevant background, motivation, and research problems, and then: Discusses the robust stability and stabilization problems for a class of stochastic time-delay interval systems with nonlinear disturbances Investigates the robust stabilization and H∞ control problems for a class of stochastic time-delay uncertain systems with Markovian switching and nonlinear disturbances Explores the H∞ state estimator and H∞ output feedback controller design issues for stochastic time-delay systems with nonlinear disturbances, sensor nonlinearities, and Markovian jumping parameters Analyzes the H∞ performance for a general class of nonlinear stochastic systems with time delays, where the addressed systems are described by general stochastic functional differential equations Studies the filtering problem for a class of discrete-time stochastic nonlinear time-delay systems with missing measurement and stochastic disturbances Uses gain-scheduling techniques to tackle the probability-dependent control and filtering problems for time-varying nonlinear systems with incomplete information Evaluates the filtering problem for a class of discrete-time stochastic nonlinear networked control systems with multiple random communication delays and random packet losses Examines the filtering problem for a class of nonlinear genetic regulatory networks with state-dependent stochastic disturbances and state delays Considers the H∞ state estimation problem for a class of discrete-time complex networks with probabilistic missing measurements and randomly occurring coupling delays Addresses the H∞ synchronization control problem for a class of dynamical networks with randomly varying nonlinearities Nonlinear Stochastic Control and Filtering with Engineering-oriented Complexities describes novel methodologies that can be applied extensively in lab simulations, field experiments, and real-world engineering practices. Thus, this text provides a valuable reference for researchers and professionals in the signal processing and control engineering communities.

Numerical Methods for Controlled Stochastic Delay Systems

Numerical Methods for Controlled Stochastic Delay Systems
Author: Harold Kushner
Publisher: Springer Science & Business Media
Total Pages: 295
Release: 2008-12-19
Genre: Science
ISBN: 0817646213

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The Markov chain approximation methods are widely used for the numerical solution of nonlinear stochastic control problems in continuous time. This book extends the methods to stochastic systems with delays. The book is the first on the subject and will be of great interest to all those who work with stochastic delay equations and whose main interest is either in the use of the algorithms or in the mathematics. An excellent resource for graduate students, researchers, and practitioners, the work may be used as a graduate-level textbook for a special topics course or seminar on numerical methods in stochastic control.

Nonlinear Stochastic Control Systems

Nonlinear Stochastic Control Systems
Author: Anthony Thomas Fuller
Publisher: Taylor & Francis Group
Total Pages: 476
Release: 1970
Genre: Mathematics
ISBN:

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Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations

Optimal Control and Stochastic Simulation of Large Nonlinear Models with Rational Expectations
Author: Ray C. Fair
Publisher:
Total Pages: 22
Release: 2001
Genre:
ISBN:

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This paper presents a computationally feasible procedure for the optimal control and stochastic simulation of large nonlinear models with rational expectations under the assumption of certainty equivalence.