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Stochastic processes, estimation, and control /

Bibliographic Details
Main Author: Speyer, Jason Lee
Other Authors: Chung, Walter H., 1968-
Format: Book
Language:English
Published: Philadelphia : Society for Industrial and Applied Mathematics, [2008]
Series:Advances in design and control ; DC17.
Subjects:
Stochastic processes.
Estimation theory.
Control theory.
Table of Contents:
  • Probability theory
  • Random variables and stochastic processes
  • Conditional expectations and discrete-time Kalman filtering
  • Least squares, the orthogonal projection Lemma, and discrete-time Kalman filtering
  • Stochastic processes and stochastic calculus
  • Continuous-time Guass-Markov systems
  • The extended Kalman filter
  • A selection of results from estimation theory
  • Stochastic control and linear quadratic Guassian control problem
  • Linear exponential Guassian control and estimation.