Stochastic Processes, Estimation, and Control
Jason L. Speyer · Walter H. Chung
Jan 2008 · Advances in Design and Control Book 17 · SIAM
eBook
397
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About this eBook
The authors provide a comprehensive treatment of stochastic systems from the foundations of probability to stochastic optimal control. The book covers discrete- and continuous-time stochastic dynamic systems leading to the derivation of the Kalman filter, its properties, and its relation to the frequency domain Wiener filter as well as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to H2 and H controllers and system robustness.
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