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Introduction to Stochastic Control Theory

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This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems. 1970 edition.

Author(s): Karl J. Åström (Eds.)
Series: Mathematics in Science and Engineering 70
Publisher: Academic Press
Year: 1970

Language: English
Pages: iii-xi, 1-299

Content:
Edited by
Page iii

Copyright page
Page iv

Dedication
Page v

Preface
Pages ix-x

Acknowledgments
Page xi

Chapter 1 Stochastic Control
Pages 1-12

Chapter 2 Stochastic Processes
Pages 13-43

Chapter 3 Stochastic State Models
Pages 44-90

Chapter 4 Analysis of Dynamical Systems Whose Inputs are Stochastic Processes
Pages 91-114

Chapter 5 Parametric Optimization
Pages 115-158

Chapter 6 Minimal Variance Control Strategies
Pages 159-209

Chapter 7 Prediction and Filtering Theory
Pages 210-255

Chapter 8 Linear Stochastic Control Theory
Pages 256-294

Index
Pages 295-299