Mathematical Methods in Robust Control of Linear Stochastic Systems

2006. Auflage 2006
ISBN: 978-0-387-30523-3
Verlag: Springer-Verlag New York

Buch, Englisch, Band 50, 312 Seiten, GB, Format (B × H): 155 mm x 235 mm, Gewicht: 654 g

Reihe: Mathematical Concepts in Science and Engineering

The book covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations. It includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations. Systematic presentation leads the reader in a natural way to the original results. New theoretical results accompanied by detailed numerical examples, and the book proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.

Zielgruppe

Graduate students, researchers in advanced control engineering, mathematical systems theory and finance, numerical analysis

Autoren/Hrsg.

Dragan, Vasile

Morozan, Toader

Stoica, Adrian-Mihail

Fachgebiete

• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen
• Technische Wissenschaften Elektronik | Nachrichtentechnik Nachrichten- und Kommunikationstechnik Regelungstechnik

Inhaltsverzeichnis

Preliminaries to Probability Theory and Stochastic Differential Equations.- Exponential Stability and Lyapunov-Type Linear Equations.- Structural Properties of Linear Stochastic Systems.- The Riccati Equations of Stochastic Control.- Linear Quadratic Control Problem for Linear Stochastic Systems.- Stochastic Version of the Bounded Real Lemma and Applications.- Robust Stabilization of Linear Stochastic Systems.