Stochastic processes, estimation, and control
By: Jason L. Speyer, Walter H. Chung.
Contributors: Chung, Walter H., 1968-
Edition: 1st ed.
Series: Advances in design and control -- 17
Publisher: Society for Industrial and Applied Mathematics; Society for Industrial and Applied Mathematics (SIAM)
Published: 2008
Place of publication: Philadelphia
Language: eng
Number of pages: 400
ISBN-13: 9780898716559
Subjects: Stochastic processes; Estimation theory; Control theory
Notes: Includes bibliographical references and index.
Table of contents: title: Probability theory; title: Random variables and stochastic processes; title: Conditional expectations and discrete-time Kalman filtering; title: Least squares, the orthogonal projection Lemma, and discrete-time Kalman filtering; title: Stochastic processes and stochastic calculus; title: Continuous-time Guass-Markov systems; title: The extended Kalman filter; title: A selection of results from estimation theory; title: Stochastic control and linear quadratic Guassian control problem; title: Linear exponential Guassian control and estimation.