Linear stochastic systems
Author(s)
Bibliographic Information
Linear stochastic systems
（Wiley series in probability and mathematical statistics, . Probability and mathematical statistics）
J. Wiley, c1988
Available at / 41 libraries
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Research Institute for Economics & Business Administration (RIEB) Library , Kobe University図書
519.1-182s081000081809*
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Note
Bibliography: p. 836-859
Includes index
Description and Table of Contents
Description
This text focuses on linear stochastic models, whose theoretical foundations are the most fully worked out and the most frequently applied area of systems and control theory. It presents a unified and mathematically rigorous exposition of the main results of the theory of linear discrete-time-parameter stochastic systems. The text begins with a thorough examination of the fundamentals of stochastic processes and the construction of stochastic systems, and goes on to provide an integrated treatment of the theories of prediction, regulation, modeling and estimation of system dynamics (system identification), and control. The book concludes with a presentation of stochastic adaptive control theory. Coverage of all topics incorporates recent research in the field.
Table of Contents
- Stochastic Processes
- Linear Stochastic Systems
- Estimation Theory
- Stochastic Realization Theory
- System Identification: Foundations and Basic Concepts
- Least Squares Parameter Estimation
- Maximum Likelihood Estimation of Gaussian Armax and State-Space System
- Minimum Prediction Error Identification Methods
- Non-Stationary System Identification
- Feedback, Causality, and Closed Loop System Identification
- Linear-Quadratic Stochastic Control
- Stochastic Adaptive Control
- Appendix 1: Probability Theory
- Appendix 2: System Theory
- Appendix 3: Harmonic Analysis.
by "Nielsen BookData"