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Discrete-Time Markov Jump Linear Systems de O.L.V. Costa

Discrete-Time Markov Jump Linear Systems: Probability and Its Applications

Autor O.L.V. Costa, M.D. Fragoso, R.P. Marques
en Limba Engleză Hardback – 2 feb 2005
Safety critical and high-integrity systems, such as industrial plants and economic systems can be subject to abrupt changes - for instance due to component or interconnection failure, and sudden environment changes etc.
Combining probability and operator theory, Discrete-Time Markov Jump Linear Systems provides a unified and rigorous treatment of recent results for the control theory of discrete jump linear systems, which are used in these areas of application.
The book is designed for experts in linear systems with Markov jump parameters, but is also of interest for specialists in stochastic control since it presents stochastic control problems for which an explicit solution is possible - making the book suitable for course use.
From the reviews:
"This text is very well written...it may prove valuable to those who work in the area, are at home with its mathematics, and are interested in stability of linear systems, optimal control, and filtering." Journal of the American Statistical Association, December 2005
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Specificații

ISBN-13: 9781852337612
ISBN-10: 1852337613
Pagini: 286
Ilustrații: X, 286 p. 15 illus.
Dimensiuni: 155 x 235 x 23 mm
Greutate: 0.63 kg
Ediția:2005
Editura: SPRINGER LONDON
Colecția Springer
Seria Probability and Its Applications

Locul publicării:London, United Kingdom

Public țintă

Research

Cuprins

Preface.- Markovian Jump Linear Systems.- Background Material.- On Stability.- Optimal Control.- Linear Filtering.- Quadratic Optimal Control with Partial Information.- H2- Control.- Design Techniques and Examples.- Appendix A: Coupled Algebraic Riccati Equations.- Appendix B: Auxiliary Results for the Linear Filtering Problem with (k) Unknown.- Appendix C: Auxiliary Results for the H2 Control Problem.- Notation and Corrections.- References.

Recenzii

From the reviews:
"This text is very well written...it may prove valuable to those who work in the area, are at home with its mathematics, and are interested in stability of linear systems, optimal control, and filtering." Journal of the American Statistical Association, December 2005
"The book is concerned with the control of discrete-time stochastic linear systems whose dynamics can abruptly change. … It gives a comprehensive theory for the control of these systems within the operator theoretic framework … . The book is highly recommended to anybody with an interest in control problems associated with Markov Jump Linear Systems." (G. C. Goodwin, Short Book Reviews, Vol. 25 (2), 2005)

Textul de pe ultima copertă

Safety critical and high-integrity systems, such as industrial plants and economic systems, can be subject to abrupt changes - for instance, due to component or interconnection failure, sudden environment changes, etc.
Combining probability and operator theory, Discrete-Time Markov Jump Linear Systems provides a unified and rigorous treatment of recent results for the control theory of discrete jump linear systems, which are used in these areas of application.
The book is designed for experts in linear systems with Markov jump parameters, but is also of interest for specialists in stochastic control since it presents stochastic control problems for which an explicit solution is possible - making the book suitable for course use.
Oswaldo Luiz do Valle Costa is Professor in the Department of Telecommunications and Control Engineering at the University of São Paulo, Marcelo Dutra Fragoso is Professor in the Department of Systems and Control at the National Laboratory for Scientific Computing - LNCC/MCT, Rio de Janeiro, and Ricardo Paulino Marques works in the Department of Telecommunications and Control Engineering at the University of São Paulo.

Caracteristici

Most up-to-date book in the area Combines probability and operator theory to provide a unified and rigorous treatment of recent results Takes a new approach using discrete rather than continuous time Includes supplementary material: sn.pub/extras