Introduction to Stochastic Control Theory

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Book Details

• Author: Karl Johan Astrom, Karl J. Astrom

• Publisher: Dover

• Edition: 56.52

• Binding: Paperback

• Number of Pages: 299

• Release Date: 06-01-2006

• Language: English

• ISBN: 9780486445311

• Package Dimensions: 8.4 x 5.5 x 0.6 inches

About The Book
"Stochastic Control Theory" by Karl Johan Astrom and Karl J. Astrom is a key text for upper-level undergraduates and graduate students exploring the field of stochastic control. Focused on linear systems with quadratic criteria, this book delves into both discrete-time and continuous-time systems. It introduces readers to the fundamental concepts of stochastic processes, parametric optimization, and optimal stochastic control, providing a rigorous yet accessible approach to these complex topics.

The book begins with foundational material on stochastic processes and gradually progresses to more advanced discussions on the control of dynamical systems influenced by stochastic inputs. It also features practical applications, such as an industrial example, that illustrate the real-world relevance of stochastic control theory. Filtering, prediction theory, and an in-depth analysis of linear systems with quadratic criteria are discussed in the later chapters.

Each chapter is carefully structured, starting with the discrete-time version of a problem and then advancing to its continuous-time counterpart. This approach allows for a comprehensive understanding of the concepts, making it ideal for those already familiar with analysis, probability theory, and dynamical systems. The book serves as an essential resource for anyone pursuing a deeper knowledge of control theory and its applications in both academic and industrial settings.

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