Discrete-time Stochastic Systems Estimation and Control

Discrete-time Stochastic Systems gives a comprehensive introduction to the estimation and control of dynamic stochastic systems and provides complete derivations of key results such as the basic relations for Wiener filtering. The book covers both state-s

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Springer-Verlag London Ltd.

Series Editors Professor Michael J. Grimble, Professor of Industrial Systems and Director Professor Michael A. Johnson, Professor of Control Systems and Deputy Director Industrial Control Centre, Department of Electronic and Electrical Engineering, UniversityofStrathclyde, Graham Hills Building, 50 George Street, Glasgow Gl lQE,

U.K.

Other titles published in this series: Genetic Algorithms: Concepts and Designs K.F. Man, K.S. Tang and S. Kwong Model Predictive Control E. F. Camacho and C. Bordons Introduction to Optimal Estimation E.W. Kamen and J.K. Su Discrete-time Signal Processing D. Williamson Neural Networks for Modelling and Control ofDynamic Systems M. N0rgaard, O. Ravn, N.K. Poulsen and L.K. Hansen Modelling and Control ofRobot Manipulators (2nd Edition) L. Sciavicco and B. Siciliano Fault Detection and Diagnosis in Industrial Systems L.H. Chiang, E.L. Russell and R.D. Braatz Soft Computing L. Fortuna, G. Rizzotto, M. Lavorgna, G. Nunnari, M.G. Xibilia and R.Caponetto Statistical Signal Processing T. Chonavel- Translated by Janet Ormrod Parallel Processing for Real-time Signal Processing and Control M.a. Tokhi, M.A. Hossain and M.H. Shaheed Publication due January 2003

T. Soderstrom

Discrete-time Stochastic Systems Estimation and Control

,

Springer

Т. SOdеrstrбm, PhD Department ofSystems and Control, Information Technology, Uppsala University, РО Вох 337, SE 75105 Uppsala, Sweden

British Library Cataloguing in Publication Data Soderstrom, Torsten Discrete-time stochastic systems : estimation and control. - 2nd ed. - (Advanced textbooks in control and signaJ processing) I.Stochastic systems 2.Discrete-time systems 3.Control theory I.Tit1e 003.8'5 ISBN 978-1-85233-649-3 Library of Congress Cataloging-in-Publication Data Soderstrom, Torsten. Discrete-time stochastic systems : estimation and control/ Т. SOderstrom.--2пd ed. р. ст. -- (Advanced textbooks in control and signaJ processing, ISSN 1439-2232) Includes bibliographicaJ references and index. ISBN 978-1-85233-649-3 ISBN 978-1-4471-0101-7 (eBook) DOI 10.1007/978-1-4471-0101-7 1. Automatic control. 2. Control theory. 3. Discrete-time systems. 1. Тit1e. 11. Series. TJ213 .S517 2002 629.8--dc21 2002067022 Apart from anу fair deaJing for the ршрозез оС research or private study, or criticism or review, as permitted under the Copyright, Designs and Patents Act 1988, this publication тау оn1у Ье reproduced, stored or transmitted, in anу Соrш or Ьу апу means, with the prior permission in writing оС the publishers, or in the case оС reprographic reproduction in accordance with the terms oflicences issued Ьу the Copyright Licensing Agency. Enquiries concerning reproduction outside those terms should Ье sent to the publishers. ISSN 1439-2232 ISBN 978-1-85233-649-3 http://www.springer.co.uk © Springer-Verlag London2002

OriginaJly published Ьу Springer-Verlag London Limited in 2002

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