Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real proces
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thematical Methods in Robust Control of
Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems
Vasile Dragan Bucharest, Romania
Toader Morozan Bucharest, Romania
Adrian-Mihail Stoica Bucharest, Romania
Vasile Dragan Institute of Mathematics “Simion Stoilow” of the Romanian Academy 010145 Bucuresti 1 Romania [email protected]
Toader Morozan Institute of Mathematics “Simion Stoilow” of the Romanian Academy 010145 Bucuresti 1 Romania [email protected]
Adrian-Mihail Stoica Faculty of Aerospace Engineering University “Politehnica” of Bucharest Polizu 1 011061 Bucuresti Romania
ISBN 978-1-4419-0629-8 e-ISBN 978-1-4419-0630-4 DOI 10.1007/978-1-4419-0630-4 Springer New York Dordrecht Heidelberg London Library of Congress Control Number: 2009940257 Mathematics Subject Classification (2000): 60Gxx, 60Hxx, 60Jxx, 49Kxx, 65Fxx, 65Pxx © Springer Science+Business Media, LLC 2010 All rights reserved. This work may not be translated or copied in whole or in part without the written permission of the publisher (Springer Science+Business Media LLC, 233 Spring Street, New York, NY 10013, U.S.A.), except for brief excerpts in connection with reviews or scholarly analysis. Use in connection with any form of information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed is forbidden. The use in this publication of trade names, trademarks, service marks and similar terms, even if they are not identified as such, is not to be taken as an expression of opinion as to whether or not they are subject to proprietary rights. Printed on acid-free paper Springer is part of Springer+Business Media (www.springer.com)
Preface
This monograph contains recent developments in the control theory of linear discrete-time stochastic systems subject both to multiplicative white noise and to Markovian jumping. It provides solutions for various theoretical and practical aspects in connection with this class of stochastic systems including: stability analysis, optimal control, robust stabilization, estimation and filtering, specific numerical algorithms, and computational procedures. Interest in the topics of the book was generated not only because the considered class of stochastic systems includes as particular cases systems with multiplicative noise and systems with Markov parameters, intensively investigated over the last four decades, but also due to the increasing area of applications in which such dynamic models are used. Engineering domains including communications, fault detection and isolation, robust control, stochastic filtering, navigation, and so on, finance, economics, and biology, are only some of the major fields in which stochastic models using Markov parameters and multiplicative white noise naturally occur. The monograph can be regarded as a discrete-tim
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