Details

Mathematical Methods in Robust Control of Linear Stochastic Systems

Mathematical Concepts and Methods in Science and Engineering, Band 50

von: Vasile Dragan, Toader Morozan, Adrian-Mihail Stoica
76,99 €
Verlag:	Springer
Format:	PDF
Veröffentl.:	03.02.2007
ISBN/EAN:	9780387359243
Sprache:	englisch
Anzahl Seiten:	312

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Beschreibungen

Titelbeschreibung

Linear stochastic systems are successfully used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. This monograph presents a useful methodology for the control of such stochastic systems with a focus on robust stabilization in the mean square, linear quadratic control, the disturbance attenuation problem, and robust stabilization with respect to dynamic and parametric uncertainty. Systems with both multiplicative white noise and Markovian jumping are covered.
Key Features: -Covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations -Includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations -Systematic presentation leads the reader in a natural way to the original results -New theoretical results accompanied by detailed numerical examples -Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations.
The unique monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.

Inhaltsverzeichnis

Preliminaries to Probability Theory and Stochastic Differential Equations.- Exponential Stability and Lyapunov-Type Linear Equations.- Structural Properties of Linear Stochastic Systems.- The Riccati Equations of Stochastic Control.- Linear Quadratic Control Problem for Linear Stochastic Systems.- Stochastic Version of the Bounded Real Lemma and Applications.- Robust Stabilization of Linear Stochastic Systems.

Sonderbeitrag

Covers the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations Includes detailed treatment of the fundamental properties of stochastic systems subjected both to multiplicative white noise and to jump Markovian perturbations Systematic presentation leads the reader in a natural way to the original results New theoretical results accompanied by detailed numerical examples Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations

Verkaufsargumente

Linear stochastic systems are successfully used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manuafacturing, finance and economy. This monograph presents a useful methodology for the control of such stochastic systems, with both multiplicative white noise and Markovian jumping. An important feature is the inclusion of the necessary pre-requisites from probability theory, stochastic processes, stochastic integrals and stochastic differential equations. The systematic style of presentation leads the reader in a natural way to the original results. This unique monograph is geared to researchers and graduate students in advanced control engineering, mathematical systems theory and finance, numerical analysis. It is also accessible to undergraduate students with a fundamental knowledge of the theory of stochastic systems.