Author | Davis, M. H. A. author |
---|---|
Title | Stochastic Modelling and Control [electronic resource] / by M. H. A. Davis, R. B. Vinter |
Imprint | Dordrecht : Springer Netherlands, 1985 |
Connect to | http://dx.doi.org/10.1007/978-94-009-4828-0 |
Descript | XII, 394 p. online resource |
1 Probability and linear system theory -- 1.1 Probability and random processes -- 1.2 Linear system theory -- Notes and references -- 2 Stochastic models -- 2.1 A general output process -- 2.2 Stochastic difference equations -- 2.3 ARMA noise models -- 2.4 Stochastic dynamical models -- 2.5 Innovations representations -- 2.6 Predictor models -- Notes and references -- 3 Filtering theory -- 3.1 The geometry of linear estimation -- 3.2 Recursive estimation -- 3.3 The Kalman filter -- 3.4 Innovations representation of state-space models -- Notes and references -- 4 System identification -- 4.1 Point estimation theory -- 4.2 Models -- 4.3 Parameter estimation for static systems -- 4.4 Parameter estimation for dynamical systems -- 4.5 Off-line identification algorithms -- 4.6 Algorithms for on-line parameter estimation -- 4.7 Bias arising from correlated disturbances -- 4.8 Three-stage least squares and order determination for scalar ARMAX models -- Notes and references -- 5 Asymptotic analysis of prediction error identification methods -- 5.1 Preliminary concepts and definitions -- 5.2 Asymptotic properties of the parameter estimates -- 5.3 Consistency -- 5.4 Interpretation of identification in terms of systems approximation -- Notes and references -- 6 Optimal control for state-space models -- 6.1 The deterministic linear regulator -- 6.2 The stochastic linear regulator -- 6.3 Partial observations and the separation principle -- Notes and references -- 7 Minimum variance and self-tuning control -- 7.1 Regulation for systems with known parameters -- 7.2 Pole/zero shifting regulators -- 7.3 Self-tuning regulators -- 7.4 A self-tuning controller with guaranteed convergence -- Notes and references -- Appendix A A uniform convergence theorem and proof of Theorem 5.2.1 -- Appendix B The algebraic Riccati equation -- Appendix C Proof of Theorem 7.4.2 -- Appendix D Some properties of matrices -- Appendix E Some inequalities of Hรถlder type -- Author index