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Aslrom K.J. — Introduction to Stochastic Control Theory
Aslrom K.J. — Introduction to Stochastic Control Theory



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Название: Introduction to Stochastic Control Theory

Автор: Aslrom K.J.

Аннотация:

The object of this book is to present stochastic control theory — analysis, parametric optimization and optimal stochastic control. The treatment is limited to linear systems with quadratic criteria. It covers discrete time as well as continuous time systems.


Язык: en

Рубрика: Математика/

Статус предметного указателя: Готов указатель с номерами страниц

ed2k: ed2k stats

Год издания: 1970

Количество страниц: 299

Добавлена в каталог: 20.03.2010

Операции: Положить на полку | Скопировать ссылку для форума | Скопировать ID
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Предметный указатель
Admissible control strategy      160 162 174 258 281
Admissible control strategy, predictor      162
Agniel, R.G.      157
Analysis of dynamical systems      91
Analysis of dynamical systems of continuous time systems      104
Analysis of dynamical systems of discrete time systems      92
Aoki, M.      12
Astroem, K.J.      11 89 90 157 209 293
Athans, M.      11
Auto-correlation      23
Autocovariance function      23
Autoregressive process      5 15 16 22 46
Backward difference      55 56
Backward difference, difference operator      198
Band limited white noise      31
Barnes, R.B.      87
Basis weight control      190 191 196 198
Basis weight loop      194
Battin, R.H.      112
Bellman equation      265
Bellman, R.      11 12 254 293
Bernstein, S.N.      57 87
Bertram, J.E.      158
Bharucha-Reid, A.T.      43 89
Bode, H.W.      253
Bohlin, T.      209
Boltyanskii, V.G.      12
Boltzmann’s constant      70 80
Box, G.E.P.      209
Brown, R.      20
Brownian motion      19 78
Bryson, A.E.      12 254 255
Bucy, R.S.      7 12 246 253 255
Canonical form      173
Certainty equivalence principle      8 256 257
Characteristic equation      182
Characterization of disturbances      5
Clark, J.M.C.      90
Closed loop      2
Complete state information      259 260 264 286 288
Completely deterministic stochastic process      5
Completely uncorrelated process      30
Conditional distribution      219
Conditional expectation      213
Conditional mean      8 229
Consistency      14
Continuity      36
Continuity, mean square      36
Continuity, Wiener process      37
Control error      161
Control law      281
Convergence concept      33 34
Convergence concept in probability one      33
Convergence concept with probability one      33
Convergence concept, mean square      33 92
Converter, A/D      196
Converter, D/A      196
Correlation function      24
Covariance      15
Covariance function      18 23 24 48 64 66
Cox, D, R.      43
Cramer, H.      43 113
Criterion      173 211
Cross spectral density      96
Cross-correlation function      23
Davenport, W.B.Jr.      112 253
Dead-beat regulator      159
Dead-beat regulator, strategy      180
Decomposition of stationary processes      28
Determination of the transfer function      97
Deterministic case      288
Deterministic case, control problem      243
Deterministic case, control theory      1
Deterministic case, output      202
Differentiability      37
Differentiability, mean square      37
Differentiability, Wiener process      39
Discrete parameter process      14
Doob, J.L.      43 87
Dry basis weight      198
Dryer section      191
Duality      238 240 242
Duality theorem      239 243
Dynamic programming      257 264 269
Einstein, A.      20 87
Ekstrom, A.      209
Environment      172
Equipartition law      79
Estimate      211
Estimator      211
Evaluation of performance      115
Evaluation of performance, loss functions for continuous time systems      128
Evaluation of performance, loss functions for discrete time systems      116
Falb, P.      11
Filtering problem      210 211
Finite dimensional distribution      14
Fisher’s information matrix      199
Fokker — Planck equation      72
Fomin, S.V.      294
Formal integration      62
Formal manipulations of stochastic d.e.      67
Formulation of prediction and estimation problem      211
Forward difference      56
Forward difference, shift operator q      164
Franklin, G.F.      293
Frost, P.      253
Fuller, A.T.      89
Functional equation      265 269
Gamkrelidze, R.V.      12
Gauss — Markov stochastic process      151
Gaussian distribution      17 218
Gaussian process      17
Gelfand, I.M.      88 89 294
Geometric interpretation of estimation problem      221
Gikhman, I.I.      43 57 87 88
Gittelman, J.N.      293
Gould, L.A.      112 156
Gunkel, T.L.      293
Hall, A.C.      4
Headbox      191
Ho, Y.C.      12 254
Identification      196 202
Identification problem      160 188
Identity      168 169 278 287
Impulse response      180
Incomplete state information      259 261 269 274 278 286 289
Incremental covariance      19
Industrial application      188
Information matrix      196
Initial probability distribution      18
Innovations      102 170 227 231 247
Innovations representation      102
Input signal      197
Integrability      40
Integral of a deterministic function      58
Integral of stochastic processes      59
Integration by parts      61
Interpolation problem      211
Ito differentiation rule      74
Ito integral      60
Ito, K.      43 87 89
James, H.M.      7 12 112 156
Jenkins, G.M.      209
Johansen, D.E.      255
Joseph, P.D.      12 255 293
Jury, E.I.      157
k-step predictor      166 168 169
Kailath, T.      114 253 254
Kaiser, J.F.      112 156
Kalaba, R.      11
Kalman filter      8 116 230 250
Kalman filtering      228 257
Kalman — Bucy filtering algorithm      158 246
Kalman, R.E.      7 12 158 228 246 253
Karhunen — Lodve expansion      114
Karhunen, K.      114
Karlin, S.      43
Koepcke, R.W.      293
Kolmogorov backward operator      72 76
Kolmogorov forward equation      72
Kolmogorov forward operator      72
Kolmogorov, A.N.      43 252
Kolmogorov’s theorem      14
Kraft paper      189
Kushner, H.J.      89 255
Langevin equation      70 79
Laning, J.H.      112
Leadbetter, M.R.      43
Least squares estimate      199
Lee, E.B.      12
Lee, Y.W.      253
Levy, P.      43 57 87
Linear quadratic control problem      286
Linear stochastic control theory      8
Linear stochastic difference equation      46 47
Linear stochastic differential equation      54 63
Linearly singular process      21
Loeve, M.      43
Loss function      76 115 195 199 212
Luenberger, D.G.      158
Markov process      18 45
Markus, L.      12
Maximum likelihood estimate      195 199
McKean, H.P.      43
Mean square convergence      35
Mean value      15 66
Mean value function      18 48 64
Meier, L.      293
Miller, H.D.      43
Minimal variance control strategy      160 172 174 175
Minimum mean square prediction      216
Mishchenko, E.F.      12
Modeling stochastic d.e.      78
Moisture control system      194 196
Moving Average      15 16 22 46 169 175
Nekolny, J.      157
Newton, G.C.      112 156
Nichols, N.B.      7 12 112 156
Noise      211
Nonlinear stochastic d.e.      71
Nonminimum phase      182
normal      17
Normal processes      17
Null hypothesis      200
Numerical identification      198
One step predictor      163 164 165
Open loop      2
Optimal control of deterministic processes      2
Optimal prediction      162
Optimal prediction, regulator      159
Optimal prediction, strategy      160
Optimization of performance      115
Orthogonal increments      18 113
Paley — Wiener condition      29
Paley, R.E.A.C.      112
Parameter optimization      115
Parameter set      13
Parzen, E.      42
Path      14
Pearson, J.D.      254
Peterka, V.      157
Phillips, R.S.      7 12 112 156
Pi-regulator      180
Pontryagin, L.S.      12
Potter, L.E.      293
Prabhu, N.U.      43
Prediction      210
Prediction, error      161 164 169 195 202
Prediction, problem      211
Prediction, theory      162
Predictor      159 202
Process control      188
Process identification      195
Processes of second order      18
Processes with independent increments      18
Projection theorem      223
Properties of the closed loop system      275 290
Pseudo-random binary signals      198
Purely deterministic process      21
Purely radom process      30
Quality control      188
Ragazzini, J.R.      253
Random telegraph wave      26
Rappaport, D.      255
Rational spectrum      99
Rational spectrum, spectral density      99 128
Realization      14
Reciprocal polynomial      118 166
Reconstruction error      143
Reconstruction of state variables      142 150
Refiner control      196
Regulation error      175
Regulator      159
Representation the processes      232
Representation theorem      92 101 111
Residuals      195 203
Riccati equation      7 152 153
Riemann integrable      41
Riesz — Fisher theorem      35
Root, W.L.      112 253
Routh — Hurwitz theorem      157
Ruzicka, J.      157
Sample function      14
Sample function space      14
Sampling a stochastic d.e.      82
Sampling interval      194
Schumitzky, A.      254
Schwartz inequality      25
Sensitivity of optimal system      181
Separation, theorem      7 159 176 256 257
Shannon, C.E.      253
Sherman, S.      254
signal      211
Silverman, L.M.      255
Silverman, S.      87
Simon, H.A.      12 293
Singular Gaussian distribution      218
Singular stochastic process      5 21 26
Skorokhod, A.V.      42 87 88
Smoothing problem      211
Solodovnikov, V.V.      112
Spectral density      26 27 91 96
Spectral density, density function      27
Spectral density, distribution function      27
Spectral density, factorization      92 99
Spectral density, factorization of continuous time processes      107
Spectral density, factorization of discrete time processes      98
Spectral density, factorization theorem      92 99 108
Stability properties      3
State      45
State, estimation      212
State, estimation for continuous time processes      241
State, estimation for discrete time systems      225
State, models      51 91
Static optimization problem      259
Stationary processes      17 95 106
Stochastic calculus      74
Stochastic calculus, control problem      210 257
Stochastic calculus, control systems      91
Stochastic calculus, control theory      6 188
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