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| Авторизация |
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| Поиск по указателям |
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| Aslrom K.J. — Introduction to Stochastic Control Theory |
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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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