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| Kumar P.R., Varaiya P. — Stochastic Systems: Estimation, Identification, and Adaptive Control |
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| Предметный указатель |
Adaptive control 232
Adaptive filter 228
Adaptive tracking 325
Aggressive control 91
AML 218
Anderson 33 69 142
Aperiodic matrix 46
ARMAX model 61
Astrom 69 229 340
Asymptotic bias 174
Autoregressive 61
Average cost 144
Average cost as limit 163
Average cost problem 156
Bandit problem 236
Bar-Shalom 91
Basic random variables 11
Bather 166
Bayes estimator 171
Bayesian identification problem 191
Becker 284 340
Bellman 22 91
Bertsekas 91 165 257
Biased MLE 275
Bierman 142
Blackwell 4 165 187
Borkar 284
box 69
Bremaud 59
Bryson 22
Buyukkoc 257
Caines 229 340
Certainty equivalence 110
Certainty equivalence, control 268 287
Certainty equivalence, enforced 232
Chow 69 91
Chung 22
Clark 229
Closed loop 12
Closed loop, identification 214 270
Compact parameter set 284
Comparison principle 74
Complete observation 10
Conditional distribution 16
Consistent estimate 174
Contraction mapping 146 147
Control process 13
Controllability 32
Cost-to-go 74
Covariance 15
Cramer 187
Cramer — Rao inequality 173
Davis 91
Denardo 165
Derman 165
Deterministic model 7
Dewilde 142
Direct adaptive control 315 327
Discounted cost 144
Discounted cost problem 151
Doob 22 59 69 284
Doshi 284
Dreyfus 22 91
Dual aspect of control 88 236 239 259
Dubins 165
Dym 142
Dynamic programming equations 75
Dynkin 165
Efficient estimate 173
ELS 218
Ergodic chain 37
Erlang loss formula 55
Estimate 171
Estimator 171
Extended least squares 218
Facorization methods 111
Factorization criterion 175
Farmer example 8
Federgruen 166
Feedback law 12
Fel'dbaum 91
Feller 59
FIR 64
Fisher information matrix 173
Fixed point 146
Fixed Point Iteration 149
Forced choice scheme 275 284
Forgetting factor 191
Frequency domain model 65
Frequent limit point 278
Game theory 4
Gasoline example 8
Gauss — Markov process 31
Gertz 187
Gevers 187
Girshick 187
Gittins 257
Gittins index 244 252
Glazebrook 257
Glover 187
Goodwin 142 187 340
Gram — Schmidt 113
Gross 59
Gupta 4
Gustavsson 229
Hajek 165
Hannan 69 187
Harris 59
Harvey 4
Haykin 69
Ho 22
Honig 69
Hordijk 165 166
Howard 58 165
Identifiability 185 270
Identification of Markov chains 260
Immediate cost 71
Implicit adaptive control 317
Impulse response model 64
Indecomposable matrix 45
Index rule 244
information 84
Information matrix 199
Information state 80
Information state as condition pd 82
Information state for Markov chain 83
Innovations process 136 184
Innovations process representation 32
Innovations process, backward 139
Innovations process, forward 139
Instrumental variables 216
Internal stability 122
Invariant pd 45
Invariant set 152 165
Irreducible matrix 45
Itakura 142
IVE 216
Jacobs 91
Jenkins 69
Jensen's inequality 165
Kailath 142
Kallenberg 165
Kallianpur 91
Kalman 100
Kalman filter 97 103
Karandikar 91
Kelly 59 258
Kemeny 59
Kendall 187
Kendrick 91
| Kiefer 339
Kleinrock 59
Knapp 59
Kolmogorov equation 51
Kronecker's lemma 201
Kumar 142 165 258 284 340
Kung 142
Kushner 59 165 229
Lai 257
Landau 340
Lattice filter 141
Lattice filter, adaptive 228
Least squares estimate 190
Levinson 142
Levinson algorithm 133 228
Likelihood function 175
Likelihood function for Markov chains 262
Lin 165 284 341
Lindquist 142
Linear Gaussian problem 108
Linear non-Guassian system 27
Linear program 155 163 165
Linear stochastic system 23
Linear stochastic system, asymptotic properties 28
Lippman 165
Ljung 228 339
Loeve 22
Log-likelihood function 175
LQG 108 158
LSE 190
LSE consistency 198
LSE efficiency 199
LSE for ARMAX models 200
LSE for ARX models 195
LSE strong consistency 204
Luce 4
Lyapunov equation 29 293
Lyapunov method 340
M/M/1 queue 54
Machine example 35
Mandl 165 284
Markov chain 21
Markov chain, controlled 21
Markov policy 38 73
Markov property 21
Martingale convergence 201 232
Martingale convergence, difference 161
Martingale convergence, stability 161
Matrix inversion lemma 190
Maximum entropy method 143
Maximum likelihood estimate 175 193
Mehra 187
Meier 91
Memoryless chain 52
Messerschmitt 69
Metivier 229
Miller 166
Minimum phase 68 122 298
Minimum variance control 120 306
Minimum variance estimate 173
MLE 175 193 206
MLE for Markov chains 261
MLE, consistency 263
Model following adaptive control 336
Monotone operator 154
Monro 339
Moore 33 69 142
MORF 142
Morgenstern 4
Moving Average 61
Near supermartingale 296
Near supermartingale, convergence 296
Neveu 340
Nonlinear filtering 91
Observability 32 98
Observation probability 21
Observation process 11
ODE method 224
Off-line identification 206
Off-line information 176
On-line information 176
One-period cost 71
Open loop 12
Optimal policy 72
Optimal value function 77
Ornstein 165
Output prediction 182
Papoulis 142
Parametrization 170 176
Partial correlation coefficient 142
Partial observation 10
Patchell 91
Payne 187
pd 15
PEE 192 206
Persistent excitation 199 204 215
Peterka 142
PLR 218
PLRE 218
Poisson process 52
Policy improvement 153
Policy iteration 153 162
Positive real 219 323
Posterior density 171
Praly 340
Pre-whitening filter 184
Prediction error 218
Prediction error, estimate 192
Prior density 171
Priouret 229
Production example 62
Projection facility 222
Pseudolinear regression 217
Queuing problem 53 165 240
RaifTa 4
Rainfall example 61
Ramadge 340
Randomized control 152
Rao 187
Rate matrix 50
Reachability 29
Recurrence 166
Recursive least squares 191
Recursive maximum likelihood 222
Recursive prediction error method 219
Reflection coefficient 142
Regulator problem 325
Reservoir example 1
Residual 197 218
Revuz 59
Riccati equation 100
RLS 191
RML 222
Robbins 257 258 284 339
Rohtagi 187
Rosberg 59
Ross 165 166 257
Rothschild 258
RPEM 219
Saito 142
Saluja 340
Sample correlation 199 318
Sanchez 4
Satisfice 4
Savage 4 165
Schal 166
Scheduling problem 240
Schwartz 229
Seidman 341
Self-optimizing 234
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