Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems / Edition 1

by Vasile Dragan, Toader Morozan, Adrian-Mihail Stoica

Overview

In this monograph the authors develop a theory for the robust control of discrete-time shastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Shastic Systems" published by Springer in 2006.

Key features:

- Provides a common unifying framework for discrete-time shastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature;

- Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains;

- Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations;

- Leads the reader in a natural way to the original results through a systematic presentation;

- Presents new theoretical results with detailed numerical examples.

The 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 shastic systems.

Product Details

ISBN-13:	9781441906298
Publisher:	Springer New York
Publication date:	11/24/2009
Edition description:	2010
Pages:	346
Product dimensions:	6.10(w) x 9.25(h) x 0.03(d)

Table of Contents

Elements of probability theory.- Discrete-time linear equations defined by positive operators.- Mean square exponential stability.- Structural properties of linear shastic systems.- Discrete-time Riccati equations of shastic control.- Linear quadratic optimization problems.- Discrete-time shastic optimal control.- Robust stability and robust stabilization of discrete-time linear shastic systems.

Editorial Reviews

From the reviews:

“This monograph deals with the control theory of linear discrete-time shastic systems subject to multiplicative white noise and to Markov jumping, as arising in many engineering areas, such as communications, fault detection and isolation, robust control, shastic filtering navigation as wells as in finance, economics and biology. … The theoretical developments are illustrated by several examples. … The book is suitable for advanced courses in robust control of discrete-time shastic systems, where a good knowledge of probability theory and linear control systems is needed.” (Kurt Marti, Zentralblatt MATH, Vol. 1183, 2010)

“The book is dedicated to control theory of linear discrete-time shastic systems perturbed by both multiplicative white noise and Markov jumps. … The book is recommended to graduate students and researchers in the field of applied mathematics and shastic control.”­­­ (Pavel Pakshin, Mathematical Reviews, Issue 2011 d)

From the Publisher