Random Processes in Automatic Control
Author : J. Halcombe Laning
Publisher :
Page : 456 pages
File Size : 15,36 MB
Release : 1956
Category : Automatic control
ISBN :
Author : J. Halcombe Laning
Publisher :
Page : 456 pages
File Size : 15,36 MB
Release : 1956
Category : Automatic control
ISBN :
Author : A. A. Pervozvanskii
Publisher : Elsevier
Page : 359 pages
File Size : 22,36 MB
Release : 1965-01-01
Category : Technology & Engineering
ISBN : 0080955215
In this book, we study theoretical and practical aspects of computing methods for mathematical modelling of nonlinear systems. A number of computing techniques are considered, such as methods of operator approximation with any given accuracy; operator interpolation techniques including a non-Lagrange interpolation; methods of system representation subject to constraints associated with concepts of causality, memory and stationarity; methods of system representation with an accuracy that is the best within a given class of models; methods of covariance matrix estimation;methods for low-rank matrix approximations; hybrid methods based on a combination of iterative procedures and best operator approximation; andmethods for information compression and filtering under condition that a filter model should satisfy restrictions associated with causality and different types of memory.As a result, the book represents a blend of new methods in general computational analysis,and specific, but also generic, techniques for study of systems theory ant its particularbranches, such as optimal filtering and information compression.- Best operator approximation,- Non-Lagrange interpolation,- Generic Karhunen-Loeve transform- Generalised low-rank matrix approximation- Optimal data compression- Optimal nonlinear filtering
Author : R.S. Liptser
Publisher : Springer Science & Business Media
Page : 405 pages
File Size : 41,30 MB
Release : 2013-11-11
Category : Mathematics
ISBN : 1475716656
A considerable number of problems in the statistics of random processes are formulated within the following scheme. On a certain probability space (Q, ff, P) a partially observable random process (lJ,~) = (lJ ~/), t :;::-: 0, is given with only the second component n ~ = (~/), t:;::-: 0, observed. At any time t it is required, based on ~h = g., ° s sst}, to estimate the unobservable state lJ/. This problem of estimating (in other words, the filtering problem) 0/ from ~h will be discussed in this book. It is well known that if M(lJ;)
Author : Andrew H. Jazwinski
Publisher : Courier Corporation
Page : 404 pages
File Size : 38,84 MB
Release : 2013-04-15
Category : Science
ISBN : 0486318192
This unified treatment of linear and nonlinear filtering theory presents material previously available only in journals, and in terms accessible to engineering students. Its sole prerequisites are advanced calculus, the theory of ordinary differential equations, and matrix analysis. Although theory is emphasized, the text discusses numerous practical applications as well. Taking the state-space approach to filtering, this text models dynamical systems by finite-dimensional Markov processes, outputs of stochastic difference, and differential equations. Starting with background material on probability theory and stochastic processes, the author introduces and defines the problems of filtering, prediction, and smoothing. He presents the mathematical solutions to nonlinear filtering problems, and he specializes the nonlinear theory to linear problems. The final chapters deal with applications, addressing the development of approximate nonlinear filters, and presenting a critical analysis of their performance.
Author : R.S. Liptser
Publisher : Springer Science & Business Media
Page : 348 pages
File Size : 35,66 MB
Release : 2013-04-17
Category : Mathematics
ISBN : 1475742932
Author : Bruce Hajek
Publisher : Cambridge University Press
Page : 429 pages
File Size : 45,5 MB
Release : 2015-03-12
Category : Technology & Engineering
ISBN : 1316241246
This engaging introduction to random processes provides students with the critical tools needed to design and evaluate engineering systems that must operate reliably in uncertain environments. A brief review of probability theory and real analysis of deterministic functions sets the stage for understanding random processes, whilst the underlying measure theoretic notions are explained in an intuitive, straightforward style. Students will learn to manage the complexity of randomness through the use of simple classes of random processes, statistical means and correlations, asymptotic analysis, sampling, and effective algorithms. Key topics covered include: • Calculus of random processes in linear systems • Kalman and Wiener filtering • Hidden Markov models for statistical inference • The estimation maximization (EM) algorithm • An introduction to martingales and concentration inequalities. Understanding of the key concepts is reinforced through over 100 worked examples and 300 thoroughly tested homework problems (half of which are solved in detail at the end of the book).
Author : Igor N. Kovalenko
Publisher : CRC Press
Page : 456 pages
File Size : 13,10 MB
Release : 1996-07-08
Category : Mathematics
ISBN : 9780849328701
Devising and investigating random processes that describe mathematical models of phenomena is a major aspect of probability theory applications. Stochastic methods have penetrated into an unimaginably wide scope of problems encountered by researchers who need stochastic methods to solve problems and further their studies. This handbook supplies the knowledge you need on the modern theory of random processes. Packed with methods, Models of Random Processes: A Handbook for Mathematicians and Engineers presents definitions and properties on such widespread processes as Poisson, Markov, semi-Markov, Gaussian, and branching processes, and on special processes such as cluster, self-exiting, double stochastic Poisson, Gauss-Poisson, and extremal processes occurring in a variety of different practical problems. The handbook is based on an axiomatic definition of probability space, with strict definitions and constructions of random processes. Emphasis is placed on the constructive definition of each class of random processes, so that a process is explicitly defined by a sequence of independent random variables and can easily be implemented into the modelling. Models of Random Processes: A Handbook for Mathematicians and Engineers will be useful to researchers, engineers, postgraduate students and teachers in the fields of mathematics, physics, engineering, operations research, system analysis, econometrics, and many others.
Author : Emanuel Parzen
Publisher : Courier Dover Publications
Page : 340 pages
File Size : 43,56 MB
Release : 2015-06-17
Category : Mathematics
ISBN : 0486796884
Originally published: San Francisco: Holden-Day, Inc., 1962; an unabridged republication of the third (1967) printing.
Author : Jason L. Speyer
Publisher : SIAM
Page : 391 pages
File Size : 27,82 MB
Release : 2008-11-06
Category : Mathematics
ISBN : 0898716551
The authors provide a comprehensive treatment of stochastic systems from the foundations of probability to stochastic optimal control. The book covers discrete- and continuous-time stochastic dynamic systems leading to the derivation of the Kalman filter, its properties, and its relation to the frequency domain Wiener filter aswell as the dynamic programming derivation of the linear quadratic Gaussian (LQG) and the linear exponential Gaussian (LEG) controllers and their relation to HÝsubscript 2¨ and HÝsubscript Ýinfinity¨¨ controllers and system robustness. This book is suitable for first-year graduate students in electrical, mechanical, chemical, and aerospace engineering specializing in systems and control. Students in computer science, economics, and possibly business will also find it useful.
Author : M. A. Aizerman
Publisher : Elsevier
Page : 532 pages
File Size : 37,6 MB
Release : 2016-10-27
Category : Technology & Engineering
ISBN : 1483155757
Theory of Automatic Control focuses on the theory of automatic control, including controllers, models, control processes, and analysis of systems. The book first offers information on the general introduction to automatic controllers and the construction of a linear model control system and the initial material for its analysis. Discussions focus on astatic controllers of indirect action, floating feedback, controllers of discontinuous action, static characteristics of elements and of systems, and frequency characteristics of a linear element and of the linear model of a system. The text then ponders on the stability of the linear model of an automatic control system and the construction and evaluation of the processes in the linear model of a system of automatic control. Topics include construction of the process from the transfer function of the system; construction of the control process from the frequency characteristics of the system; and analysis of systems with random disturbances given statistically. The publication takes a look at auto- and forced oscillation in non-linear systems, including approximate determination of forced oscillations in the presence of an external periodic action and determination of the auto-oscillations in the case of auto-resonance. The manuscript is a dependable reference for readers interested in the theory of automatic control.