Probability and Its Applications

Continuous-Time Markov Jump Linear Systems

Authors: Costa, Oswaldo Luiz do Valle, Fragoso, Marcelo D., Todorov, Marcos G.

  • Introduces an active and interesting research area
  • Presents a unified and rigorous treatment of recent results in control theory  
  • Numerous applications in safety critical and high-integrity systems including robotics, economics and wireless communication​
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About this book

It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of a high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area.

The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory. ​

About the authors

Oswaldo Luiz do Valle Costa is Professor in the Department of Telecommunications and Control Engineering at the University of São Paulo – USP, São Paulo, SP.

Marcelo Dutra Fragoso is Professor in the Department of Systems and Control at the National Laboratory for Scientific Computing – LNCC/MCTI, Petrópolis, Rio de Janeiro.

Marcos Garcia Todorov is currently a postdoctoral researcher at the National Laboratory for Scientific Computing – LNCC/MCTI, Petrópolis, Rio de Janeiro.

Reviews

From the reviews:

“This book is on the estimation and control of linear continuous-time stochastic systems with jump Markov parameters and additive Wiener processes. … The book is suitable for introducing jump Markov systems theory to graduate students and practitioners with an appropriately advanced background in linear systems, state space control, probability and random processes. Since it has many of the significant control and estimation results in this field, it can also be used as a versatile reference source by researchers in this field.” (Edwin Engin Yaz, Mathematical Reviews, October, 2013)

Table of contents (10 chapters)

  • Introduction

    Costa, Oswaldo L.V. (et al.)

    Pages 1-14

  • A Few Tools and Notations

    Costa, Oswaldo L.V. (et al.)

    Pages 15-31

  • Mean-Square Stability

    Costa, Oswaldo L.V. (et al.)

    Pages 33-69

  • Quadratic Optimal Control with Complete Observations

    Costa, Oswaldo L.V. (et al.)

    Pages 71-82

  • H 2 Optimal Control with Complete Observations

    Costa, Oswaldo L.V. (et al.)

    Pages 83-96

Buy this book

eBook $79.99
price for USA (gross)
  • ISBN 978-3-642-34100-7
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $109.00
price for USA
  • ISBN 978-3-642-34099-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $109.00
price for USA
  • ISBN 978-3-642-43112-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Continuous-Time Markov Jump Linear Systems
Authors
Series Title
Probability and Its Applications
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-34100-7
DOI
10.1007/978-3-642-34100-7
Hardcover ISBN
978-3-642-34099-4
Softcover ISBN
978-3-642-43112-8
Series ISSN
1431-7028
Edition Number
1
Number of Pages
XII, 288
Topics