Skip to main content
SpringerLink
Log in

Discrete-time Stochastic Systems

Estimation and Control

  • Textbook
  • © 2002

Overview

Authors:
  1. T. Söderström

    1. Department of Systems and Control, Information Technology, Uppsala University, Uppsala, Sweden

    View author publications

    You can also search for this author in PubMed   Google Scholar

  • Each chapter has exercises at the end for self study and the answers to many of these are included in an appendix
  • Includes supplementary material: sn.pub/extras

Part of the book series: Advanced Textbooks in Control and Signal Processing (C&SP)

This is a preview of subscription content, log in via an institution to check access.

Access this book

Log in via an institution
eBook USD 64.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 84.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

Licence this eBook for your library

Institutional subscriptions

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xxi
    Download chapter PDF

  2. Introduction

    • T. Söderström
    Pages 1-6

  3. Some Probability Theory

    • T. Söderström
    Pages 7-27

  4. Models

    • T. Söderström
    Pages 29-58

  5. Analysis

    • T. Söderström
    Pages 59-122

  6. Optimal Estimation

    • T. Söderström
    Pages 123-135

  7. Optimal State Estimation for Linear Systems

    • T. Söderström
    Pages 137-183

  8. Optimal Estimation for Linear Systems by Polynomial Methods

    • T. Söderström
    Pages 185-221

  9. Illustration of Optimal Linear Estimation

    • T. Söderström
    Pages 223-243

  10. Nonlinear Filtering

    • T. Söderström
    Pages 245-295

  11. Introduction to Optimal Stochastic Control

    • T. Söderström
    Pages 297-317

  12. Linear Quadratic Gaussian Control

    • T. Söderström
    Pages 319-365

  13. Back Matter

    Pages 367-375
    Download chapter PDF
Back to top

Keywords

About this book

Discrete-time Stochastic Systems gives a comprehensive introduction to the estimation and control of dynamic stochastic systems and provides complete derivations of key results such as the basic relations for Wiener filtering. The book covers both state-space methods and those based on the polynomial approach. Similarities and differences between these approaches are highlighted. Some non-linear aspects of stochastic systems (such as the bispectrum and extended Kalman filter) are also introduced and analysed. The books chief features are as follows: inclusion of the polynomial approach provides alternative and simpler computational methods than simple reliance on state-space methods; algorithms for analysis and design of stochastic systems allow for ease of implementation and experimentation by the reader; the highlighting of spectral factorization gives appropriate emphasis to this key concept often overlooked in the literature; explicit solutions of Wiener problems are handy schemes, well suited for computations compared with more commonly available but abstract formulations; complex-valued models that are directly applicable to many problems in signal processing and communications. Changes in the second edition include: additional information covering spectral factorisation and the innovations form; the chapter on optimal estimation being completely rewritten to focus on a posterior estimates rather than maximum likelihood; new material on fixed lag smoothing and algorithms for solving Riccati equations are improved and more up to date; new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control. Discrete-time Stochastic Systems is primarily of benefit to students taking M.Sc. courses in stochastic estimation and control, electronic engineering and signal processing but may also be of assistance for self study and as a reference.

Authors and Affiliations

  • Department of Systems and Control, Information Technology, Uppsala University, Uppsala, Sweden

    T. Söderström

Bibliographic Information

Publish with us

Policies and ethics

Back to top

Search

Navigation