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Monographs on Statistics and Applied Probability

Stochastic Modelling and Control

Authors: Davis, Mark

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About this book

This book aims to provide a unified treatment of input/output modelling and of control for discrete-time dynamical systems subject to random disturbances. The results presented are of wide applica­ bility in control engineering, operations research, econometric modelling and many other areas. There are two distinct approaches to mathematical modelling of physical systems: a direct analysis of the physical mechanisms that comprise the process, or a 'black box' approach based on analysis of input/output data. The second approach is adopted here, although of course the properties ofthe models we study, which within the limits of linearity are very general, are also relevant to the behaviour of systems represented by such models, however they are arrived at. The type of system we are interested in is a discrete-time or sampled-data system where the relation between input and output is (at least approximately) linear and where additive random dis­ turbances are also present, so that the behaviour of the system must be investigated by statistical methods. After a preliminary chapter summarizing elements of probability and linear system theory, we introduce in Chapter 2 some general linear stochastic models, both in input/output and state-space form. Chapter 3 concerns filtering theory: estimation of the state of a dynamical system from noisy observations. As well as being an important topic in its own right, filtering theory provides the link, via the so-called innovations representation, between input/output models (as identified by data analysis) and state-space models, as required for much contemporary control theory.

Table of contents (7 chapters)

Table of contents (7 chapters)

Buy this book

eBook $84.99
price for USA in USD (gross)
  • ISBN 978-94-009-4828-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.99
price for USA in USD
  • ISBN 978-94-010-8640-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Modelling and Control
Authors
Series Title
Monographs on Statistics and Applied Probability
Copyright
1985
Publisher
Springer Netherlands
Copyright Holder
M. H. A. Davis and R. B. Vinter
eBook ISBN
978-94-009-4828-0
DOI
10.1007/978-94-009-4828-0
Softcover ISBN
978-94-010-8640-0
Edition Number
1
Number of Pages
XII, 394
Topics