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A comprehensive treatment of stochastic systems beginning with the foundations of probability and ending with stochastic optimal control. The book divides into three interrelated topics. First, the concepts of probability theory, random variables and stochastic processes are presented, which leads easily to expectation, conditional expectation, and discrete time estimation and the Kalman filter. With this background, stochastic calculus and continuous-time estimation are introduced. Finally, dynamic programming for both discrete-time and continuous-time systems leads to the solution of optimal stochastic control problems resulting in controllers with significant practical application. This book will be valuable to first year graduate students studying systems and control, as well as professionals in this field.

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Book Details

ISBN: 9780898716559
ISBN-10: 0898716551
Format: Paperback
(247mm x 174mm x 19mm)
Pages: 400
Imprint: Society for Industrial & Applied Mathematics,U.S.
Publisher: Society for Industrial & Applied Mathematics,U.S.
Publish Date: 6-Nov-2008
Country of Publication: United States

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Author Biography - Jason Lee Speyer

Professor Jason L. Speyer received his B.S. in Aeronautics and Astronautics from M.I.T. (1960) and his Ph.D. in Applied Mathematics from Harvard University (1968). His industrial experience includes research at Boeing, Raytheon, Analytical Mechanics Associated, and the Charles Stark Draper Laboratory. He was the Harry H. Power Professor in Engineering Mechanics, University of Texas, Austin. Currently, he is a Distinguished Professor in the Mechanical and Aerospace Engineering Department and the Electrical Engineering Department at the University of California, Los Angeles. Professor Speyer has twice been an elected member of the Board of Governors of the IEEE Control Systems Society. He served as Associate Editor for Technical Notes and Correspondence (1975-76) and Stochastic Control (1978-79), IEEE Transactions on Automatic Control, for AIAA Journal of Spacecraft and Rockets (1976-77), AIAA Journal of Guidance and Control (1977-78), and for Journal of Optimization Theory and Applications, 1981-present. He is fellow of AIAA and IEEE (Life Fellow) and was awarded AIAA Mechanics and Control of Flight Award, AIAA Dryden Lectureship in Research, Air Force Exceptional Civilian Decoration (1991 and 2001), IEEE Third Millennium Medal, and membership in the National Academy of Engineering. In 2002 the UCLA Autonomous Vehicle System Instrumentation Laboratory under his direction was awarded the NASA Public Service Group Achievement Award for exceptional service, commitment, and dedication toward the successful development of the Dryden Flight Research Center Autonomous Flight Formation project. Walter Chung received his B.S. in Aeronautics and Astronautics from M.I.T. (1990), his M.S. in Aeronautics and Astronautics from Stanford University (1992) and his Ph.D. in Aerospace Engineering from the University of California, Los Angeles (1997). He currently works in the aerospace industry and has taught gradaute courses in stochastic processes, estimation and control at UCLA since 1997.