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| Stochastic Processes, Estimation, and Control | Buy a book...
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| Author(s): | J. Speyer and W. Chung |
| Publisher: | SIAM |
| ISBN: | 9780899716559 |
| Format: | softback |
| 383pp | |
| Price: | $99.00 |
| Review Date: | 22 January 2009 |
| Review: | In this book the authors show how probability can be used to model uncertainty in control and estimation problems. It is a description in three parts: probability theory and stochastic processes, estimation theory, and stochastic optimal control. There are chapters on: Probability theory; Random variables and stochastic processes; Conditional expectations and discrete-time Kalman filtering; Least squares, the orthogonal projection lemma, and discrete-time Kalman filtering; Stochastic processes and stochastic calculus; Continuous-time Gauss–Markov systems; The extended Kalman filter; A selection of results from estimation theory; Stochastic control and the linear quadratic Gaussian control problem; and Linear exponential Gaussian control and estimation. |