Discrete-Time Markov Jump Linear Systems

1. Auflage. Softcover version of original hardcover Auflage 2005
ISBN: 978-1-84996-908-6
Verlag: Springer

Buch, Englisch, 286 Seiten, Previously published in hardcover, Format (B × H): 155 mm x 235 mm, Gewicht: 446 g

Reihe: Probability and Its Applications

Safety critical and high-integrity systems, such as industrial plants and economic systems can be subject to abrupt changes - for instance due to component or interconnection failure, and sudden environment changes etc.

Combining probability and operator theory, Discrete-Time Markov Jump Linear Systems provides a unified and rigorous treatment of recent results for the control theory of discrete jump linear systems, which are used in these areas of application.

The book is designed for experts in linear systems with Markov jump parameters, but is also of interest for specialists in stochastic control since it presents stochastic control problems for which an explicit solution is possible - making the book suitable for course use.

From the reviews:

"This text is very well written...it may prove valuable to those who work in the area, are at home with its mathematics, and are interested in stability of linear systems, optimal control, and filtering."

Zielgruppe

Research

Autoren/Hrsg.

Costa, O. L. V.

Marques, R. P.

Fragoso, M.D.

Fachgebiete

• Technische Wissenschaften Technik Allgemein Mathematik für Ingenieure
• Technische Wissenschaften Elektronik | Nachrichtentechnik Elektronik Überwachungstechnik
• Mathematik | Informatik Mathematik Stochastik Stochastische Prozesse
• Mathematik | Informatik Mathematik Stochastik Wahrscheinlichkeitsrechnung
• Technische Wissenschaften Elektronik | Nachrichtentechnik Nachrichten- und Kommunikationstechnik Regelungstechnik
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

Preface.- Markovian Jump Linear Systems.- Background Material.- On Stability.- Optimal Control.- Linear Filtering.- Quadratic Optimal Control with Partial Information.- H2- Control.- Design Techniques and Examples.- Appendix A: Coupled Algebraic Riccati Equations.- Appendix B: Auxiliary Results for the Linear Filtering Problem with (k) Unknown.- Appendix C: Auxiliary Results for the H2 Control Problem.- Notation and Corrections.- References.

Über Autor(innen)

Oswaldo Luiz do Valle Costa is Professor in the Department of Telecommunications and Control Engineering at the University of São Paulo

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

Ricardo Paulino Marques works in the Department of Telecommunications and Control Engineering at the University of São Paulo.