Estimation and Control of Dynamical Systems

• Main Author: Bensoussan, Alain (Author, http://id.loc.gov/vocabulary/relators/aut)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2018.
• Edition: 1st ed. 2018.
• Series: Interdisciplinary Applied Mathematics, 48
• Subjects: Dynamics.; Ergodic theory.; Calculus of variations.; Probabilities.; Dynamical Systems and Ergodic Theory.; Calculus of Variations and Optimal Control; Optimization.; Probability Theory and Stochastic Processes.

This book provides a comprehensive presentation of classical and advanced topics in estimation and control of dynamical systems with an emphasis on stochastic control. Many aspects which are not easily found in a single text are provided, such as connections between control theory and mathematical f...

Table of Contents:

• Introduction
• State Representation of Linear Dynamical Systems
• Optimal Control of Linear Dynamical Systems
• Estimation Theory
• Further Techniques of Estimation
• Compliments on Probability Theory
• Filtering Theory in Continuous Time
• Stochastic Control of Linear Dynamic Systems with Full Information
• Stochastic Control of Linear Dynamical Systems with Partial Information
• Deterministic Optimal Control
• Stochastic Optimal Control
• Additional Results for BSDE
• Stochastic Control Problems in Finance
• Stochastic Control for Non-Markov Processes
• Principal Agent Control Problems
• Differential Games
• Stackelberg Differential Games
• Target Problems.