Theory and methods of adaptive control of stochastic processes. Textbook. (Teoriya i metody adaptivnogo upravleniya stokhasticheskimi protsessami. Uchebnoe posobie). (Russian) Zbl 0605.93001
Riga: Rizhskij Institut Inzhenerov Grazhdanskoj Aviatsii. 115 p. R. 0.25 (1984).
In this textbook, the author presents the theory and methods of adaptive control of stochastic processes. The textbook is written for the students of institutes of civil aviation.
In Chapter one, the elements of the theory of stochastic processes are presented: Markov and Poisson processes, martingales and processes with independent increments. Chapter two is devoted to controllable Markov processes, and their application to the problem of sampling with and without rejection Markov processes with profits and a recurrent form for the profits is also considered. Chapter three deals with the optimal stopping problem. Sequential decision and experimental design algorithms are considered in Chapter four. Chapter five is devoted to the problem of stability of a method of smoothing in control systems with digital computers.
In Chapter one, the elements of the theory of stochastic processes are presented: Markov and Poisson processes, martingales and processes with independent increments. Chapter two is devoted to controllable Markov processes, and their application to the problem of sampling with and without rejection Markov processes with profits and a recurrent form for the profits is also considered. Chapter three deals with the optimal stopping problem. Sequential decision and experimental design algorithms are considered in Chapter four. Chapter five is devoted to the problem of stability of a method of smoothing in control systems with digital computers.
Reviewer: E.Gilbo
MSC:
93-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory |
93C40 | Adaptive control/observation systems |
93E20 | Optimal stochastic control |
60G40 | Stopping times; optimal stopping problems; gambling theory |
60J99 | Markov processes |
62K99 | Design of statistical experiments |
62L99 | Sequential statistical methods |
93E14 | Data smoothing in stochastic control theory |
93E25 | Computational methods in stochastic control (MSC2010) |