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Stochastic Processes, Estimation, and Control

By: Jason Lee Speyer, Walter H. Chung
Retail Price: $180.00
Booktopia Price $162.00
ISBN: 9780898716559
Format: Paperback
Published: November 2008

All prices in Australian Dollars
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Preface; 1. Probability theory; 2. Random variables and stochastic processes; 3. Conditional expectations and discrete-time Kalman filtering; 4. Least squares, the orthogonal projection lemma, and discrete-time Kalman filtering; 5. Stochastic processes and stochastic calculus; 6. Continuous-time Gauss-Markov systems: continuous-time Kalman filter, stationarity, power spectral density, and the Wiener filter; 7. The extended Kalman filter; 8. A selection of results from estimation theory; 9. Stochastic control and the linear quadratic Gaussian control problem; 10. Linear exponential Gaussian control and estimation; Bibliography; Index.