Publisher's Synopsis
Linear Stochastic Systems, originally published in 1988, is today as comprehensive a reference to the theory of linear discrete-time-parameter systems as ever. Its most outstanding feature is the unified presentation, including both input-output and state space representations of stochastic linear systems, together with their interrelationships.
The author first covers the foundations of linear stochastic systems and then continues through to more sophisticated topics including:
- the fundamentals of stochastic processes and the construction of stochastic systems;
- an integrated exposition of the theories of prediction, realization (modeling), parameter estimation, and control; and
- a presentation of stochastic adaptive control theory.
