资源描述：
《Lectures On Stochastic Control And Nonlinear Filtering(Davis).pdf》由会员上传分享，免费在线阅读，更多相关内容在学术论文-天天文库。
1、LecturesonStochasticControlandNonlinearFilteringByM.H.A.DavisTataInstituteofFundamentalResearchBombay1984LecturesonStochasticControlandNonlinearFilteringByM.H.A.DavisLecturesdeliveredattheIndianInstituteofScience,BangaloreundertheT.I.F.R.–I.I.Sc.Progra
2、mmeinApplicationsofMathematicsNotesbyK.M.RamachandranPublishedfortheTataInstituteofFundamentalResearchSpringer-VerlagBerlinHeidelbergNewYorkTokyo1984AuthorM.H.A.DavisDepartmentofElectricalEngineeringImperialCollegeofScienceandTechnologyLondonSW7UnitedK
3、ingdomcTataInstituteofFundamentalResearch,1984ISBN3-540-13343-7Springer-Verlag,Berlin.Heidelberg.NewYork.TokyoISBN0-387-13343-7Springer-Verlag,NewYork.Heidelberg.Berlin.TokyoNopartofthisbookmaybereproducedinanyformbyprint,microfilmoranyothermeanswith-ou
4、twrittenpermissionfromtheTataInstituteofFundamentalResearch,Colaba,Bombay400005PrintedbyM.N.JoshiatTheBookCentreLimited,SionEast,Bombay400022andpublishedbyH.Goetze,Springer-Verlag,Heidelberg,WestGermanyPrintedinIndiaPrefaceThesenotescomprisethecontents
5、oflecturesIgaveattheT.I.F.R.Cen-treinBangaloreinApril/May1983.Thereareactuallytwoseparateseriesoflectures,oncontrolledstochasticjumpprocessesandnonlin-earfilteringrespectively,andthecorrespondingtwopartsofthesenotesarealmostdisjoint.Theyareunitedhowever
6、,bythecommonphiloso-phy(ifthatisnottoograndaworkforit)oftreatingMarkovprocessesbymethodsofstochasticcalculus,andIhopethereaderwill,atleast,beconvincedoftheusefulnessofthisandofthe`extendedgenerator'conceptindoingcalculationswithMarkovprecesses.Thefirstp
7、artisaimedatdevelopingoptimalcontroltheoryforaclassofMarkovprocessescalledpiecewise-deterministic(PD)proce-sses.Thesewereonlyisolatedratherrecentlybutseengeneralenoughtoincludeasspecialcasespracticallyallthenon-diffusioncontinuoustimeprocessesofappliedp
8、robability.OptimalcontrolforPDprocessesoccupiesacuriouspositionjusthalfwaybetweendeterministicandSto-chasticoptimalcontroltheoryinsuchawaythatnostandardtheoryfromeithersideisadequatetodealwithit.Theonlyapplicabletheorythatexistsatallisv
