Praise for the Series:"This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory."-IEEE Group Correspondence"This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control."--Control

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.

The great advances made in large-scale integration of semiconductors, the resulting cost-effective digital processors and data storage devi ces, and the development of suitable programming techniques are all having increasing influence on the techniques of measurement and con trol and on automation in general. The application of digital techni ques to process automation started in about 1960 when the first process computer was installed. From about 1970 computers have become standard equipment for the automation of industrial processes, connected on-line in open or closed loop. The annual increase of installed process compu ters in the last decade was about 20- 30 %. The cost of hardware has shown a tendency to decrease, whereas the relative cost of user soft ware has tended to increase. Because of the relatively high total cost, the first phase of digital computer application to process control is characterized by the centralization of many functions in a single (though sometimes in several) process computer. Such centralization does not permit full utilization of the many advantages of digital signal processing and rapid economic pay-off as analog back-up systems or parallel standby computers must often be provided to cover possible breakdowns in the central computer. In 1971 the first microprocessors were marketed which, together with large-scale integrated semiconductor memory units and input/output mo dules, can be assembled into more cost-effective process microcompu ters.

Praise for Previous Volumes"This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory."-IEEE GROUP CORRESPONDANCE"This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control."-CONTROL

Praise for Previous Volumes"This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory."-IEEE GROUP CORRESPONDANCE"This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control."-CONTROL

This book focuses on the class of large-scale stochastic systems, which has dominated the attention of many academic and research groups. It discusses distributed-sensor networks, decentralized detection theory, and econometric models with integrated and decentralized policymakers.

Engineering systems have played a crucial role in stimulating many of the modern developments in nonlinear and stochastic dynamics. After 20 years of rapid progress in these areas, this book provides an overview of the current state of nonlinear modeling and analysis for mechanical and structural systems. This volume is a coherent compendium written by leading experts from the United States, Canada, Western and Eastern Europe, and Australia. The 22 articles describe the background, recent developments, applications, and future directions in bifurcation theory, chaos, perturbation methods, stochastic stability, stochastic flows, random vibrations, reliability, disordered systems, earthquake engineering, and numerics. The book gives readers a sophisticated toolbox that will allow them to tackle modeling problems in mechanical systems that use stochastic and nonlinear dynamics ideas. An extensive bibliography and index ensure this volume will remain a reference standard for years to come.

Praise for the Series:"This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory."--IEEE Group Correspondence"This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control."--Control

Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.