Identification and Stochastic Adaptive Control

✍ Scribed by Han-Fu Chen, Lei Guo (auth.)

• Publisher: Birkhäuser Basel
• Year: 1991
• Tongue: English
• Leaves: 436
• Series: Systems & Control: Foundations & Applications
• Edition: 1
• Category: Library

✦ Synopsis

Identifying the input-output relationship of a system or discovering the evolutionary law of a signal on the basis of observation data, and applying the constructed mathematical model to predicting, controlling or extracting other useful information constitute a problem that has been drawing a lot of attention from engineering and gaining more and more importance in econo­ metrics, biology, environmental science and other related areas. Over the last 30-odd years, research on this problem has rapidly developed in various areas under different terms, such as time series analysis, signal processing and system identification. Since the randomness almost always exists in real systems and in observation data, and since the random process is sometimes used to model the uncertainty in systems, it is reasonable to consider the object as a stochastic system. In some applications identification can be carried out off line, but in other cases this is impossible, for example, when the structure or the parameter of the system depends on the sample, or when the system is time-varying. In these cases we have to identify the system on line and to adjust the control in accordance with the model which is supposed to be approaching the true system during the process of identification. This is why there has been an increasing interest in identification and adaptive control for stochastic systems from both theorists and practitioners.

✦ Table of Contents

Front Matter....Pages i-xi
Probability Theory Preliminaries....Pages 1-23
Limit Theorems on Martingales....Pages 25-50
Filtering and Control for Linear Systems....Pages 51-87
Coefficient Estimation for ARMAX Models....Pages 89-151
Stochastic Adaptive Tracking....Pages 153-186
Coefficient Estimation in Adaptive Control Systems....Pages 187-215
Order Estimation....Pages 217-241
Optimal Adaptive Control with Consistent Parameter Estimate....Pages 243-291
ARX(∞) Model Approximation....Pages 293-331
Estimation for Time-Varying Parameters....Pages 333-373
Adaptive Control of Time-Varying Stochastic Systems....Pages 375-401
Continuous-Time Stochastic Systems....Pages 403-419
Back Matter....Pages 421-435

✦ Subjects

Science, general