Stochastic Models Estimation And Control - Vol I, (Peter S. Maybeck) 教材.pdf

Stochastic models,
estimation, and control
VOLUME 1
This is Volume 14 1 in
MATHEMATICS IN SCIENCE AND ENGINEERING
A Series of Monographs and Textbooks
Edited by RICHARD BELLMAN, University of Southern California
plete listing of books in this series is available from the Publisher
upon request.
Stochastic models,
estimation,
and control
VOLUME 1
PETER S. MAYBECK
DEPARTMENT OF ELECTRICAL ENGINEERING
AIR FORCE INSTITUTE OF TECHNOLOGY
WRIGHT-PATTERSON AIR FORCE BASE
OHIO
ACADEMIC PRESS New York San Francisco London 1979
A Subsidiary of Harcourt Brace Jovanovich, Publishers
COPYRIGHT @ 1979, BY ACADEMICPRESS, INC.
ALL RIGHTS RESERVED.
NO PART OF THIS PUBLICATION MAY BE REPRODUCED OR
TRANSMITTED IN ANY FORM OR BY ANY MEANS, ELECTRONIC
OR MECHANICAL, INCLUDING PHOTOCOPY, RECORDING, OR ANY
INFORMATION STORAGE AND RETRIEVAL SYSTEM, WITHOUT
PERMISSION IN WRITING FROM THE PUBLISHER.
ACADEMIC PRESS, INC.
111 Fifth Avenue, New York, New York 10003
United Kingdom Edition published by
ACADEMIC PRESS, INC. (LONDON) LTD.
24/28 Oval Road, London NW1 7DX
Library of Congress Cataloging in Publication Data
Maybeck, Peter S
Stochastic models, estimation and control.
(Mathematics in science and engineering ; v. )
Includes bibliographies.
1. System analysis. 2. Control theory. 3. Estimation
theory. I. Title. 11. Series.
78-8836
ISBN 0-12-480701-1 (v. 1)
PRINTED IN THE UNITED STATES OF AMERICA
79808182 987654321
TO Beverly
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Contents
Prefuce xi
Contents of Volume 2 xv
Notation xvii
Chapter 1 Introduction
Why Stochastic Models, Estimation, and Control? 1
Overview of the Text 3
The Kalman Filter: An Introduction to Concepts 3
Basic Assumptions 7
A Simple Example 9
A Preview 15
General References 15
Appendix and Problems 16
References 23
Chapter 2 Deterministic system mod