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"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." -Zentralblatt Math

 

"This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." -Applications of Mathematics

 

"The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." -Journal of the Indian Institute of Science

Foundations of Deterministic and Stochastic Control

Preface * State Space Realizations * Least Squares Control * Stability Theory * Random Variables and Processes * Kalman--Bucy Filters * Continuous Time Models * The Separation Theorem * Luenberger Observers * Nonlinear and Finite State Problems * Wiener--Hopf Methods * Distributed System Regulators * Filters Without Riccati Equations * Newton's Method for Riccati Equations * Numerical Spectral Factorization * Hilbert and Banach Spaces and Operators * Measure Theoretic Probability * References * Index