This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems. 1970 edition.
This volume's focus on the design of computer controlled systems features computational tools that can be applied directly and are explained with simple paper-and-pencil calculations. The use of computational tools is balanced by strong emphasis on control system principles and ideas. Extensive pedagogical aids include worked examples, MATLAB macros, and a solutions manual.