Stochastic Systems

P. R. Kumar is currently a University Distinguished Professor and holds the College of Engineering Chair in Computer Engineering at Texas A&M University. His research is focused on energy systems, wireless networks, secure networking, automated transportation, and cyberphysical systems. Kumar is a member of the US National Academy of Engineering and a Fellow of the World Academy of Sciences, ACM, and IEEE. Pravin Varaiya is a Professor of the Graduate School in the Department of Electrical Engineering and Computer Sciences at the University of California, Berkeley. His current research focuses on transportation networks and electric power systems. He is a Fellow of IEEE and the American Academy of Arts and Sciences, and a member of the US National Academy of Engineering. He is on the editorial board of Transportation Letters and has co-authored four books, most recently, Dynamics and Control of Trajectory Tubes (2014).

• Chapter 1: IntroductionChapter 2: State space modelsChapter 3: Properties of linear stochastic systemsChapter 4: Controlled Markov chain modelChapter 5: Input output modelsChapter 6: Dynamic programmingChapter 7: Linear systems: estimation and controlChapter 8: Infinite horizon dynamic programmingChapter 9: Introduction to system identificationChapter 10: Linear system identificationChapter 11: Bayesian adaptive controlChapter 12: Non-Bayesian adaptive controlChapter 13: Self-tuning regulators for linear systems