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: Introduction Chapter 2: State space models Chapter 3: Properties of linear stochastic systems Chapter 4: Controlled Markov chain model Chapter 5: Input output models Chapter 6: Dynamic programming Chapter 7: Linear systems: estimation and control Chapter 8: Infinite horizon dynamic programming Chapter 9: Introduction to system identification Chapter 10: Linear system identification Chapter 11: Bayesian adaptive control Chapter 12: Non-Bayesian adaptive control Chapter 13: Self-tuning regulators for linear systems