Mathematical Methods in Robust Control of Linear Stochastic Systems

Vasile Dragan, Toader Morozan, Adrian-Mihail Stoica

This second edition of Mathematical Methods in the Robust Control of Linear Stochastic Systems includes a large number of recent results in the control of linear stochastic systems. More specifically, the new results presented are:  - A unified and abstract framework for Riccati type equations arising in the stochastic control - Stability and control problems for systems perturbed by homogeneous Markov processes with infinite number of states - Mixed H2 / H∞ control problem and numerical procedures - Linear differential equations with positive evolution on ordered Banach spaces with applications for stochastic systems including both multiplicative white noise and Markovian jumps represented by a Markov chain with countable infinite set of states -  Kalman filtering for stochastic systems subject both to state dependent noise and Markovian jumps -  H∞ reduced order filters for...