an engineering approach to optimal control and estimation theory

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1、ANENGINEERINGAPPROACHTOOPTIMALCONTROLANDESTIMATIONTHEORYGEORGEM.SIOURISAirForceInstituteofTechnologyWright-PattersonAFB,OhioAWiley-IntersciencePublicationJOHNWILEY&SONS,INC.NewYork/Chichester/Brisbane/Toronto/SingaporeToKarinThistextisprintedonacid-freepaper.Copyright©1996byJohnWile

2、y&Sons,Inc.Allrightsreserved.PubJishedsimultaneouslyinCanada.ReproductionortranslationofanypartofthisworkbeyondthatpermittedbySection107or108ofthe1976UnitedStatesCopyrightActwithoutthepermissionofthecopyrightownerisunlawful.Requestsforpermissionorfurtherinformationshouldbeaddressedt

3、othePermissionsDepartment,JohnWiley&Sons,Inc.,605ThirdAvenue,NewYork,NY10158-0012.LibraryofCongressCataloginginPublicationData:Siouris,GeorgeM.Anengineeringapproachtooptimalcontrolandestimationtheory/GeorgeM.Siouris.p.em.'AWiley-Intersciencepublication."Includesindex.ISBN0-471-12126

4、-61.Automaticcontrol.2.Controltheory.I.Title.TJ213.s4744431996629.8--dc2095-6633PrintedintheUnitedStatesofAmerica10987654321CONTENTSPREFACECHAPTER1INTRODUCTIONANDHISTORICALPERSPECTIVE1CHAPTER2MATHEMATICALPRELIMINARIES62.1RandomVariables62.2ExpectationsandMoments102.2.1StatisticalAve

5、rages(Means)112.2.2Moments122.2.3ConditionalMean172.3TheChebychevandSchwarzInequalities222.4Covariance232.5TheAutocorrelationFunctionandPowerSpectralDensity252.6LinearSystems312.7TheClassicalWienerFilter382.8WhiteNoise422.9SystemInputErrorModels47Problems53CHAPTER3LINEARREGRESSION;L

6、EAST-SQUARESANDMAXIMUM-LIKELIHOODESTIMATION633.1Introduction633.2SimpleLinearRegression64viiviiiCONTENTS3.3Least-SquaresEstimation643.3.1RecursiveLeast-SquaresEstimator713.4TheMaximum-LikelihoodEstimator(MLE)733.4.1RecursiveMaximum-LikelihoodEstimator803.5BayesEstimation823.6Conclud

7、ingRemarks83Problems85CHAPTER4THEKALMANFILTER924.1TheContinuous-TimeKalmanFilter934.2InterpretationoftheKalmanFilter1094.3TheDiscrete-TimeKalmanFilter1114.3.1Real-WorIdModelErrors1364.4TheStateTransitionMatrix1414.5ControllabilityandObservability1594.5.1Observers1634.6Divergence1694

8、.7TheU-DCovarianceA