While many books cover the theory of optimal design, few help readers to actually apply it. This book is one of the first to aid readers in utilizing the theory of optimal control to solve practical problems in the face of uncertainty. Topics covered include random inputs and random errors in measurement, uncertainty in inputs from the environment, and uncertainty in the parameters of the dynamic model. The book also addresses static and dynamic estimation, random processes, several types of controllers, smoothers, and filters. With hundreds of problems and worked examples, together with a CD-ROM containing MATLAB codes of the OPTEST, this is a comprehensive text on dynamic control, providing an excellent theoretical and practical tool for graduate students and researchers in all engineering disciplines, as well as in applied mathematics and computer science.

Table of Contents

Preface; 1. Static estimation; 2. Random processes; 3. Dynamic estimation - filters; 4. Dynamic estimation - smoothers; 5. LQ SFB follower-controllors; 6. LQG follower-controllers; 7. Smoothers for controlled plants; 8. Time-invariant filters; 9. Time-invariant LQ SFB follower-controllers; 10. Time-invariant LQG follower-controllers; 11. Worst case controllers; 12. Robust TI LQG controllers; Appendices; References; Index.