Safety critical and high-integrity systems, such as industrial
plants and economic systems can be subject to abrupt changes - for
instance due to component or interconnection failure, and sudden
environment changes etc.
Combining probability and operator theory, Discrete-Time Markov
Jump Linear Systems provides a unified and rigorous treatment of
recent results for the control theory of discrete jump linear
systems, which are used in these areas of application.
The book is designed for experts in linear systems with Markov
jump parameters, but is also of interest for specialists in
stochastic control since it presents stochastic control problems
for which an explicit solution is possible - making the book
suitable for course use.
From the reviews:
"This text is very well written...it may prove valuable to those
who work in the area, are at home with its mathematics, and are
interested in stability of linear systems, optimal control, and
filtering." Journal of the American Statistical Association,
December 2005
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