Introduction to Stochastic Control Theory [PDF ebook] 

In this book, we study theoretical and practical aspects of computing methods for mathematical modelling of nonlinear systems. A number of computing techniques are considered, such as methods of operator approximation with any given accuracy; operator interpolation techniques including a non-Lagrange interpolation; methods of system representation subject to constraints associated with concepts of causality, memory and stationarity; methods of system representation with an accuracy that is the best within a given class of models; methods of covariance matrix estimation;methods for low-rank matrix approximations; hybrid methods based on a combination of iterative procedures and best operator approximation; andmethods for information compression and filtering under condition that a filter model should satisfy restrictions associated with causality and different types of memory.As a result, the book represents a blend of new methods in general computational analysis, and specific, but also generic, techniques for study of systems theory ant its particularbranches, such as optimal filtering and information compression.- Best operator approximation, – Non-Lagrange interpolation, – Generic Karhunen-Loeve transform- Generalised low-rank matrix approximation- Optimal data compression- Optimal nonlinear filtering