Stochastic Modelling And Control
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Stochastic Modelling and Control
This book aims to provide a unified treatment of input/output modelling and of control for discrete-time dynamical systems subject to random disturbances. The results presented are of wide applica bility in control engineering, operations research, econometric modelling and many other areas. There are two distinct approaches to mathematical modelling of physical systems: a direct analysis of the physical mechanisms that comprise the process, or a 'black box' approach based on analysis of input/output data. The second approach is adopted here, although of course the properties ofthe models we study, which within the limits of linearity are very general, are also relevant to the behaviour of systems represented by such models, however they are arrived at. The type of system we are interested in is a discrete-time or sampled-data system where the relation between input and output is (at least approximately) linear and where additive random dis turbances are also present, so that the behaviour of the system must be investigated by statistical methods. After a preliminary chapter summarizing elements of probability and linear system theory, we introduce in Chapter 2 some general linear stochastic models, both in input/output and state-space form. Chapter 3 concerns filtering theory: estimation of the state of a dynamical system from noisy observations. As well as being an important topic in its own right, filtering theory provides the link, via the so-called innovations representation, between input/output models (as identified by data analysis) and state-space models, as required for much contemporary control theory.
Stochastic Modelling and Control
This book aims to provide a unified treatment of input/output modelling and of control for discrete-time dynamical systems subject to random disturbances. The results presented are of wide applica bility in control engineering, operations research, econometric modelling and many other areas. There are two distinct approaches to mathematical modelling of physical systems: a direct analysis of the physical mechanisms that comprise the process, or a 'black box' approach based on analysis of input/output data. The second approach is adopted here, although of course the properties ofthe models we study, which within the limits of linearity are very general, are also relevant to the behaviour of systems represented by such models, however they are arrived at. The type of system we are interested in is a discrete-time or sampled-data system where the relation between input and output is (at least approximately) linear and where additive random dis turbances are also present, so that the behaviour of the system must be investigated by statistical methods. After a preliminary chapter summarizing elements of probability and linear system theory, we introduce in Chapter 2 some general linear stochastic models, both in input/output and state-space form. Chapter 3 concerns filtering theory: estimation of the state of a dynamical system from noisy observations. As well as being an important topic in its own right, filtering theory provides the link, via the so-called innovations representation, between input/output models (as identified by data analysis) and state-space models, as required for much contemporary control theory.
Bond Graph Modelling for Control, Fault Diagnosis and Failure Prognosis
This book shows in a comprehensive presentation how Bond Graph methodology can support model-based control, model-based fault diagnosis, fault accommodation, and failure prognosis by reviewing the state-of-the-art, presenting a hybrid integrated approach to Bond Graph model-based fault diagnosis and failure prognosis, and by providing a review of software that can be used for these tasks. The structured text illustrates on numerous small examples how the computational structure superimposed on an acausal bond graph can be exploited to check for control properties such as structural observability and control lability, perform parameter estimation and fault detection and isolation, provide discrete values of an unknown degradation trend at sample points, and develop an inverse model for fault accommodation. The comprehensive presentation also covers failure prognosis based on continuous state estimation by means of filters or time series forecasting. This book has been written for students specializing in the overlap of engineering and computer science as well as for researchers, and for engineers in industry working with modelling, simulation, control, fault diagnosis, and failure prognosis in various application fields and who might be interested to see how bond graph modelling can support their work. Presents a hybrid model-based, data-driven approach to failure prognosis Highlights synergies and relations between fault diagnosis and failure prognostic Discusses the importance of fault diagnosis and failure prognostic in various fields