"An excellent introduction to optimal control and estimation theory and its relationship with LQG design .... invaluable as a reference for those already familiar with the subject." -This highly regarded graduate-level text provides a comprehensive introduction to optimal control theory for stochastic systems, emphasizing application of its basic concepts to real problems. The first two chapters introduce optimal control and review the mathematics of control and estimation. Chapter 3 addresses optimal control of systems that may be nonlinear and time-varying, but whose inputs and parameters are known without error.Automatica

Chapter 4 of the book presents methods for estimating the dynamic states of a system that is driven by forces and is observed with random measurement error. Chapter 5 discusses the general problem of stochastic optimal control, and the concluding chapter covers linear time-invariant systems.

Robert F. Stengel is Professor of Mechanical and Aerospace Engineering at Princeton University, where he directs the Topical Program on Robotics and Intelligent Systems and the Laboratory for Control and Automation. He was a principal designer of the Project Apollo Lunar Module control system.

"An excellent teaching book with many examples and worked problems that would be ideal for self study or for use in the classroom .... The book also has a practical orientation and would be of considerable use to people applying these techniques in practice." -Short Book Reviews, Publication of the International Statistical Institute

"An excellent book which guides the reader through most of the important concepts and techniques of the title subject .... A useful book for students (and their teachers) and for those practising engineers who require a comprehensive reference to the subject." -Unabridged, corrected Dover (1994) republication ofLibrary Reviews, The Royal Aeronautical Society

"The book provides an excellent introductory text to the broad field of optimization .... The highly readable text is complemented with both examples and references enabling the reader to research further points of particular interest." -Automatica

"A valuable book which provides an illuminating insight into many aspects of optimal control .... the reader finds the concepts and methodology expounded in a progressive direct manner, marked by clarity of insight and presentation .... This lucidly written book by Stengel can be confidently recommended to anyone desiring to develop a thorough working knowledge of the subject of stochastic optimal control. It should certainly find a place in the reference library." -Robotica

"... describes a body of techniques that is quite useful in determining the best strategy for controlling a system in the presence of uncertainty.... The power of stochastic optimal control becomes apparent, as interpreted by notions drawn from classical control applied to multi-input/multi-output systems .... Although many interesting developments in control system analysis have been made recently, optimality remains the most important unifying criterion for control system synthesis." -IEEE Control Systems Magazine

- p. 56: Remove the following sentence: "As an exercise, verify that the same result would have been computed with the unweighted pseudoinverse and A= (1/10 1/20 1/30)." (KMcD, 2014)
- p. 147, eq. 2.5-131: Change "ds" to "dt". (RFS, 2012)
- p. 276, eq. 3.7-29: Change "... M^T)P^T" to "... M^T)^T P". (RWB, 2009)
- p. 282, eq. 3.7-59: Second line of equation; change "delta-u-sub-k" to "(delta-u-sub-k)^T". (RFS, 2012)
- p. 392, eq. 4.6-61: Change E[f(x)] to E[h(x)]. (VS, 2017)
- p. 481, eq. 5.4-59a: The matrix [L 0; L K] should be [L 0; L -K]. (SH, 2012)
- p. 524, eq. 6.3-41: Change "chi(t)" to "chi^T(t)". (RWB, 2009)
- p. 596. eq. 6.5-82: Change "sigma on ..." to "s on ...". (RWB, 2009)

Last updated on May 7, 2018.

Copyright 2018 by Robert F. Stengel. All rights reserved.