Dear all,
I want to begin the research in stochastic control and probabilistic control and for that I need to learn the basics of probability and applied probability. So, what are the textbooks and video lectures/MOOCs that can help me out. Furthermore, what's your take on the following video series by Prof. John Tsitsiklis from MIT on "Probabilistic Systems Analysis and Applied Probability" :
http://ocw.mit.edu/courses/electrical-engineering-and-computer-science/6-041-probabilistic-systems-analysis-and-applied-probability-fall-2010/
Thank you.
It depends why you need to learn them? What is going to be the application or field that you want to apply them to?
(1) Textbook on stochastic control
[Astrom12] is a classic textbook on stochastic control.
[Astrom12] K.J. Astrom, Introduction to stochastic control theory, Courier Corporation, 2012.
http://www.amazon.com/Introduction-Stochastic-Control-Electrical-Engineering/dp/0486445313
Although it was originally published in 1970 and reprinted in 2012, the book is still a best reference for the research in stochastic control.
You can view table of contents, and free sample of the book from the following link of Google Books.
https://books.google.ca/books?hl=en&lr=&id=KregHuYKKVoC&oi=fnd&pg=PP1&ots=H9en6I34qq&sig=saS0qDuMkoEGSUogU4_ajagUysI#v=onepage&q&f=false
Discussions on control system design
"What are trends in control theory and its applications in physical systems (from a research point of view)?"
https://www.researchgate.net/post/What_are_trends_in_control_theory_and_its_applications_in_physical_systems_from_a_research_point_of_view2
(2) Textbook on stochastic process
Quote Ankur Gajjar's follow-up question "I would also like to know some good references on stochastic process as well. Can you help me out?"
The classic textbook [PP02] is a good reference on stochastic process.
[PP02] A. Papoulis, S.U. Pillai, "Probability, Random Variables, and Stochastic Processes," 4th Edition, McGraw-Hill, 2002.
A Poisson process is a simple and widely used stochastic process for modeling the times at which arrivals enter a system.
The paper [HHY10] uses a MMPP (Markov-Modulated Poisson Process) model to analyze the queuing mechanism of SIP server under two typical service states.
[HHY10] Y. Hong, C. Huang, and J. Yan, "Analysis of SIP Retransmission Probability Using a Markov-Modulated Poisson Process Model," Proceedings of IEEE/IFIP Network Operations and Management Symposium (IEEE NOMS), Osaka, Japan, April 2010, pp. 179-186. Available in the following RG link.
https://www.researchgate.net/publication/224146897_Analysis_of_SIP_retransmission_probability_using_a_Markov-Modulated_Poisson_Process_model
Conference Paper Analysis of SIP retransmission probability using a Markov-Mo...
Please look
file:///C:/Documents%20and%20Settings/user/My%20Documents/Textbook.pdf
Stochastic Systems:Estimation, Identification, and Adaptive Control
P.R. Kumar Pravin Varaiya
Prentice HaiJ. Inc., Englewood Gifts, New Jersey, 07632
file:///C:/Documents%20and%20Settings/user/My%20Documents/Textbook.pdf
Very well. It has been an enlightening conversation for me. Furthermore, I would also like to know some good references on stochastic process as well. Can you help me out?
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