内容简介：

　　本书以ARMAX为基本模型，介绍随机系统的辨识和适应控制，全书共分12章。主要内容为：概率论基本知识、鞅的极限定理、线性系统的滤波和控制、ARMAX模型的系数估计、随机适应跟踪、适应控制系统的系数估计、阶估计、一致参数估计的最优适应控制、ARX(∞)模型逼近、时变参数的估计、时变随机系统的适应控制、连续时间随机系统。

　　本书可作为自动控制、信息科学、系统科学、应用数学、经济管理、生物医学等专业研究生的教科书，也可作为有关科研人员、工程师、教师的综合参考书。

英文目录：

1 Probability Theory Preliminaries
　　1.1 Random Variable
　　1.2 Expectation
　　1.3 Conditional Expectation
　　1.4 Independence, Characteristic Functions
　　1.5 Random Processes
　　1.6 Stochastic Integral
　　1.7 Stochastic Differential Equations
2 Limit Theorems on Martingales
　　2.1 Martingale Convergence Theorems
　　2.2 Local Convergence Theorem
　　2.3 Estimation for Weighted Sums of a Martingale Difference Sequence
　　2.4 Estimation for Double Array Martingales
3 Filtering and Control for Linear Systems
　　3.1 Controllability and Observability
　　3.2 Kalman Filtering for Systems with Random Coefficients
　　3.3 Discrete-Time Riccati Equations
　　3.4 Optimal Control for Quadratic Cost
　　3.5 Optimal Tracking
　　3.6 Model Reference Control
　　3.7 Control for CARIMA Models
4 Coefficient Estimation for ARMAX Models
　　4.1 Estimation Algorithms
　　4.2 Convergence of ELS without the PE Condition
　　4.3 Local Convergence of SG
　　4.4 Convergence of SG Without the PE Condition
　　4.5 Convergence Rate of SG
　　4.6 Removing the SPR Condition By An Overparameterization Technique
　　4.7 Removing the SPR Condition By Using Increasing Lag Least Squares
5 Stochastic Adaptive Tracking
　　5.1 SG-Based Adaptive Tracker With d =1
　　5.2 SG-Based Adaptive Tracking With d≥1
　　5.3 Stability and Optimality of Åström-Wittenmark Self-Tuning
　　5.4 Stability and Optimality of ELS-Based Adaptive Trackers
　　5.5 Model Reference Adaptive Control
6 Coefficient Estimation in Adaptive Control Systems
　　6.1 Necessity of Excitation for Consistency of Estimations
　　6.2 Reference Signal With Decaying Richness
　　6.3 Diminishingly Excited Control
7 Order Estimation
　　7.1 Order Estimation by Use of a Priori Information
　　7.2 Order Estimation by not Using Upper Bounds for Orders
　　7.3 Time-Delay Estimation
　　7.4 Connections of CIC and BIC
8 Optimal Adaptive Control with Consistent Parameter Estimate
　　8.1 Simultaneously Gaining Optimality and Consistency in Tracking Systems
　　8.2 Adaptive Control for Quadratic Cost
　　8.3 Connection Between Adaptive Controls for Tracking and Quadratic Cost
　　8.4 Model Reference Adaptive Control With Consistent Estimate
　　8.5 Adaptive Control With Unknown Orders, Time-Delay and Coefficient
9 ARX(∞) Model Approximation
　　9.1 Statement of Problem
　　9.2 Transfer Function Approximation
　　9.3 Estimation of Noise Process
10 Estimation for Time-Varying Parameters
　　10.1 Stability of Random Time-Varying Equations
　　10.2 Conditional Richness Condition
　　10.3 Analysis of Kalman Filtering Based Algorithms
　　10.4 Analysis of LMS-Like Algorithms
11 Adaptive Control of Time-Varying Stochastic Systems
　　11.1 Preliminary Results
　　11.2 Systems with Random Parameters
　　11.3 Systems with Deterministic Parameters
12 Continuous-Time Stochastic Systems
　　12.1 The Model
　　12.2 Parameter Estimation
　　12.3 Adaptive Control