Martingale在控制论中的应用
MARTINGALES APPLIED TO CONTROL THEORY
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摘要: 本文用工程界熟悉的语言阐述鞅（Martingale）的含义以及鞅论（包括随机积分和随机微分方程——随机分析）在系统辨识、自适应控制、随机控制与滤波中的应用．从而说明,鞅论是现代控制理论中一个重要工具,应该引起工程界的足够的重视．Abstract: The application of Martingale theory and stochastic analysis to control theory is introduced in this paper.It is used to analyse asymptotic properties of system identification adaptive control,filtering,optimal controlproblems and so on.The Martingale is a powerful tool in modern control theory research.
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