Stochastic Systems
Many systems are influenced by random or unpredictable events. Such systems
are called stochastic systems. Examples are manufacturing systems, communication
networks, and adaptive systems for control, estimation or filtering. They
can be modeled as linear systems, as Markov chains, as deterministic systems
undergoing structural changes randomly, or in other ways. There are two
goals in studying such systems. First, one would like to analyze the performance
of such systems. Second, one would like to control such systems effectively.
Both these descriptive and prescriptive issues are addressed. Some examples
of issues studied are to establish the stability of stochastic systems,
to establish properties of their steady-state, and to optimize their behavior.