Deterministic And Stochastic Optimal Control
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Deterministic And Stochastic Optimal Control
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Author : Wendell H. Fleming
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Deterministic And Stochastic Optimal Control written by Wendell H. Fleming and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
This book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.
Deterministic And Stochastic Optimal Control And Inverse Problems
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Author : Baasansuren Jadamba
language : en
Publisher: CRC Press
Release Date : 2021-12-15
Deterministic And Stochastic Optimal Control And Inverse Problems written by Baasansuren Jadamba and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-15 with Computers categories.
Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.
Optimal Design Of Control Systems
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Author : Gennadii E. Kolosov
language : en
Publisher: CRC Press
Release Date : 2020-08-26
Optimal Design Of Control Systems written by Gennadii E. Kolosov and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-08-26 with Mathematics categories.
"Covers design methods for optimal (or quasioptimal) control algorithms in the form of synthesis for deterministic and stochastic dynamical systems-with applications in aerospace, robotic, and servomechanical technologies. Providing new results on exact and approximate solutions of optimal control problems."
Deterministic And Stochastic Optimal Control And Inverse Problems
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Author : Baasansuren Jadamba
language : en
Publisher: CRC Press
Release Date : 2021-12-15
Deterministic And Stochastic Optimal Control And Inverse Problems written by Baasansuren Jadamba and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-15 with Computers categories.
Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.
Linear Stochastic Control Systems
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Author : Goong Chen
language : en
Publisher: CRC Press
Release Date : 1995-07-12
Linear Stochastic Control Systems written by Goong Chen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-07-12 with Business & Economics categories.
Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered. Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter. This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.
Infinite Horizon Optimal Control
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Author : Dean A. Carlson
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29
Infinite Horizon Optimal Control written by Dean A. Carlson and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Business & Economics categories.
This monograph deals with various classes of deterministic continuous time optimal control problems wh ich are defined over unbounded time intervala. For these problems, the performance criterion is described by an improper integral and it is possible that, when evaluated at a given admissible element, this criterion is unbounded. To cope with this divergence new optimality concepts; referred to here as "overtaking", "weakly overtaking", "agreeable plans", etc. ; have been proposed. The motivation for studying these problems arisee primarily from the economic and biological aciences where models of this nature arise quite naturally since no natural bound can be placed on the time horizon when one considers the evolution of the state of a given economy or species. The reeponsibility for the introduction of this interesting class of problems rests with the economiste who first studied them in the modeling of capital accumulation processes. Perhaps the earliest of these was F. Ramsey who, in his seminal work on a theory of saving in 1928, considered a dynamic optimization model defined on an infinite time horizon. Briefly, this problem can be described as a "Lagrange problem with unbounded time interval". The advent of modern control theory, particularly the formulation of the famoue Maximum Principle of Pontryagin, has had a considerable impact on the treatment of these models as well as optimization theory in general.
Perturbation Methods In Optimal Control
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Author : Alain Bensoussan
language : en
Publisher: Wiley
Release Date : 1988-06-23
Perturbation Methods In Optimal Control written by Alain Bensoussan and has been published by Wiley this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988-06-23 with Mathematics categories.
Describes, analyzes, and generalizes the principal results concerning perturbation methods in optimal control for systems governed by deterministic or stochastic differential equations. Covers the most important theorems in deterministic and stochastic optimal control, the theory of ergodic control, and the use of control, including regular perturbations and singular perturbations.
Infinite Horizon Optimal Control
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Author : Dean A Carlson
language : en
Publisher:
Release Date : 1991-10-17
Infinite Horizon Optimal Control written by Dean A Carlson and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-10-17 with categories.
Stochastic Optimal Control In Infinite Dimension
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Author : Giorgio Fabbri
language : en
Publisher: Springer
Release Date : 2017-06-22
Stochastic Optimal Control In Infinite Dimension written by Giorgio Fabbri and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-22 with Mathematics categories.
Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.
Foundations Of Deterministic And Stochastic Control
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Author : Jon Davis
language : en
Publisher: Birkhäuser
Release Date : 2012-10-23
Foundations Of Deterministic And Stochastic Control written by Jon Davis and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-23 with Science categories.
"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." —Zentralblatt Math "This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." —Applications of Mathematics "The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." —Journal of the Indian Institute of Science