Deterministic And Stochastic Optimal Control
DOWNLOAD
Download Deterministic And Stochastic Optimal Control PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Deterministic And Stochastic Optimal Control book now. This website allows unlimited access to, at the time of writing, more than 1.5 million titles, including hundreds of thousands of titles in various foreign languages. If the content not found or just blank you must refresh this page
Deterministic And Stochastic Optimal Control
DOWNLOAD
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
DOWNLOAD
Author : Wendell H Fleming
language : en
Publisher:
Release Date : 1975-11-17
Deterministic And Stochastic Optimal Control written by Wendell H Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975-11-17 with categories.
Deterministic And Stochastic Optimal Control
DOWNLOAD
Author : Wendell Helms Fleming
language : en
Publisher:
Release Date : 1975
Deterministic And Stochastic Optimal Control written by Wendell Helms Fleming and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1975 with Control theory categories.
"The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle"--Publisher description.
Stochastic Optimal Control In Infinite Dimension
DOWNLOAD
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.
Stochastic Control In Discrete And Continuous Time
DOWNLOAD
Author : Atle Seierstad
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-03
Stochastic Control In Discrete And Continuous Time written by Atle Seierstad 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 2010-07-03 with Mathematics categories.
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.
Stochastic Controls
DOWNLOAD
Author : Jiongmin Yong
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Controls written by Jiongmin Yong 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.
As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.
Deterministic And Stochastic Optimal Control And Inverse Problems
DOWNLOAD
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.
Dynamic Optimization
DOWNLOAD
Author : Karl Hinderer
language : en
Publisher: Springer
Release Date : 2017-01-12
Dynamic Optimization written by Karl Hinderer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-12 with Business & Economics categories.
This book explores discrete-time dynamic optimization and provides a detailed introduction to both deterministic and stochastic models. Covering problems with finite and infinite horizon, as well as Markov renewal programs, Bayesian control models and partially observable processes, the book focuses on the precise modelling of applications in a variety of areas, including operations research, computer science, mathematics, statistics, engineering, economics and finance. Dynamic Optimization is a carefully presented textbook which starts with discrete-time deterministic dynamic optimization problems, providing readers with the tools for sequential decision-making, before proceeding to the more complicated stochastic models. The authors present complete and simple proofs and illustrate the main results with numerous examples and exercises (without solutions). With relevant material covered in four appendices, this book is completely self-contained.
Numerical Methods For Stochastic Control Problems In Continuous Time
DOWNLOAD
Author : Harold J. Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2001
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold J. Kushner 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 2001 with Language Arts & Disciplines categories.
The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."--BOOK JACKET.
Controlled Markov Processes And Viscosity Solutions
DOWNLOAD
Author : Wendell H. Fleming
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-02-04
Controlled Markov Processes And Viscosity Solutions 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 2006-02-04 with Mathematics categories.
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.