Finite Approximations In Discrete Time Stochastic Control
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Finite Approximations In Discrete Time Stochastic Control
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Author : Naci Saldi
language : en
Publisher: Birkhäuser
Release Date : 2018-05-11
Finite Approximations In Discrete Time Stochastic Control written by Naci Saldi and has been published by Birkhäuser this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-11 with Mathematics categories.
In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original models and the methods are general enough that researchers can build corresponding approximation results, typically with no additional assumptions.
Probability Methods For Approximations In Stochastic Control And For Elliptic Equations
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Author : Kushner
language : en
Publisher: Academic Press
Release Date : 1977-04-14
Probability Methods For Approximations In Stochastic Control And For Elliptic Equations written by Kushner and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1977-04-14 with Computers categories.
Probability Methods for Approximations in Stochastic Control and for Elliptic Equations
Neural Approximations For Optimal Control And Decision
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Author : Riccardo Zoppoli
language : en
Publisher: Springer Nature
Release Date : 2019-12-17
Neural Approximations For Optimal Control And Decision written by Riccardo Zoppoli and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-12-17 with Technology & Engineering categories.
Neural Approximations for Optimal Control and Decision provides a comprehensive methodology for the approximate solution of functional optimization problems using neural networks and other nonlinear approximators where the use of traditional optimal control tools is prohibited by complicating factors like non-Gaussian noise, strong nonlinearities, large dimension of state and control vectors, etc. Features of the text include: • a general functional optimization framework; • thorough illustration of recent theoretical insights into the approximate solutions of complex functional optimization problems; • comparison of classical and neural-network based methods of approximate solution; • bounds to the errors of approximate solutions; • solution algorithms for optimal control and decision in deterministic or stochastic environments with perfect or imperfect state measurements over a finite or infinite time horizon and with one decision maker or several; • applications of current interest: routing in communications networks, traffic control, water resource management, etc.; and • numerous, numerically detailed examples. The authors’ diverse backgrounds in systems and control theory, approximation theory, machine learning, and operations research lend the book a range of expertise and subject matter appealing to academics and graduate students in any of those disciplines together with computer science and other areas of engineering.
Numerical Methods For Stochastic Control Problems In Continuous Time
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Author : Harold Kushner
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Numerical Methods For Stochastic Control Problems In Continuous Time written by Harold 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 2012-12-06 with Science categories.
This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.
Stochastic Teams Games And Control Under Information Constraints
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Author : Serdar Yüksel
language : en
Publisher: Springer Nature
Release Date : 2024-06-19
Stochastic Teams Games And Control Under Information Constraints written by Serdar Yüksel and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-06-19 with Science categories.
This monograph presents a mathematically rigorous and accessible treatment of the interaction between information, decision, control, and probability in single-agent and multi-agent systems. The book provides a comprehensive and unified theory of information structures for stochastic control, stochastic teams, stochastic games, and networked control systems. Part I of the text is concerned with a general mathematical theory of information structures for stochastic teams, leading to systematic characterizations and classifications, geometric and topological properties, implications on existence, approximations and relaxations, their comparison, and regularity of optimal solutions in information. Information structures in stochastic games are then considered in Part II, and the dependence of equilibrium solutions and behavior on information is demonstrated. Part III studies information design through information theory in networked control systems – both linear and nonlinear – and discusses optimality and stability criteria. Finally, Part IV introduces information and signaling games under several solution concepts, with applications to prior mismatch, cost mismatch and privacy, reputation games and jamming. This text will be a valuable resource for researchers and graduate students interested in control theory, information theory, statistics, game theory, and applied mathematics. Readers should be familiar with the basics of linear systems theory, stochastic processes, and Markov chains.
Control Of Uncertain Systems Modelling Approximation And Design
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Author : Bruce A. Francis
language : en
Publisher: Taylor & Francis
Release Date : 2006-03-07
Control Of Uncertain Systems Modelling Approximation And Design written by Bruce A. Francis and has been published by Taylor & Francis this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-03-07 with Language Arts & Disciplines categories.
This Festschrift contains a collection of articles by friends, co-authors, colleagues, and former Ph.D. students of Keith Glover, Professor of Engineering at the University of Cambridge, on the occasion of his sixtieth birthday. Professor Glover's scientific work spans a wide variety of topics, the main themes being system identification, model reduction and approximation, robust controller synthesis, and control of aircraft and engines. The articles in this volume are a tribute to Professor Glover's seminal work in these areas.
From Shortest Paths To Reinforcement Learning
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Author : Paolo Brandimarte
language : en
Publisher: Springer Nature
Release Date : 2021-01-11
From Shortest Paths To Reinforcement Learning written by Paolo Brandimarte and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-01-11 with Business & Economics categories.
Dynamic programming (DP) has a relevant history as a powerful and flexible optimization principle, but has a bad reputation as a computationally impractical tool. This book fills a gap between the statement of DP principles and their actual software implementation. Using MATLAB throughout, this tutorial gently gets the reader acquainted with DP and its potential applications, offering the possibility of actual experimentation and hands-on experience. The book assumes basic familiarity with probability and optimization, and is suitable to both practitioners and graduate students in engineering, applied mathematics, management, finance and economics.
Mathematical Modelling And Numerical Methods In Finance
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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. - Coverage of all aspects of quantitative finance including models, computational methods and applications - Provides an overview of new ideas and results - Contributors are leaders of the field
Modeling Stochastic Control Optimization And Applications
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Author : George Yin
language : en
Publisher: Springer
Release Date : 2019-07-16
Modeling Stochastic Control Optimization And Applications written by George Yin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-07-16 with Mathematics categories.
This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
Numerical Methods For Stochastic Control Problems In Continuous Time
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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.