Foundations Of Non Stationary Dynamic Programming With Discrete Time Parameter
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Foundations Of Non Stationary Dynamic Programming With Discrete Time Parameter
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Author : K. Hinderer
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Foundations Of Non Stationary Dynamic Programming With Discrete Time Parameter written by K. Hinderer 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 Business & Economics categories.
The present work is an extended version of a manuscript of a course which the author taught at the University of Hamburg during summer 1969. The main purpose has been to give a rigorous foundation of stochastic dynamic programming in a manner which makes the theory easily applicable to many different practical problems. We mention the following features which should serve our purpose. a) The theory is built up for non-stationary models, thus making it possible to treat e.g. dynamic programming under risk, dynamic programming under uncertainty, Markovian models, stationary models, and models with finite horizon from a unified point of view. b) We use that notion of optimality (p-optimality) which seems to be most appropriate for practical purposes. c) Since we restrict ourselves to the foundations, we did not include practical problems and ways to their numerical solution, but we give (cf.section 8) a number of problems which show the diversity of structures accessible to non stationary dynamic programming. The main sources were the papers of Blackwell (65), Strauch (66) and Maitra (68) on stationary models with general state and action spaces and the papers of Dynkin (65), Hinderer (67) and Sirjaev (67) on non-stationary models. A number of results should be new, whereas most theorems constitute extensions (usually from stationary models to non-stationary models) or analogues to known results.
Foundations Of Non Stationary Dynamic Programming With Discrete Time Parameter
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Author : Karl Hinderer
language : en
Publisher:
Release Date : 1970-08
Foundations Of Non Stationary Dynamic Programming With Discrete Time Parameter written by Karl Hinderer and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1970-08 with Dynamic programming categories.
Optimal Control Of Discrete Time Stochastic Systems
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Author : C. Striebel
language : en
Publisher: Springer
Release Date : 2013-12-21
Optimal Control Of Discrete Time Stochastic Systems written by C. Striebel and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-21 with Business & Economics categories.
Control And System Theory Of Discrete Time Stochastic Systems
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Author : Jan H. van Schuppen
language : en
Publisher: Springer Nature
Release Date : 2021-08-02
Control And System Theory Of Discrete Time Stochastic Systems written by Jan H. van Schuppen and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-08-02 with Technology & Engineering categories.
This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows. The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.
Markov Processes And Controlled Markov Chains
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Author : Zhenting Hou
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-12-01
Markov Processes And Controlled Markov Chains written by Zhenting Hou 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 2013-12-01 with Mathematics categories.
The general theory of stochastic processes and the more specialized theory of Markov processes evolved enormously in the second half of the last century. In parallel, the theory of controlled Markov chains (or Markov decision processes) was being pioneered by control engineers and operations researchers. Researchers in Markov processes and controlled Markov chains have been, for a long time, aware of the synergies between these two subject areas. However, this may be the first volume dedicated to highlighting these synergies and, almost certainly, it is the first volume that emphasizes the contributions of the vibrant and growing Chinese school of probability. The chapters that appear in this book reflect both the maturity and the vitality of modern day Markov processes and controlled Markov chains. They also will provide an opportunity to trace the connections that have emerged between the work done by members of the Chinese school of probability and the work done by the European, US, Central and South American and Asian scholars.
Risk Averse Capacity Control In Revenue Management
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Author : Christiane Barz
language : en
Publisher: Springer Science & Business Media
Release Date : 2007-08-16
Risk Averse Capacity Control In Revenue Management written by Christiane Barz 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 2007-08-16 with Business & Economics categories.
This book revises the well-known capacity control problem in revenue management from the perspective of a risk-averse decision-maker. Modelling an expected utility maximizing decision maker, the problem is formulated as a risk-sensitive Markov decision process. Special emphasis is put on the existence of structured optimal policies. Numerical examples illustrate the results.
Nonlinear And Convex Analysis In Economic Theory
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Author : Toru Maruyama
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Nonlinear And Convex Analysis In Economic Theory written by Toru Maruyama 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.
The papers collected in this volume are contributions to T.I.Tech./K.E.S. Conference on Nonlinear and Convex Analysis in Economic Theory, which was held at Keio University, July 2-4, 1993. The conference was organized by Tokyo Institute of Technology (T. I. Tech.) and the Keio Economic Society (K. E. S.) , and supported by Nihon Keizai Shimbun Inc .. A lot of economic problems can be formulated as constrained optimiza tions and equilibrations of their solutions. Nonlinear-convex analysis has been supplying economists with indispensable mathematical machineries for these problems arising in economic theory. Conversely, mathematicians working in this discipline of analysis have been stimulated by various mathematical difficulties raised by economic the ories. Although our special emphasis was laid upon "nonlinearity" and "con vexity" in relation with economic theories, we also incorporated stochastic aspects of financial economics in our project taking account of the remark able rapid growth of this discipline during the last decade. The conference was designed to bring together those mathematicians who were seriously interested in getting new challenging stimuli from economic theories with those economists who were seeking for effective mathematical weapons for their researches. Thirty invited talks (six of them were plenary talks) given at the conf- ence were roughly classified under the following six headings : 1) Nonlinear Dynamical Systems and Business Fluctuations, . 2) Fixed Point Theory, 3) Convex Analysis and Optimization, 4) Eigenvalue of Positive Operators, 5) Stochastic Analysis and Financial Market, 6) General Equilibrium Analysis.
Stochastic Games And Related Topics
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Author : T.E.S. Raghaven
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Games And Related Topics written by T.E.S. Raghaven 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 Business & Economics categories.
Organization With Incomplete Information
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Author : Mukul Majumdar
language : en
Publisher: Cambridge University Press
Release Date : 1998-09-13
Organization With Incomplete Information written by Mukul Majumdar and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998-09-13 with Business & Economics categories.
There have been systematic attempts over the last twenty-five years to explore the implications of decision making with incomplete information and to model an 'economic man' as an information-processing organism. These efforts are associated with the work of Roy Radner, who joins other analysts in this collection to offer accessible overviews of the existing literature on topics such as Walrasian equilibrium with incomplete markets, rational expectations equilibrium, learning, Markovian games, dynamic game-theoretic models of organization, and experimental work on mechanism selection. Some essays also take up relatively new themes related to bounded rationality, complexity of decisions, and economic survival. The collection overall introduces models that add to the toolbox of economists, expand the boundaries of economic analysis, and enrich our understanding of the inefficiencies and complexities of organizational design in the presence of uncertainty.
Handbook Of Markov Decision Processes
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Author : Eugene A. Feinberg
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Handbook Of Markov Decision Processes written by Eugene A. Feinberg 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 Business & Economics categories.
Eugene A. Feinberg Adam Shwartz This volume deals with the theory of Markov Decision Processes (MDPs) and their applications. Each chapter was written by a leading expert in the re spective area. The papers cover major research areas and methodologies, and discuss open questions and future research directions. The papers can be read independently, with the basic notation and concepts ofSection 1.2. Most chap ters should be accessible by graduate or advanced undergraduate students in fields of operations research, electrical engineering, and computer science. 1.1 AN OVERVIEW OF MARKOV DECISION PROCESSES The theory of Markov Decision Processes-also known under several other names including sequential stochastic optimization, discrete-time stochastic control, and stochastic dynamic programming-studiessequential optimization ofdiscrete time stochastic systems. The basic object is a discrete-time stochas tic system whose transition mechanism can be controlled over time. Each control policy defines the stochastic process and values of objective functions associated with this process. The goal is to select a "good" control policy. In real life, decisions that humans and computers make on all levels usually have two types ofimpacts: (i) they cost orsavetime, money, or other resources, or they bring revenues, as well as (ii) they have an impact on the future, by influencing the dynamics. In many situations, decisions with the largest immediate profit may not be good in view offuture events. MDPs model this paradigm and provide results on the structure and existence of good policies and on methods for their calculation.