Optimal Control Of A Discrete Time Stochastic System Linear In The State
DOWNLOAD
Download Optimal Control Of A Discrete Time Stochastic System Linear In The State PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Optimal Control Of A Discrete Time Stochastic System Linear In The State 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
Optimal Control Of A Discrete Time Stochastic System Linear In The State
DOWNLOAD
Author : Joseph L. Midler
language : en
Publisher:
Release Date : 1968
Optimal Control Of A Discrete Time Stochastic System Linear In The State written by Joseph L. Midler and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1968 with Decision making categories.
Considered is a discrete-time stochastic control problem whose dynamic equations and loss function are linear in the state vector with random coefficients, but which may vary in a nonlinear, random manner with the control variables. The controls are constrained to lie in a given set. For this system it is shown that the optimal control or policy is independent of the value of the state. The result follows from a simple dynamic programming argument. Under suitable restrictions on the functions, the dynamic programming approach leads to efficient computational methods for obtaining the controls via a sequence of mathematical programming problems in fewer variables than the number of controls in the entire process. The result provides another instance of certainty equivalence for a sequential stochastic decision problem. The expectations of the random variables play the role of certainty equivalents in the sense that the optimal control can be found by solving a deterministic problem in which expectations replace the random quantities.
Optimal Control Methods For Linear Discrete Time Economic Systems
DOWNLOAD
Author : Y. Murata
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Optimal Control Methods For Linear Discrete Time Economic Systems written by Y. Murata 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.
As our title reveals, we focus on optimal control methods and applications relevant to linear dynamic economic systems in discrete-time variables. We deal only with discrete cases simply because economic data are available in discrete forms, hence realistic economic policies should be established in discrete-time structures. Though many books have been written on optimal control in engineering, we see few on discrete-type optimal control. More over, since economic models take slightly different forms than do engineer ing ones, we need a comprehensive, self-contained treatment of linear optimal control applicable to discrete-time economic systems. The present work is intended to fill this need from the standpoint of contemporary macroeconomic stabilization. The work is organized as follows. In Chapter 1 we demonstrate instru ment instability in an economic stabilization problem and thereby establish the motivation for our departure into the optimal control world. Chapter 2 provides fundamental concepts and propositions for controlling linear deterministic discrete-time systems, together with some economic applica tions and numerical methods. Our optimal control rules are in the form of feedback from known state variables of the preceding period. When state variables are not observable or are accessible only with observation errors, we must obtain appropriate proxies for these variables, which are called "observers" in deterministic cases or "filters" in stochastic circumstances. In Chapters 3 and 4, respectively, Luenberger observers and Kalman filters are discussed, developed, and applied in various directions. Noticing that a separation principle lies between observer (or filter) and controller (cf.
Discrete Time Stochastic Systems
DOWNLOAD
Author : Torsten Söderström
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-07-26
Discrete Time Stochastic Systems written by Torsten Söderström 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 2002-07-26 with Mathematics categories.
This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
Discrete Time Stochastic Systems
DOWNLOAD
Author : Torsten Söderström
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Discrete Time Stochastic Systems written by Torsten Söderström 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 comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
Introduction To Stochastic Control Theory
DOWNLOAD
Author : Karl J. Åström
language : en
Publisher: Courier Corporation
Release Date : 2012-05-11
Introduction To Stochastic Control Theory written by Karl J. Åström and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-11 with Technology & Engineering categories.
This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems. The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes. A simple version of the problem of optimal control of stochastic systems is discussed, along with an example of an industrial application of this theory. Subsequent discussions cover filtering and prediction theory as well as the general stochastic control problem for linear systems with quadratic criteria. Each chapter begins with the discrete time version of a problem and progresses to a more challenging continuous time version of the same problem. Prerequisites include courses in analysis and probability theory in addition to a course in dynamical systems that covers frequency response and the state-space approach for continuous time and discrete time systems.
Optimal Control And Estimation
DOWNLOAD
Author : Robert F. Stengel
language : en
Publisher: Courier Corporation
Release Date : 2012-10-16
Optimal Control And Estimation written by Robert F. Stengel and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-16 with Mathematics categories.
Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems.
Optimal Control Of Discrete Time Stochastic Systems
DOWNLOAD
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.
Optimization Of Stochastic Systems
DOWNLOAD
Author : Masanao Aoki
language : en
Publisher: Elsevier
Release Date : 2016-06-03
Optimization Of Stochastic Systems written by Masanao Aoki and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-03 with Technology & Engineering categories.
Optimization of Stochastic Systems
Discrete Time Markov Jump Linear Systems
DOWNLOAD
Author : O.L.V. Costa
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-03-30
Discrete Time Markov Jump Linear Systems written by O.L.V. Costa 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 2006-03-30 with Mathematics categories.
This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time
Mathematical Methods In Robust Control Of Discrete Time Linear Stochastic Systems
DOWNLOAD
Author : Vasile Dragan
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-11-10
Mathematical Methods In Robust Control Of Discrete Time Linear Stochastic Systems written by Vasile Dragan 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 2009-11-10 with Mathematics categories.
In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.