Probability Methods For Approximations In Stochastic Control And For Elliptic Equations
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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
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 : 2013-11-27
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 2013-11-27 with Mathematics categories.
Changes in the second edition. The second edition differs from the first in that there is a full development of problems where the variance of the diffusion term and the jump distribution can be controlled. Also, a great deal of new material concerning deterministic problems has been added, including very efficient algorithms for a class of problems of wide current interest. 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 problem formulations and sometimes surprising applications appear regu larly. We have chosen forms of the models which cover the great bulk of the formulations 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.
Optimal Control Theory
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Author : Suresh P. Sethi
language : en
Publisher: Springer Nature
Release Date : 2022-01-03
Optimal Control Theory written by Suresh P. Sethi and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-03 with Business & Economics categories.
This new 4th edition offers an introduction to optimal control theory and its diverse applications in management science and economics. It introduces students to the concept of the maximum principle in continuous (as well as discrete) time by combining dynamic programming and Kuhn-Tucker theory. While some mathematical background is needed, the emphasis of the book is not on mathematical rigor, but on modeling realistic situations encountered in business and economics. It applies optimal control theory to the functional areas of management including finance, production and marketing, as well as the economics of growth and of natural resources. In addition, it features material on stochastic Nash and Stackelberg differential games and an adverse selection model in the principal-agent framework. Exercises are included in each chapter, while the answers to selected exercises help deepen readers’ understanding of the material covered. Also included are appendices of supplementary material on the solution of differential equations, the calculus of variations and its ties to the maximum principle, and special topics including the Kalman filter, certainty equivalence, singular control, a global saddle point theorem, Sethi-Skiba points, and distributed parameter systems. Optimal control methods are used to determine optimal ways to control a dynamic system. The theoretical work in this field serves as the foundation for the book, in which the author applies it to business management problems developed from his own research and classroom instruction. The new edition has been refined and updated, making it a valuable resource for graduate courses on applied optimal control theory, but also for financial and industrial engineers, economists, and operational researchers interested in applying dynamic optimization in their fields.
Handbook Of Maintenance Management And Engineering
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Author : Mohamed Ben-Daya
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-07-30
Handbook Of Maintenance Management And Engineering written by Mohamed Ben-Daya 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 2009-07-30 with Technology & Engineering categories.
To be able to compete successfully both at national and international levels, production systems and equipment must perform at levels not even thinkable a decade ago. Requirements for increased product quality, reduced throughput time and enhanced operating effectiveness within a rapidly changing customer demand environment continue to demand a high maintenance performance. In some cases, maintenance is required to increase operational effectiveness and revenues and customer satisfaction while reducing capital, operating and support costs. This may be the largest challenge facing production enterprises these days. For this, maintenance strategy is required to be aligned with the production logistics and also to keep updated with the current best practices. Maintenance has become a multidisciplinary activity and one may come across situations in which maintenance is the responsibility of people whose training is not engineering. This handbook aims to assist at different levels of understanding whether the manager is an engineer, a production manager, an experienced maintenance practitioner or a beginner. Topics selected to be included in this handbook cover a wide range of issues in the area of maintenance management and engineering to cater for all those interested in maintenance whether practitioners or researchers. This handbook is divided into 6 parts and contains 26 chapters covering a wide range of topics related to maintenance management and engineering.
Stochastic Analysis Control Optimization And Applications
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Author : William M. McEneaney
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Stochastic Analysis Control Optimization And Applications written by William M. McEneaney 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 Technology & Engineering categories.
In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
Numerical Methods For Stochastic Processes
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Author : Nicolas Bouleau
language : en
Publisher: John Wiley & Sons
Release Date : 1994-01-14
Numerical Methods For Stochastic Processes written by Nicolas Bouleau and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-01-14 with Mathematics categories.
Gives greater rigor to numerical treatments of stochastic models. Contains Monte Carlo and quasi-Monte Carlo techniques, simulation of major stochastic procedures, deterministic methods adapted to Markovian problems and special problems related to stochastic integral and differential equations. Simulation methods are given throughout the text as well as numerous exercises.
Applied Mechanics Reviews
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Author :
language : en
Publisher:
Release Date : 1979
Applied Mechanics Reviews written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1979 with Mechanics, Applied categories.
Random Evolutions And Their Applications
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Author : Anatoly Swishchuk
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-14
Random Evolutions And Their Applications written by Anatoly Swishchuk 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 2013-03-14 with Mathematics categories.
The book is devoted to the new trends in random evolutions and their various applications to stochastic evolutionary sytems (SES). Such new developments as the analogue of Dynkin's formulae, boundary value problems, stochastic stability and optimal control of random evolutions, stochastic evolutionary equations driven by martingale measures are considered. The book also contains such new trends in applied probability as stochastic models of financial and insurance mathematics in an incomplete market. In the famous classical financial mathematics Black-Scholes model of a (B,S) market for securities prices, which is used for the description of the evolution of bonds and stocks prices and also for their derivatives, such as options, futures, forward contracts, etc., it is supposed that the dynamic of bonds and stocks prices are set by a linear differential and linear stochastic differential equations, respectively, with interest rate, appreciation rate and volatility such that they are predictable processes. Also, in the Arrow-Debreu economy, the securities prices which support a Radner dynamic equilibrium are a combination of an Ito process and a random point process, with the all coefficients and jumps being predictable processes.
Advances In Soft Computing Afss 2002
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Author : Nikhil R. Pal
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-01-23
Advances In Soft Computing Afss 2002 written by Nikhil R. Pal 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 2002-01-23 with Technology & Engineering categories.
It is our great pleasure to welcome you all to the 2002 AFSS International Conference on Fuzzy Systems (AFSS 2002) to be held in Calcutta, the great City of Joy. AFSS 2002 is the ?fth conference in the series initiated by the Asian Fuzzy Systems Society (AFSS). AFSS 2002 is jointly being organized by theIndianStatisticalInstitute(ISI)andJadavpurUniversity(JU). Likeprevious conferencesinthisseries,wearesure,AFSS2002willprovideaforumforfruitful interaction and exchange of ideas between the participants from all over the globe. The present conference covers all major facets of soft computing such as fuzzy logic, neural networks, genetic algorithms including both theories and applications. Wehopethismeetingwillbeenjoyableacademicallyandotherwise. We are thankful to the members of the International Program Committee and the Area Chairs for extending their support in various forms to make a strong technical program. Each submitted paper was reviewed by at least three referees, and in some cases the revised versions were again checked by the ref- ees. As a result of this tough screening process we could select only about 50% of the submitted papers. We again express our sincere thanks to all referees for doing a great job. We are happy to note that 19 di?erent countries from all over the globe are represented by the authors, thereby making it a truly inter- tional conference. We are proud to have a list of distinguished speakers including Profs. Z. Pawlak, J. Bezdek, D. Dubois, and T. Yamakawa.
Numerical Analysis Of Systems Of Ordinary And Stochastic Differential Equations
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Author : S. S. Artemiev
language : en
Publisher: Walter de Gruyter
Release Date : 2011-02-11
Numerical Analysis Of Systems Of Ordinary And Stochastic Differential Equations written by S. S. Artemiev and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-02-11 with Mathematics categories.
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