Some Structured Problems In The Optimal Control Of Diffusions
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Some Structured Problems In The Optimal Control Of Diffusions
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Author : Allison James Taylor
language : en
Publisher:
Release Date : 1976
Some Structured Problems In The Optimal Control Of Diffusions written by Allison James Taylor and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1976 with Diffusion processes categories.
Some Problems In The Optimal Control Of Diffusions
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Author : Diane Sheng
language : en
Publisher:
Release Date : 1978
Some Problems In The Optimal Control Of Diffusions written by Diane Sheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with categories.
We consider a class of problems in the optimal control of one-dimensional diffusion processes, with the objective to minimize expected discounted cost over an infinite planning horizon. There are available a finite number of control modes (actions), and the state of the system changes locally like a Brownian Motion whose drift and variance depend upon the control mode being employed (but not upon the current state). There is a holding cost which is proportional to the state of the system and is independent of the control mode. In addition to these continuous costs, there are lump costs associated with a change in action. The state space may be either a finite or semi-infinite interval, and different types of boundary behavior are considered. Absorbing barriers arise in applications to collective risk and insurance, while reflecting barriers are natural for problems in the optimal control of queueing and storage systems. When there are only two control modes, one expects an optimal policy characterized by a pair of critical numbers. For various special cases, it is shown that such an optimal policy exists, and (complicated) formulas for the critical numbers are derived. (Author).
Scientific And Technical Aerospace Reports
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Author :
language : en
Publisher:
Release Date : 1995
Scientific And Technical Aerospace Reports written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Aeronautics categories.
Some Problems In The Optimal Control Of Diffusions
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Author : Diane Dwan Sheng
language : en
Publisher:
Release Date : 1978
Some Problems In The Optimal Control Of Diffusions written by Diane Dwan Sheng and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1978 with Control theory categories.
Scientific And Technical Aerospace Reports
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Author :
language : en
Publisher:
Release Date : 1971
Scientific And Technical Aerospace Reports written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Aeronautics categories.
Optimal Control Of Diffusion Processes
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Author : Vivek S. Borkar
language : en
Publisher: Longman
Release Date : 1989
Optimal Control Of Diffusion Processes written by Vivek S. Borkar and has been published by Longman this book supported file pdf, txt, epub, kindle and other format this book has been release on 1989 with Control theory categories.
Optimal Control Of Age Structured Populations In Economy Demography And The Environment
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Author : Raouf Boucekkine
language : en
Publisher: Routledge
Release Date : 2013-05-13
Optimal Control Of Age Structured Populations In Economy Demography And The Environment written by Raouf Boucekkine and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-05-13 with Business & Economics categories.
This book covers a wide range of topics within mathematical modelling and the optimization of economic, demographic, technological and environmental phenomena. Each chapter is written by experts in their field and represents new advances in modelling theory and practice. These essays are exemplary of the fruitful interaction between theory and practice when exploring global and local changes. The unifying theme of the book is the use of mathematical models and optimization methods to describe age-structured populations in economy, demography, technological change, and the environment. Emphasis is placed on deterministic dynamic models that take age or size structures, delay effects, and non-standard decision variables into account. In addition, the contributions deal with the age structure of assets, resources, and populations under study. Interdisciplinary modelling has enormous potential for discovering new insights in global and regional development. Optimal Control of Age-structured Populations in Economy, Demography, and the Environment is a rich and excellent source of information on state-of-the-art modelling expertise and references. The book provides the necessary mathematical background for readers from different areas, such as applied sciences, management sciences and operations research, which helps guide the development of practical models. As well as this the book also surveys the current practice in applied modelling and looks at new research areas for a general mathematical audience. This book will be of interest primarily to researchers, postgraduate students, as well as a wider scientific community, including those focussing on the subjects of applied mathematics, environmental sciences, economics, demography, management, and operations research.
Optimal Control Of Patterns In Some Reaction Diffusion Systems
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Author : Christopher Ryll
language : en
Publisher:
Release Date : 2016
Optimal Control Of Patterns In Some Reaction Diffusion Systems written by Christopher Ryll and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
On The Optimal Control Of Diffusion Processes
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Author : Martin Lee Puterman
language : en
Publisher:
Release Date : 1972
On The Optimal Control Of Diffusion Processes written by Martin Lee Puterman and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1972 with Control theory categories.
The author considers three problems in the optimal control of diffusion processes. The first is that of optimally controlling a diffusion process on a compact interval. The second problem is that of optimally controlling a diffusion process on a bounded subset of Euclidean n-space, with refledtion on the boundary. The last problem arises in controlling a continuous time production process. (Author).
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems
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Author : Xi-Ren Cao
language : en
Publisher: Springer Nature
Release Date : 2020-05-13
Relative Optimization Of Continuous Time And Continuous State Stochastic Systems written by Xi-Ren Cao and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-05-13 with Technology & Engineering categories.
This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming. The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization. Among the more important novel considerations presented are: the extension of the Hamilton–Jacobi–Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes; proof of semi-smoothness of the value function at degenerate points; attention to the under-selectivity issue for the long-run average and bias optimality; discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; and development of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points. The book will be of interest to researchers and students in the field of stochastic control and performance optimization alike.