Stochastic Control In Discrete And Continuous Time
DOWNLOAD
Download Stochastic Control In Discrete And Continuous Time PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stochastic Control In Discrete And Continuous Time 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
Stochastic Control In Discrete And Continuous Time
DOWNLOAD
Author : Atle Seierstad
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-03
Stochastic Control In Discrete And Continuous Time written by Atle Seierstad 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 2010-07-03 with Mathematics categories.
This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.
Linear Stochastic Control Systems
DOWNLOAD
Author : Goong Chen
language : en
Publisher: CRC Press
Release Date : 1995-07-12
Linear Stochastic Control Systems written by Goong Chen and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-07-12 with Business & Economics categories.
Linear Stochastic Control Systems presents a thorough description of the mathematical theory and fundamental principles of linear stochastic control systems. Both continuous-time and discrete-time systems are thoroughly covered. Reviews of the modern probability and random processes theories and the Itô stochastic differential equations are provided. Discrete-time stochastic systems theory, optimal estimation and Kalman filtering, and optimal stochastic control theory are studied in detail. A modern treatment of these same topics for continuous-time stochastic control systems is included. The text is written in an easy-to-understand style, and the reader needs only to have a background of elementary real analysis and linear deterministic systems theory to comprehend the subject matter. This graduate textbook is also suitable for self-study, professional training, and as a handy research reference. Linear Stochastic Control Systems is self-contained and provides a step-by-step development of the theory, with many illustrative examples, exercises, and engineering applications.
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.
Numerical Methods For Stochastic Control Problems In Continuous Time
DOWNLOAD
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.
Control And System Theory Of Discrete Time Stochastic Systems
DOWNLOAD
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.
Techniques In Discrete Time Stochastic Control Systems
DOWNLOAD
Author :
language : en
Publisher: Academic Press
Release Date : 1995-10-20
Techniques In Discrete Time Stochastic Control Systems written by and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-10-20 with Mathematics categories.
Praise for Previous Volumes "This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory." -IEEE GROUP CORRESPONDANCE "This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control." -CONTROL
Optimization Control And Applications Of Stochastic Systems
DOWNLOAD
Author : Daniel Hernández-Hernández
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-08-15
Optimization Control And Applications Of Stochastic Systems written by Daniel Hernández-Hernández 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 2012-08-15 with Science categories.
This volume provides a general overview of discrete- and continuous-time Markov control processes and stochastic games, along with a look at the range of applications of stochastic control and some of its recent theoretical developments. These topics include various aspects of dynamic programming, approximation algorithms, and infinite-dimensional linear programming. In all, the work comprises 18 carefully selected papers written by experts in their respective fields. Optimization, Control, and Applications of Stochastic Systems will be a valuable resource for all practitioners, researchers, and professionals in applied mathematics and operations research who work in the areas of stochastic control, mathematical finance, queueing theory, and inventory systems. It may also serve as a supplemental text for graduate courses in optimal control and dynamic games.
Foundations Of Deterministic And Stochastic Control
DOWNLOAD
Author : Jon H. Davis
language : en
Publisher: Springer Science & Business Media
Release Date : 2002-04-19
Foundations Of Deterministic And Stochastic Control written by Jon H. Davis 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 2002-04-19 with Mathematics categories.
"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." —Zentralblatt Math "This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." —Applications of Mathematics "The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." —Journal of the Indian Institute of Science
Numerical Methods For Stochastic Control Problems In Continuous Time
DOWNLOAD
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.
Introduction To Stochastic Control
DOWNLOAD
Author : Harold Joseph Kushner
language : en
Publisher:
Release Date : 1971
Introduction To Stochastic Control written by Harold Joseph Kushner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971 with Mathematics categories.
The text treats stochastic control problems for Markov chains, discrete time Markov processes, and diffusion models, and discusses method of putting other problems into the Markovian framework. Computational methods are discussed and compared for Markov chain problems. Other topics include the fixed and free time of control, discounted cost, minimizing the average cost per unit time, and optimal stopping. Filtering and conrol for linear systems, and stochastic stability for discrete time problems are discussed thoroughly. The book gives a detailed treatment of the simpler problems, and fills the need to introduce the student to the more sophisticated mathematical concepts required for advanced theory by describing their roles and necessity in an intuitive and natural way. Diffusion models are developed as limits of stochastic difference equations and also via the stochastic integral approach. Examples and exercises are included. (Author).