Stochastic Optimal Control

DOWNLOAD

Download Stochastic Optimal Control PDF/ePub or read online books in Mobi eBooks. Click Download or Read Online button to get Stochastic Optimal Control 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 Controls

DOWNLOAD
Author : Jiongmin Yong
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Stochastic Controls written by Jiongmin Yong 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.

As is well known, Pontryagin's maximum principle and Bellman's dynamic programming are the two principal and most commonly used approaches in solving stochastic optimal control problems. * An interesting phenomenon one can observe from the literature is that these two approaches have been developed separately and independently. Since both methods are used to investigate the same problems, a natural question one will ask is the fol lowing: (Q) What is the relationship betwccn the maximum principlc and dy namic programming in stochastic optimal controls? There did exist some researches (prior to the 1980s) on the relationship between these two. Nevertheless, the results usually werestated in heuristic terms and proved under rather restrictive assumptions, which were not satisfied in most cases. In the statement of a Pontryagin-type maximum principle there is an adjoint equation, which is an ordinary differential equation (ODE) in the (finite-dimensional) deterministic case and a stochastic differential equation (SDE) in the stochastic case. The system consisting of the adjoint equa tion, the original state equation, and the maximum condition is referred to as an (extended) Hamiltonian system. On the other hand, in Bellman's dynamic programming, there is a partial differential equation (PDE), of first order in the (finite-dimensional) deterministic case and of second or der in the stochastic case. This is known as a Hamilton-Jacobi-Bellman (HJB) equation.

Deterministic And Stochastic Optimal Control

DOWNLOAD
Author : Wendell H. Fleming
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06

Deterministic And Stochastic Optimal Control written by Wendell H. Fleming 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 book may be regarded as consisting of two parts. In Chapters I-IV we pre sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro gramming method, and depends on the intimate relationship between second order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

Stochastic Optimal Control In Infinite Dimension

DOWNLOAD
Author : Giorgio Fabbri
language : en
Publisher: Springer
Release Date : 2017-06-22

Stochastic Optimal Control In Infinite Dimension written by Giorgio Fabbri and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-06-22 with Mathematics categories.

Providing an introduction to stochastic optimal control in infinite dimension, this book gives a complete account of the theory of second-order HJB equations in infinite-dimensional Hilbert spaces, focusing on its applicability to associated stochastic optimal control problems. It features a general introduction to optimal stochastic control, including basic results (e.g. the dynamic programming principle) with proofs, and provides examples of applications. A complete and up-to-date exposition of the existing theory of viscosity solutions and regular solutions of second-order HJB equations in Hilbert spaces is given, together with an extensive survey of other methods, with a full bibliography. In particular, Chapter 6, written by M. Fuhrman and G. Tessitore, surveys the theory of regular solutions of HJB equations arising in infinite-dimensional stochastic control, via BSDEs. The book is of interest to both pure and applied researchers working in the control theory of stochastic PDEs, and in PDEs in infinite dimension. Readers from other fields who want to learn the basic theory will also find it useful. The prerequisites are: standard functional analysis, the theory of semigroups of operators and its use in the study of PDEs, some knowledge of the dynamic programming approach to stochastic optimal control problems in finite dimension, and the basics of stochastic analysis and stochastic equations in infinite-dimensional spaces.

Stochastic Optimal Control In Finance

DOWNLOAD
Author : Mete Soner
language : en
Publisher: Edizioni della Normale
Release Date : 2005-10-01

Stochastic Optimal Control In Finance written by Mete Soner and has been published by Edizioni della Normale this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-01 with Mathematics categories.

This is the extended version of the Cattedra Galileiana I gave in April 2003 in Scuola Normale, Pisa. In these notes, I give a very quick introduction to stochastic optimal control and the dynamic programming approach to control. This is done through several important examples that arise in mathematical finance and economics. The choice of problems is driven by my own research and the desire to illustrate the use of dynamical programming and viscosity solutions. In particular, a great emphasis is given to the problem of super-replication as it provides a usual application of these methods.

Stochastic Optimal Control

DOWNLOAD
Author : Robert F. Stengel
language : en
Publisher: Wiley-Interscience
Release Date : 1986-09-08

Stochastic Optimal Control written by Robert F. Stengel and has been published by Wiley-Interscience this book supported file pdf, txt, epub, kindle and other format this book has been release on 1986-09-08 with Mathematics categories.

Presents techniques for optimizing problems in dynamic systems with terminal and path constraints. Includes optimal feedback control, feedback control for linear systems, and regulator synthesis. Offers iterative methods for solving nonlinear control problems. Demonstrates how to apply optimal control in a practical fashion. Serves as a text for graduate controls courses as offered in aerospace, mechanical and chemical engineering departments.

Stochastic Optimal Control The Discrete Time Case

DOWNLOAD
Author :
language : it
Publisher:
Release Date : 1978

Stochastic Optimal Control The Discrete Time Case written by 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.

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. "Invaluable as a reference for those already familiar with the subject." — Automatica.

Deterministic And Stochastic Optimal Control And Inverse Problems

DOWNLOAD
Author : Baasansuren Jadamba
language : en
Publisher: CRC Press
Release Date : 2021-12-15

Deterministic And Stochastic Optimal Control And Inverse Problems written by Baasansuren Jadamba and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-12-15 with Computers categories.

Inverse problems of identifying parameters and initial/boundary conditions in deterministic and stochastic partial differential equations constitute a vibrant and emerging research area that has found numerous applications. A related problem of paramount importance is the optimal control problem for stochastic differential equations. This edited volume comprises invited contributions from world-renowned researchers in the subject of control and inverse problems. There are several contributions on optimal control and inverse problems covering different aspects of the theory, numerical methods, and applications. Besides a unified presentation of the most recent and relevant developments, this volume also presents some survey articles to make the material self-contained. To maintain the highest level of scientific quality, all manuscripts have been thoroughly reviewed.

Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions

DOWNLOAD
Author : Jingrui Sun
language : en
Publisher: Springer Nature
Release Date : 2020-06-29

Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions written by Jingrui Sun and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-29 with Mathematics categories.

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Introduction To Stochastic Control Theory

DOWNLOAD
Author :
language : en
Publisher: Elsevier
Release Date : 1971-02-27

Introduction To Stochastic Control Theory written by and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 1971-02-27 with Mathematics categories.

In this book, we study theoretical and practical aspects of computing methods for mathematical modelling of nonlinear systems. A number of computing techniques are considered, such as methods of operator approximation with any given accuracy; operator interpolation techniques including a non-Lagrange interpolation; methods of system representation subject to constraints associated with concepts of causality, memory and stationarity; methods of system representation with an accuracy that is the best within a given class of models; methods of covariance matrix estimation;methods for low-rank matrix approximations; hybrid methods based on a combination of iterative procedures and best operator approximation; andmethods for information compression and filtering under condition that a filter model should satisfy restrictions associated with causality and different types of memory.As a result, the book represents a blend of new methods in general computational analysis,and specific, but also generic, techniques for study of systems theory ant its particularbranches, such as optimal filtering and information compression.- Best operator approximation,- Non-Lagrange interpolation,- Generic Karhunen-Loeve transform- Generalised low-rank matrix approximation- Optimal data compression- Optimal nonlinear filtering