Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
On The Optimal Control Of Diffusion Processes
Download On The Optimal Control Of Diffusion Processes full books in PDF, epub, and Kindle. Read online On The Optimal Control Of Diffusion Processes ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Book Synopsis Controlled Diffusion Processes by : N. V. Krylov
Download or read book Controlled Diffusion Processes written by N. V. Krylov and published by Springer Science & Business Media. This book was released on 2008-09-26 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. ~urin~ that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in Wonham [76]). At the same time, Girsanov [25] and Howard [26] made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4]. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8], Mine and Osaki [55], and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
Book Synopsis On the Optimal Control of Diffusion Processes by : Martin Lee Puterman
Download or read book On the Optimal Control of Diffusion Processes written by Martin Lee Puterman and published by . This book was released on 1996 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Diffusion Processes by : Vivek S. Borkar
Download or read book Optimal Control of Diffusion Processes written by Vivek S. Borkar and published by Longman. This book was released on 1989 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of a Class of Diffusion Processes by : Jerome Barry Shapiro
Download or read book Optimal Control of a Class of Diffusion Processes written by Jerome Barry Shapiro and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems by : Xi-Ren Cao
Download or read book Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems written by Xi-Ren Cao and published by Springer Nature. This book was released on 2020-05-13 with total page 376 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Optimal Control of Diffusion Processes by : Wendell H. Fleming
Download or read book Optimal Control of Diffusion Processes written by Wendell H. Fleming and published by . This book was released on 1972 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author).
Book Synopsis Optimal Control of Diffusion Processes with Discontinuous Coefficients by : Keigo Yamada
Download or read book Optimal Control of Diffusion Processes with Discontinuous Coefficients written by Keigo Yamada and published by . This book was released on 1972 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Diffusion Processes and Hamilton-Jacobi-Bellman Equations by : Pierre-Louis Lions
Download or read book Optimal Control of Diffusion Processes and Hamilton-Jacobi-Bellman Equations written by Pierre-Louis Lions and published by . This book was released on 1983 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On the Optimal Control of Stationary Diffusion Processes with Inaccessible Boundaries and No Discounting ... by : Richard Morton
Download or read book On the Optimal Control of Stationary Diffusion Processes with Inaccessible Boundaries and No Discounting ... written by Richard Morton and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Deterministic and Stochastic Optimal Control by : Wendell H. Fleming
Download or read book Deterministic and Stochastic Optimal Control written by Wendell H. Fleming and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis On the Optimal Control of Stationary Diffusion Processes with Natural Boundaries and Discounted Cost ... by : Richard Morton
Download or read book On the Optimal Control of Stationary Diffusion Processes with Natural Boundaries and Discounted Cost ... written by Richard Morton and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Diffusion Processes and Hamilton-Jacobi-Bellman Equations by : Pierre-Louis Lions
Download or read book Optimal Control of Diffusion Processes and Hamilton-Jacobi-Bellman Equations written by Pierre-Louis Lions and published by . This book was released on 1983 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Markov Diffusion Processes by : Wendell H. Fleming
Download or read book Optimal Control of Markov Diffusion Processes written by Wendell H. Fleming and published by . This book was released on 1978 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: Some results from optimal stochastic theory are surveyed in this paper, with particular emphasis on control of diffusion processes. Methods for obtaining necessary and sufficient conditions for an optimum are obtained, as well as some techniques for approximate solution. A new application of stochastic control methods is made to obtain Ventcel-Freidlin type estimates for the probability that the states of a diffusion process remain in a given region during a given time period. (Author).
Book Synopsis Optimal Control Problems in diffusion processes with a nonsmooth nonlinear boundary condition by : Eckehard Sachs
Download or read book Optimal Control Problems in diffusion processes with a nonsmooth nonlinear boundary condition written by Eckehard Sachs and published by . This book was released on 1981 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Optimal Control of Counterflow Diffusion Processes by : E. M. Stafford
Download or read book Optimal Control of Counterflow Diffusion Processes written by E. M. Stafford and published by . This book was released on 1969 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Controlled Markov Processes and Viscosity Solutions by : Wendell H. Fleming
Download or read book Controlled Markov Processes and Viscosity Solutions written by Wendell H. Fleming and published by Springer Science & Business Media. This book was released on 2006-02-04 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.
Book Synopsis Controlled Diffusion Processes by : N.V. Krylov
Download or read book Controlled Diffusion Processes written by N.V. Krylov and published by Springer. This book was released on 1980-11-12 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic control theory is a relatively young branch of mathematics. The beginning of its intensive development falls in the late 1950s and early 1960s. During that period an extensive literature appeared on optimal stochastic control using the quadratic performance criterion (see references in W onham [76J). At the same time, Girsanov [25J and Howard [26J made the first steps in constructing a general theory, based on Bellman's technique of dynamic programming, developed by him somewhat earlier [4J. Two types of engineering problems engendered two different parts of stochastic control theory. Problems of the first type are associated with multistep decision making in discrete time, and are treated in the theory of discrete stochastic dynamic programming. For more on this theory, we note in addition to the work of Howard and Bellman, mentioned above, the books by Derman [8J, Mine and Osaki [55J, and Dynkin and Yushkevich [12]. Another class of engineering problems which encouraged the development of the theory of stochastic control involves time continuous control of a dynamic system in the presence of random noise. The case where the system is described by a differential equation and the noise is modeled as a time continuous random process is the core of the optimal control theory of diffusion processes. This book deals with this latter theory.
