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Rational Matrix Equations In Stochastic Control
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Book Synopsis Rational Matrix Equations in Stochastic Control by : Tobias Damm
Download or read book Rational Matrix Equations in Stochastic Control written by Tobias Damm and published by Springer Science & Business Media. This book was released on 2004-01-23 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first comprehensive treatment of rational matrix equations in stochastic systems, including various aspects of the field, previously unpublished results and explicit examples. Topics include modelling with stochastic differential equations, stochastic stability, reformulation of stochastic control problems, analysis of the rational matrix equation and numerical solutions. Primarily a survey in character, this monograph is intended for researchers, graduate students and engineers in control theory and applied linear algebra.
Book Synopsis Newton's Method for a Rational Matrix Equation Occuring in Stochastic Control by : Tobias Damm
Download or read book Newton's Method for a Rational Matrix Equation Occuring in Stochastic Control written by Tobias Damm and published by . This book was released on 1999 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis On a Class of Rational Matrix Differential Equations Arising in Stochastic Control by : Gerhard Freiling
Download or read book On a Class of Rational Matrix Differential Equations Arising in Stochastic Control written by Gerhard Freiling and published by . This book was released on 2002 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Mathematical Methods in Robust Control of Linear Stochastic Systems by : Vasile Dragan
Download or read book Mathematical Methods in Robust Control of Linear Stochastic Systems written by Vasile Dragan and published by Springer Science & Business Media. This book was released on 2013-10-04 with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition of Mathematical Methods in the Robust Control of Linear Stochastic Systems includes a large number of recent results in the control of linear stochastic systems. More specifically, the new results presented are: - A unified and abstract framework for Riccati type equations arising in the stochastic control - Stability and control problems for systems perturbed by homogeneous Markov processes with infinite number of states - Mixed H2 / H∞ control problem and numerical procedures - Linear differential equations with positive evolution on ordered Banach spaces with applications for stochastic systems including both multiplicative white noise and Markovian jumps represented by a Markov chain with countable infinite set of states - Kalman filtering for stochastic systems subject both to state dependent noise and Markovian jumps - H∞ reduced order filters for stochastic systems The book will appeal to graduate students, researchers in advanced control engineering, finance, mathematical systems theory, applied probability and stochastic processes, and numerical analysis. From Reviews of the First Edition: This book is concerned with robust control of stochastic systems. One of the main features is its coverage of jump Markovian systems. ... Overall, this book presents results taking into consideration both white noise and Markov chain perturbations. It is clearly written and should be useful for people working in applied mathematics and in control and systems theory. The references cited provide further reading sources. (George Yin, Mathematical Reviews, Issue 2007 m) This book considers linear time varying stochastic systems, subjected to white noise disturbances and system parameter Markovian jumping, in the context of optimal control ... robust stabilization, and disturbance attenuation. ... The material presented in the book is organized in seven chapters. ... The book is very well written and organized. ... is a valuable reference for all researchers and graduate students in applied mathematics and control engineering interested in linear stochastic time varying control systems with Markovian parameter jumping and white noise disturbances. (Zoran Gajic, SIAM Review, Vol. 49 (3), 2007)
Book Synopsis Linear Stochastic Control Systems by : Goong Chen
Download or read book Linear Stochastic Control Systems written by Goong Chen and published by CRC Press. This book was released on 1995-07-12 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Analysis and Optimization of Differential Systems by : Viorel Barbu
Download or read book Analysis and Optimization of Differential Systems written by Viorel Barbu and published by Springer. This book was released on 2013-06-05 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: Analysis and Optimization of Differential Systems focuses on the qualitative aspects of deterministic and stochastic differential equations. Areas covered include: Ordinary and partial differential systems; Optimal control of deterministic and stochastic evolution equations; Control theory of Partial Differential Equations (PDE's); Optimization methods in PDE's with numerous applications to mechanics and physics; Inverse problems; Stability theory; Abstract optimization problems; Calculus of variations; Numerical treatment of solutions to differential equations and related optimization problems. These research fields are under very active development and the present volume should be of interest to students and researchers working in applied mathematics or in system engineering. This volume contains selected contributions presented during the International Working Conference on Analysis and Optimization of Differential Systems, which was sponsored by the International Federation for Information Processing (IFIP) and held in Constanta, Romania in September 2002. Among the aims of this conference was the creation of new international contacts and collaborations, taking advantage of the new developments in Eastern Europe, particularly in Romania. The conference benefited from the support of the European Union via the EURROMMAT program.
Download or read book Positive Systems written by Rafael Bru and published by Springer Science & Business Media. This book was released on 2009-08-26 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the "Third Multidisciplinary Symposium on Positive Systems: Theory and Applications (POSTA09)" held in Valencia, Spain, September 2–4, 2009. This is the only world congress whose main topic is focused on this field.
Book Synopsis On Causal and Stable Solutions to Rational Matrix Equations with Applications to Control Theory by : G. Bengtsson
Download or read book On Causal and Stable Solutions to Rational Matrix Equations with Applications to Control Theory written by G. Bengtsson and published by . This book was released on 1976 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Matrix Riccati Equations in Control and Systems Theory by : Hisham Abou-Kandil
Download or read book Matrix Riccati Equations in Control and Systems Theory written by Hisham Abou-Kandil and published by Birkhäuser. This book was released on 2012-12-06 with total page 584 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors present the theory of symmetric (Hermitian) matrix Riccati equations and contribute to the development of the theory of non-symmetric Riccati equations as well as to certain classes of coupled and generalized Riccati equations occurring in differential games and stochastic control. The volume offers a complete treatment of generalized and coupled Riccati equations. It deals with differential, discrete-time, algebraic or periodic symmetric and non-symmetric equations, with special emphasis on those equations appearing in control and systems theory. Extensions to Riccati theory allow to tackle robust control problems in a unified approach. The book makes available classical and recent results to engineers and mathematicians alike. It is accessible to graduate students in mathematics, applied mathematics, control engineering, physics or economics. Researchers working in any of the fields where Riccati equations are used can find the main results with the proper mathematical background.
Book Synopsis Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions by : Jingrui Sun
Download or read book Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions written by Jingrui Sun and published by Springer Nature. This book was released on 2020-06-29 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic H2/H ∞ Control: A Nash Game Approach by : Weihai Zhang
Download or read book Stochastic H2/H ∞ Control: A Nash Game Approach written by Weihai Zhang and published by CRC Press. This book was released on 2017-08-07 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: The H∞ control has been one of the important robust control approaches since the 1980s. This book extends the area to nonlinear stochastic H2/H∞ control, and studies more complex and practically useful mixed H2/H∞ controller synthesis rather than the pure H∞ control. Different from the commonly used convex optimization method, this book applies the Nash game approach to give necessary and sufficient conditions for the existence and uniqueness of the mixed H2/H∞ control. Researchers will benefit from our detailed exposition of the stochastic mixed H2/H∞ control theory, while practitioners can apply our efficient algorithms to address their practical problems.
Book Synopsis Stochastic Optimal Control in Infinite Dimension by : Giorgio Fabbri
Download or read book Stochastic Optimal Control in Infinite Dimension written by Giorgio Fabbri and published by Springer. This book was released on 2017-06-22 with total page 928 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stochastic Theory and Control by : Bozenna Pasik-Duncan
Download or read book Stochastic Theory and Control written by Bozenna Pasik-Duncan and published by Springer Science & Business Media. This book was released on 2002-07-24 with total page 563 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains almost all of the papers that were presented at the Workshop on Stochastic Theory and Control that was held at the Univ- sity of Kansas, 18–20 October 2001. This three-day event gathered a group of leading scholars in the ?eld of stochastic theory and control to discuss leading-edge topics of stochastic control, which include risk sensitive control, adaptive control, mathematics of ?nance, estimation, identi?cation, optimal control, nonlinear ?ltering, stochastic di?erential equations, stochastic p- tial di?erential equations, and stochastic theory and its applications. The workshop provided an opportunity for many stochastic control researchers to network and discuss cutting-edge technologies and applications, teaching and future directions of stochastic control. Furthermore, the workshop focused on promoting control theory, in particular stochastic control, and it promoted collaborative initiatives in stochastic theory and control and stochastic c- trol education. The lecture on “Adaptation of Real-Time Seizure Detection Algorithm” was videotaped by the PBS. Participants of the workshop have been involved in contributing to the documentary being ?lmed by PBS which highlights the extraordinary work on “Math, Medicine and the Mind: Discovering Tre- ments for Epilepsy” that examines the e?orts of the multidisciplinary team on which several of the participants of the workshop have been working for many years to solve one of the world’s most dramatic neurological conditions. Invited high school teachers of Math and Science were among the part- ipants of this professional meeting.
Book Synopsis Positive Systems: Theory and Applications by : Luca Benvenuti
Download or read book Positive Systems: Theory and Applications written by Luca Benvenuti and published by Springer Science & Business Media. This book was released on 2003-07-25 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proceedings of the First Multidisciplinary International Symposium on Positive Systems Theory and Applications (POSTA 2003) held in Rome, Italy, August 28-30, 2003. Positive Systems are systems in which the relevant variables assume nonnegative values. These systems are quite common in applications where variables represent positive quantities such as populations, goods, money, time, data packets flowing in a network, densities of chemical species, probabilities, etc. The aim of the symposium was to join together researchers working in the different areas related to positive systems such as telecommunications, economy, biomedicine, chemistry and physics in order to provide a multidisciplinary forum where they have the opportunity to exchange ideas and compare results in a unifying framework.
Author :Oswaldo Luiz do Valle Costa Publisher :Springer Science & Business Media ISBN 13 :3642341004 Total Pages :295 pages Book Rating :4.6/5 (423 download)
Book Synopsis Continuous-Time Markov Jump Linear Systems by : Oswaldo Luiz do Valle Costa
Download or read book Continuous-Time Markov Jump Linear Systems written by Oswaldo Luiz do Valle Costa and published by Springer Science & Business Media. This book was released on 2012-12-18 with total page 295 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has been widely recognized nowadays the importance of introducing mathematical models that take into account possible sudden changes in the dynamical behavior of a high-integrity systems or a safety-critical system. Such systems can be found in aircraft control, nuclear power stations, robotic manipulator systems, integrated communication networks and large-scale flexible structures for space stations, and are inherently vulnerable to abrupt changes in their structures caused by component or interconnection failures. In this regard, a particularly interesting class of models is the so-called Markov jump linear systems (MJLS), which have been used in numerous applications including robotics, economics and wireless communication. Combining probability and operator theory, the present volume provides a unified and rigorous treatment of recent results in control theory of continuous-time MJLS. This unique approach is of great interest to experts working in the field of linear systems with Markovian jump parameters or in stochastic control. The volume focuses on one of the few cases of stochastic control problems with an actual explicit solution and offers material well-suited to coursework, introducing students to an interesting and active research area. The book is addressed to researchers working in control and signal processing engineering. Prerequisites include a solid background in classical linear control theory, basic familiarity with continuous-time Markov chains and probability theory, and some elementary knowledge of operator theory.
Book Synopsis Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems by : Vasile Dragan
Download or read book Mathematical Methods in Robust Control of Discrete-Time Linear Stochastic Systems written by Vasile Dragan and published by Springer Science & Business Media. This book was released on 2009-11-10 with total page 349 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this monograph the authors develop a theory for the robust control of discrete-time stochastic systems, subjected to both independent random perturbations and to Markov chains. Such systems are widely used to provide mathematical models for real processes in fields such as aerospace engineering, communications, manufacturing, finance and economy. The theory is a continuation of the authors’ work presented in their previous book entitled "Mathematical Methods in Robust Control of Linear Stochastic Systems" published by Springer in 2006. Key features: - Provides a common unifying framework for discrete-time stochastic systems corrupted with both independent random perturbations and with Markovian jumps which are usually treated separately in the control literature; - Covers preliminary material on probability theory, independent random variables, conditional expectation and Markov chains; - Proposes new numerical algorithms to solve coupled matrix algebraic Riccati equations; - Leads the reader in a natural way to the original results through a systematic presentation; - Presents new theoretical results with detailed numerical examples. The monograph is geared to researchers and graduate students in advanced control engineering, applied mathematics, mathematical systems theory and finance. It is also accessible to undergraduate students with a fundamental knowledge in the theory of stochastic systems.
