Stochastic Dynamics And Control

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Stochastic Dynamics and Control

Author : Jian-Qiao Sun
Publisher : Elsevier
ISBN 13 : 9780080463988
Total Pages : 426 pages
Book Rating : 4.4/5 (639 download)

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Book Synopsis Stochastic Dynamics and Control by : Jian-Qiao Sun

Download or read book Stochastic Dynamics and Control written by Jian-Qiao Sun and published by Elsevier. This book was released on 2006-08-10 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a result of many years of author’s research and teaching on random vibration and control. It was used as lecture notes for a graduate course. It provides a systematic review of theory of probability, stochastic processes, and stochastic calculus. The feedback control is also reviewed in the book. Random vibration analyses of SDOF, MDOF and continuous structural systems are presented in a pedagogical order. The application of the random vibration theory to reliability and fatigue analysis is also discussed. Recent research results on fatigue analysis of non-Gaussian stress processes are also presented. Classical feedback control, active damping, covariance control, optimal control, sliding control of stochastic systems, feedback control of stochastic time-delayed systems, and probability density tracking control are studied. Many control results are new in the literature and included in this book for the first time. The book serves as a reference to the engineers who design and maintain structures subject to harsh random excitations including earthquakes, sea waves, wind gusts, and aerodynamic forces, and would like to reduce the damages of structural systems due to random excitations. · Comprehensive review of probability theory, and stochastic processes · Random vibrations · Structural reliability and fatigue, Non-Gaussian fatigue · Monte Carlo methods · Stochastic calculus and engineering applications · Stochastic feedback controls and optimal controls · Stochastic sliding mode controls · Feedback control of stochastic time-delayed systems · Probability density tracking control

Stochastic Dynamics of Structures

Author : Jie Li
Publisher : John Wiley & Sons
ISBN 13 : 0470824255
Total Pages : 426 pages
Book Rating : 4.4/5 (78 download)

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Book Synopsis Stochastic Dynamics of Structures by : Jie Li

Download or read book Stochastic Dynamics of Structures written by Jie Li and published by John Wiley & Sons. This book was released on 2009-07-23 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Stochastic Dynamics of Structures, Li and Chen present a unified view of the theory and techniques for stochastic dynamics analysis, prediction of reliability, and system control of structures within the innovative theoretical framework of physical stochastic systems. The authors outline the fundamental concepts of random variables, stochastic process and random field, and orthogonal expansion of random functions. Readers will gain insight into core concepts such as stochastic process models for typical dynamic excitations of structures, stochastic finite element, and random vibration analysis. Li and Chen also cover advanced topics, including the theory of and elaborate numerical methods for probability density evolution analysis of stochastic dynamical systems, reliability-based design, and performance control of structures. Stochastic Dynamics of Structures presents techniques for researchers and graduate students in a wide variety of engineering fields: civil engineering, mechanical engineering, aerospace and aeronautics, marine and offshore engineering, ship engineering, and applied mechanics. Practicing engineers will benefit from the concise review of random vibration theory and the new methods introduced in the later chapters. "The book is a valuable contribution to the continuing development of the field of stochastic structural dynamics, including the recent discoveries and developments by the authors of the probability density evolution method (PDEM) and its applications to the assessment of the dynamic reliability and control of complex structures through the equivalent extreme-value distribution." —A. H-S. Ang, NAE, Hon. Mem. ASCE, Research Professor, University of California, Irvine, USA "The authors have made a concerted effort to present a responsible and even holistic account of modern stochastic dynamics. Beyond the traditional concepts, they also discuss theoretical tools of recent currency such as the Karhunen-Loeve expansion, evolutionary power spectra, etc. The theoretical developments are properly supplemented by examples from earthquake, wind, and ocean engineering. The book is integrated by also comprising several useful appendices, and an exhaustive list of references; it will be an indispensable tool for students, researchers, and practitioners endeavoring in its thematic field." —Pol Spanos, NAE, Ryon Chair in Engineering, Rice University, Houston, USA

Stochastic Control Theory

Author : Makiko Nisio
Publisher : Springer
ISBN 13 : 4431551239
Total Pages : 263 pages
Book Rating : 4.4/5 (315 download)

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Book Synopsis Stochastic Control Theory by : Makiko Nisio

Download or read book Stochastic Control Theory written by Makiko Nisio and published by Springer. This book was released on 2014-11-27 with total page 263 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a systematic introduction to the optimal stochastic control theory via the dynamic programming principle, which is a powerful tool to analyze control problems. First we consider completely observable control problems with finite horizons. Using a time discretization we construct a nonlinear semigroup related to the dynamic programming principle (DPP), whose generator provides the Hamilton–Jacobi–Bellman (HJB) equation, and we characterize the value function via the nonlinear semigroup, besides the viscosity solution theory. When we control not only the dynamics of a system but also the terminal time of its evolution, control-stopping problems arise. This problem is treated in the same frameworks, via the nonlinear semigroup. Its results are applicable to the American option price problem. Zero-sum two-player time-homogeneous stochastic differential games and viscosity solutions of the Isaacs equations arising from such games are studied via a nonlinear semigroup related to DPP (the min-max principle, to be precise). Using semi-discretization arguments, we construct the nonlinear semigroups whose generators provide lower and upper Isaacs equations. Concerning partially observable control problems, we refer to stochastic parabolic equations driven by colored Wiener noises, in particular, the Zakai equation. The existence and uniqueness of solutions and regularities as well as Itô's formula are stated. A control problem for the Zakai equations has a nonlinear semigroup whose generator provides the HJB equation on a Banach space. The value function turns out to be a unique viscosity solution for the HJB equation under mild conditions. This edition provides a more generalized treatment of the topic than does the earlier book Lectures on Stochastic Control Theory (ISI Lecture Notes 9), where time-homogeneous cases are dealt with. Here, for finite time-horizon control problems, DPP was formulated as a one-parameter nonlinear semigroup, whose generator provides the HJB equation, by using a time-discretization method. The semigroup corresponds to the value function and is characterized as the envelope of Markovian transition semigroups of responses for constant control processes. Besides finite time-horizon controls, the book discusses control-stopping problems in the same frameworks.

Elements Of Stochastic Dynamics

Author : Guo-qiang Cai
Publisher : World Scientific Publishing Company
ISBN 13 : 9814723347
Total Pages : 552 pages
Book Rating : 4.8/5 (147 download)

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Book Synopsis Elements Of Stochastic Dynamics by : Guo-qiang Cai

Download or read book Elements Of Stochastic Dynamics written by Guo-qiang Cai and published by World Scientific Publishing Company. This book was released on 2016-08-11 with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic dynamics has been a subject of interest since the early 20th Century. Since then, much progress has been made in this field of study, and many modern applications for it have been found in fields such as physics, chemistry, biology, ecology, economy, finance, and many branches of engineering including Mechanical, Ocean, Civil, Bio, and Earthquake Engineering.Elements of Stochastic Dynamics aims to meet the growing need to understand and master the subject by introducing fundamentals to researchers who want to explore stochastic dynamics in their fields and serving as a textbook for graduate students in various areas involving stochastic uncertainties. All topics within are presented from an application approach, and may thus be more appealing to users without a background in pure Mathematics. The book describes the basic concepts and theories of random variables and stochastic processes in detail; provides various solution procedures for systems subjected to stochastic excitations; introduces stochastic stability and bifurcation; and explores failures of stochastic systems. The book also incorporates some latest research results in modeling stochastic processes; in reducing the system degrees of freedom; and in solving nonlinear problems. The book also provides numerical simulation procedures of widely-used random variables and stochastic processes.A large number of exercise problems are included in the book to aid the understanding of the concepts and theories, and may be used for as course homework.

Stochastic Dynamics in Computational Biology

Author : Stefanie Winkelmann
Publisher : Springer Nature
ISBN 13 : 3030623874
Total Pages : 284 pages
Book Rating : 4.0/5 (36 download)

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Book Synopsis Stochastic Dynamics in Computational Biology by : Stefanie Winkelmann

Download or read book Stochastic Dynamics in Computational Biology written by Stefanie Winkelmann and published by Springer Nature. This book was released on 2021-01-04 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this book is to provide a well-structured and coherent overview of existing mathematical modeling approaches for biochemical reaction systems, investigating relations between both the conventional models and several types of deterministic-stochastic hybrid model recombinations. Another main objective is to illustrate and compare diverse numerical simulation schemes and their computational effort. Unlike related works, this book presents a broad scope in its applications, from offering a detailed introduction to hybrid approaches for the case of multiple population scales to discussing the setting of time-scale separation resulting from widely varying firing rates of reaction channels. Additionally, it also addresses modeling approaches for non well-mixed reaction-diffusion dynamics, including deterministic and stochastic PDEs and spatiotemporal master equations. Finally, by translating and incorporating complex theory to a level accessible to non-mathematicians, this book effectively bridges the gap between mathematical research in computational biology and its practical use in biological, biochemical, and biomedical systems.

Computational Methods in Stochastic Dynamics

Author : Manolis Papadrakakis
Publisher : Springer Science & Business Media
ISBN 13 : 9048199875
Total Pages : 346 pages
Book Rating : 4.0/5 (481 download)

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Book Synopsis Computational Methods in Stochastic Dynamics by : Manolis Papadrakakis

Download or read book Computational Methods in Stochastic Dynamics written by Manolis Papadrakakis and published by Springer Science & Business Media. This book was released on 2011-02-01 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt: At the dawn of the 21st century, computational stochastic dynamics is an emerging research frontier. This book focuses on advanced computational methods and software tools which can highly assist in tackling complex problems in stochastic dynamic/seismic analysis and design of structures. The book is primarily intended for researchers and post-graduate students in the fields of computational mechanics and stochastic structural dynamics. Nevertheless, practice engineers as well could benefit from it as most code provisions tend to incorporate probabilistic concepts in the analysis and design of structures. The book addresses mathematical and numerical issues in stochastic structural dynamics and connects them to real-world applications. It consists of 16 chapters dealing with recent advances in a wide range of related topics (dynamic response variability and reliability of stochastic systems, risk assessment, stochastic simulation of earthquake ground motions, efficient solvers for the analysis of stochastic systems, dynamic stability, stochastic modelling of heterogeneous materials). Numerical examples demonstrating the significance of the proposed methods are presented in each chapter.

Stochastic Dynamics

Author : Hans Crauel
Publisher : Springer Science & Business Media
ISBN 13 : 0387226559
Total Pages : 457 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Stochastic Dynamics by : Hans Crauel

Download or read book Stochastic Dynamics written by Hans Crauel and published by Springer Science & Business Media. This book was released on 2007-12-14 with total page 457 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focusing on the mathematical description of stochastic dynamics in discrete as well as in continuous time, this book investigates such dynamical phenomena as perturbations, bifurcations and chaos. It also introduces new ideas for the exploration of infinite dimensional systems, in particular stochastic partial differential equations. Example applications are presented from biology, chemistry and engineering, while describing numerical treatments of stochastic systems.

Optimal Control and Estimation

Author : Robert F. Stengel
Publisher : Courier Corporation
ISBN 13 : 0486134814
Total Pages : 672 pages
Book Rating : 4.4/5 (861 download)

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Book Synopsis Optimal Control and Estimation by : Robert F. Stengel

Download or read book Optimal Control and Estimation written by Robert F. Stengel and published by Courier Corporation. This book was released on 2012-10-16 with total page 672 pages. Available in PDF, EPUB and Kindle. Book excerpt: Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems.

Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE

Author : Nizar Touzi
Publisher : Springer Science & Business Media
ISBN 13 : 1461442869
Total Pages : 219 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE by : Nizar Touzi

Download or read book Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE written by Nizar Touzi and published by Springer Science & Business Media. This book was released on 2012-09-25 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects some recent developments in stochastic control theory with applications to financial mathematics. We first address standard stochastic control problems from the viewpoint of the recently developed weak dynamic programming principle. A special emphasis is put on the regularity issues and, in particular, on the behavior of the value function near the boundary. We then provide a quick review of the main tools from viscosity solutions which allow to overcome all regularity problems. We next address the class of stochastic target problems which extends in a nontrivial way the standard stochastic control problems. Here the theory of viscosity solutions plays a crucial role in the derivation of the dynamic programming equation as the infinitesimal counterpart of the corresponding geometric dynamic programming equation. The various developments of this theory have been stimulated by applications in finance and by relevant connections with geometric flows. Namely, the second order extension was motivated by illiquidity modeling, and the controlled loss version was introduced following the problem of quantile hedging. The third part specializes to an overview of Backward stochastic differential equations, and their extensions to the quadratic case.

Stochastic Models of Control and Economic Dynamics

Author : Vadim Iosifovich Arkin
Publisher : London : Academic Press
ISBN 13 :
Total Pages : 240 pages
Book Rating : 4.3/5 (91 download)

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Book Synopsis Stochastic Models of Control and Economic Dynamics by : Vadim Iosifovich Arkin

Download or read book Stochastic Models of Control and Economic Dynamics written by Vadim Iosifovich Arkin and published by London : Academic Press. This book was released on 1987 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to a specific problem in the general theory of automatic control -- sequential control under conditions of incomplete information. The main results concern the case in which at each moment of (continuous) time only a finite number of controls are admissible and the results of control action are represented by realizations of random variables whose distributions at a given control correspond to one of several alternative hypotheses. The analysis is conducted in a Bayesian framework.

Fractional Dynamics and Control

Author : Dumitru Baleanu
Publisher : Springer Science & Business Media
ISBN 13 : 1461404576
Total Pages : 302 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Fractional Dynamics and Control by : Dumitru Baleanu

Download or read book Fractional Dynamics and Control written by Dumitru Baleanu and published by Springer Science & Business Media. This book was released on 2011-11-19 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: Fractional Dynamics and Control provides a comprehensive overview of recent advances in the areas of nonlinear dynamics, vibration and control with analytical, numerical, and experimental results. This book provides an overview of recent discoveries in fractional control, delves into fractional variational principles and differential equations, and applies advanced techniques in fractional calculus to solving complicated mathematical and physical problems.Finally, this book also discusses the role that fractional order modeling can play in complex systems for engineering and science.

Recent Development in Stochastic Dynamics and Stochastic Analysis

Author :
Publisher :
ISBN 13 : 981446760X
Total Pages : pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis Recent Development in Stochastic Dynamics and Stochastic Analysis by :

Download or read book Recent Development in Stochastic Dynamics and Stochastic Analysis written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Stochastic Dynamics for Systems Biology

Author : Christian Mazza
Publisher : CRC Press
ISBN 13 : 1466514949
Total Pages : 274 pages
Book Rating : 4.4/5 (665 download)

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Book Synopsis Stochastic Dynamics for Systems Biology by : Christian Mazza

Download or read book Stochastic Dynamics for Systems Biology written by Christian Mazza and published by CRC Press. This book was released on 2016-04-19 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic Dynamics for Systems Biology is one of the first books to provide a systematic study of the many stochastic models used in systems biology. The book shows how the mathematical models are used as technical tools for simulating biological processes and how the models lead to conceptual insights on the functioning of the cellular processing

Economic Dynamics, second edition

Author : John Stachurski
Publisher : MIT Press
ISBN 13 : 0262544776
Total Pages : 395 pages
Book Rating : 4.2/5 (625 download)

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Book Synopsis Economic Dynamics, second edition by : John Stachurski

Download or read book Economic Dynamics, second edition written by John Stachurski and published by MIT Press. This book was released on 2022-08-16 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second edition of a rigorous and example-driven introduction to topics in economic dynamics that emphasizes techniques for modeling dynamic systems. This text provides an introduction to the modern theory of economic dynamics, with emphasis on mathematical and computational techniques for modeling dynamic systems. Written to be both rigorous and engaging, the book shows how sound understanding of the underlying theory leads to effective algorithms for solving real-world problems. The material makes extensive use of programming examples to illustrate ideas, bringing to life the abstract concepts in the text. Key topics include algorithms and scientific computing, simulation, Markov models, and dynamic programming. Part I introduces fundamentals and part II covers more advanced material. This second edition has been thoroughly updated, drawing on recent research in the field. New for the second edition: “Programming-language agnostic” presentation using pseudocode. New chapter 1 covering conceptual issues concerning Markov chains such as ergodicity and stability. New focus in chapter 2 on algorithms and techniques for program design and high-performance computing. New focus on household problems rather than optimal growth in material on dynamic programming. Solutions to many exercises, code, and other resources available on a supplementary website.

Stochastic Dynamics of Power Systems

Author : Ping Ju
Publisher : Springer
ISBN 13 : 9811318166
Total Pages : 231 pages
Book Rating : 4.8/5 (113 download)

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Book Synopsis Stochastic Dynamics of Power Systems by : Ping Ju

Download or read book Stochastic Dynamics of Power Systems written by Ping Ju and published by Springer. This book was released on 2018-08-23 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses stochastic dynamics of power systems and the related analytical methodology. It summarizes and categorizes the stochastic elements of power systems and develops a framework for research on stochastic dynamics of power systems. It also establishes a research model for stochastic dynamics of power systems and theoretically proves stochastic stability in power systems. Further, in addition to demonstrating the stochastic oscillation mechanism in power systems, it also proposes methods for quantitative analysis and stochastic optimum control in the field of stochastic dynamic security in power systems. This book is a valuable resource for researchers, scholars and engineers in the field of electrics.

Stochastic Dynamic Programming and the Control of Queueing Systems

Author : Linn I. Sennott
Publisher : John Wiley & Sons
ISBN 13 : 9780471161202
Total Pages : 360 pages
Book Rating : 4.1/5 (612 download)

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Book Synopsis Stochastic Dynamic Programming and the Control of Queueing Systems by : Linn I. Sennott

Download or read book Stochastic Dynamic Programming and the Control of Queueing Systems written by Linn I. Sennott and published by John Wiley & Sons. This book was released on 1998-09-30 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eine Zusammenstellung der Grundlagen der stochastischen dynamischen Programmierung (auch als Markov-Entscheidungsprozeß oder Markov-Ketten bekannt), deren Schwerpunkt auf der Anwendung der Queueing-Theorie liegt. Theoretische und programmtechnische Aspekte werden sinnvoll verknüpft; insgesamt neun numerische Programme zur Queueing-Steuerung werden im Text ausführlich diskutiert. Ergänzendes Material kann vom zugehörigen ftp-Server abgerufen werden. (12/98)

Linearization Methods for Stochastic Dynamic Systems

Author : Leslaw Socha
Publisher : Springer Science & Business Media
ISBN 13 : 3540729968
Total Pages : 392 pages
Book Rating : 4.5/5 (47 download)

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Book Synopsis Linearization Methods for Stochastic Dynamic Systems by : Leslaw Socha

Download or read book Linearization Methods for Stochastic Dynamic Systems written by Leslaw Socha and published by Springer Science & Business Media. This book was released on 2007-12-20 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: For most cases of interest, exact solutions to nonlinear equations describing stochastic dynamical systems are not available. This book details the relatively simple and popular linearization techniques available, covering theory as well as application. It examines models with continuous external and parametric excitations, those that cover the majority of known approaches.