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Author : J. B. R. Val
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (93 download)
Download or read book Stochastic optimal control for piecewise deterministic Markov processes written by J. B. R. Val and published by . This book was released on 1986 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Oswaldo Luiz do Valle Costa
Publisher : Springer Science & Business Media
ISBN 13 : 146146983X
Total Pages : 124 pages
Book Rating : 4.4/5 (614 download)
Download or read book Continuous Average Control of Piecewise Deterministic Markov Processes written by Oswaldo Luiz do Valle Costa and published by Springer Science & Business Media. This book was released on 2013-04-12 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt: The intent of this book is to present recent results in the control theory for the long run average continuous control problem of piecewise deterministic Markov processes (PDMPs). The book focuses mainly on the long run average cost criteria and extends to the PDMPs some well-known techniques related to discrete-time and continuous-time Markov decision processes, including the so-called ``average inequality approach'', ``vanishing discount technique'' and ``policy iteration algorithm''. We believe that what is unique about our approach is that, by using the special features of the PDMPs, we trace a parallel with the general theory for discrete-time Markov Decision Processes rather than the continuous-time case. The two main reasons for doing that is to use the powerful tools developed in the discrete-time framework and to avoid working with the infinitesimal generator associated to a PDMP, which in most cases has its domain of definition difficult to be characterized. Although the book is mainly intended to be a theoretically oriented text, it also contains some motivational examples. The book is targeted primarily for advanced students and practitioners of control theory. The book will be a valuable source for experts in the field of Markov decision processes. Moreover, the book should be suitable for certain advanced courses or seminars. As background, one needs an acquaintance with the theory of Markov decision processes and some knowledge of stochastic processes and modern analysis.
Author : Wendell H. Fleming
Publisher : Springer Science & Business Media
ISBN 13 : 1461263808
Total Pages : 231 pages
Book Rating : 4.4/5 (612 download)
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.
Author : Juan Juan Ye
Publisher : National Library of Canada = Bibliothèque nationale du Canada
ISBN 13 : 9780315645134
Total Pages : 127 pages
Book Rating : 4.6/5 (451 download)
Download or read book Optimal Control of Piecewise Deterministic Markov Processes written by Juan Juan Ye and published by National Library of Canada = Bibliothèque nationale du Canada. This book was released on 1990 with total page 127 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samuel N Cohen
Publisher : World Scientific
ISBN 13 : 9814483915
Total Pages : 605 pages
Book Rating : 4.8/5 (144 download)
Download or read book Stochastic Processes, Finance And Control: A Festschrift In Honor Of Robert J Elliott written by Samuel N Cohen and published by World Scientific. This book was released on 2012-08-10 with total page 605 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of a series of new, peer-reviewed papers in stochastic processes, analysis, filtering and control, with particular emphasis on mathematical finance, actuarial science and engineering. Paper contributors include colleagues, collaborators and former students of Robert Elliott, many of whom are world-leading experts and have made fundamental and significant contributions to these areas.This book provides new important insights and results by eminent researchers in the considered areas, which will be of interest to researchers and practitioners. The topics considered will be diverse in applications, and will provide contemporary approaches to the problems considered. The areas considered are rapidly evolving. This volume will contribute to their development, and present the current state-of-the-art stochastic processes, analysis, filtering and control.Contributing authors include: H Albrecher, T Bielecki, F Dufour, M Jeanblanc, I Karatzas, H-H Kuo, A Melnikov, E Platen, G Yin, Q Zhang, C Chiarella, W Fleming, D Madan, R Mamon, J Yan, V Krishnamurthy.
Author : Benoîte de Saporta
Publisher : John Wiley & Sons
ISBN 13 : 1848218397
Total Pages : 298 pages
Book Rating : 4.8/5 (482 download)
Download or read book Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes written by Benoîte de Saporta and published by John Wiley & Sons. This book was released on 2016-01-26 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mark H.A. Davis introduced the Piecewise-Deterministic Markov Process (PDMP) class of stochastic hybrid models in an article in 1984. Today it is used to model a variety of complex systems in the fields of engineering, economics, management sciences, biology, Internet traffic, networks and many more. Yet, despite this, there is very little in the way of literature devoted to the development of numerical methods for PDMDs to solve problems of practical importance, or the computational control of PDMPs. This book therefore presents a collection of mathematical tools that have been recently developed to tackle such problems. It begins by doing so through examples in several application domains such as reliability. The second part is devoted to the study and simulation of expectations of functionals of PDMPs. Finally, the third part introduces the development of numerical techniques for optimal control problems such as stopping and impulse control problems.
Author : D. Vermes
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (756 download)
Download or read book Optimal Control of Piecewise Deterministic Markov Process written by D. Vermes and published by . This book was released on 1985 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexey B. Piunovskiy
Publisher : Luniver Press
ISBN 13 : 1905986300
Total Pages : 342 pages
Book Rating : 4.9/5 (59 download)
Download or read book Modern Trends in Controlled Stochastic Processes written by Alexey B. Piunovskiy and published by Luniver Press. This book was released on 2010-09 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.
Author : Wendell H. Fleming
Publisher : Springer Science & Business Media
ISBN 13 : 0387310711
Total Pages : 436 pages
Book Rating : 4.3/5 (873 download)
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.
Download or read book Cost Optimal Control of Piecewise Deterministic Markov Processes Under Partial Observation written by and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : M.H.A. Davis
Publisher : Routledge
ISBN 13 : 1351433482
Total Pages : 316 pages
Book Rating : 4.3/5 (514 download)
Download or read book Markov Models & Optimization written by M.H.A. Davis and published by Routledge. This book was released on 2018-02-19 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents a radically new approach to problems of evaluating and optimizing the performance of continuous-time stochastic systems. This approach is based on the use of a family of Markov processes called Piecewise-Deterministic Processes (PDPs) as a general class of stochastic system models. A PDP is a Markov process that follows deterministic trajectories between random jumps, the latter occurring either spontaneously, in a Poisson-like fashion, or when the process hits the boundary of its state space. This formulation includes an enormous variety of applied problems in engineering, operations research, management science and economics as special cases; examples include queueing systems, stochastic scheduling, inventory control, resource allocation problems, optimal planning of production or exploitation of renewable or non-renewable resources, insurance analysis, fault detection in process systems, and tracking of maneuvering targets, among many others. The first part of the book shows how these applications lead to the PDP as a system model, and the main properties of PDPs are derived. There is particular emphasis on the so-called extended generator of the process, which gives a general method for calculating expectations and distributions of system performance functions. The second half of the book is devoted to control theory for PDPs, with a view to controlling PDP models for optimal performance: characterizations are obtained of optimal strategies both for continuously-acting controllers and for control by intervention (impulse control). Throughout the book, modern methods of stochastic analysis are used, but all the necessary theory is developed from scratch and presented in a self-contained way. The book will be useful to engineers and scientists in the application areas as well as to mathematicians interested in applications of stochastic analysis.
Author : Daniel Hernández-Hernández
Publisher : Springer Science & Business Media
ISBN 13 : 0817683372
Total Pages : 331 pages
Book Rating : 4.8/5 (176 download)
Download or read book Optimization, Control, and Applications of Stochastic Systems written by Daniel Hernández-Hernández and published by Springer Science & Business Media. This book was released on 2012-08-15 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Author : George Yin
Publisher : American Mathematical Soc.
ISBN 13 : 9780821897027
Total Pages : 420 pages
Book Rating : 4.8/5 (97 download)
Download or read book Mathematics of Stochastic Manufacturing Systems written by George Yin and published by American Mathematical Soc.. This book was released on 1997-01-01 with total page 420 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this volume, leading experts in mathematical manufacturing research and related fields review and update recent advances of mathematics in stochastic manufacturing systems and attempt to bridge the gap between theory and applications. The topics covered include scheduling and production planning, modeling of manufacturing systems, hierarchical control for large and complex systems, Markov chains, queueing networks, numerical methods for system approximations, singular perturbed systems, risk-sensitive control, stochastic optimization methods, discrete event systems, and statistical quality control.
Author : Alexey Piunovskiy
Publisher : Springer Nature
ISBN 13 : 3030769283
Total Pages : 356 pages
Book Rating : 4.0/5 (37 download)
Download or read book Modern Trends in Controlled Stochastic Processes: written by Alexey Piunovskiy and published by Springer Nature. This book was released on 2021-06-04 with total page 356 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference.
Author : Hui Huang
Publisher :
ISBN 13 :
Total Pages : 116 pages
Book Rating : 4.X/5 (1 download)
Download or read book Optimal Control of Piecewise Continuous Stochastic Processes written by Hui Huang and published by . This book was released on 1990 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : E. B. Dynkin
Publisher : Springer
ISBN 13 : 9781461567486
Total Pages : 0 pages
Book Rating : 4.5/5 (674 download)
Download or read book Controlled Markov Processes written by E. B. Dynkin and published by Springer. This book was released on 2012-04-13 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the systematic exposition of the contemporary theory of controlled Markov processes with discrete time parameter or in another termi nology multistage Markovian decision processes. We discuss the applications of this theory to various concrete problems. Particular attention is paid to mathe matical models of economic planning, taking account of stochastic factors. The authors strove to construct the exposition in such a way that a reader interested in the applications can get through the book with a minimal mathe matical apparatus. On the other hand, a mathematician will find, in the appropriate chapters, a rigorous theory of general control models, based on advanced measure theory, analytic set theory, measurable selection theorems, and so forth. We have abstained from the manner of presentation of many mathematical monographs, in which one presents immediately the most general situation and only then discusses simpler special cases and examples. Wishing to separate out difficulties, we introduce new concepts and ideas in the simplest setting, where they already begin to work. Thus, before considering control problems on an infinite time interval, we investigate in detail the case of the finite interval. Here we first study in detail models with finite state and action spaces-a case not requiring a departure from the realm of elementary mathematics, and at the same time illustrating the most important principles of the theory.
Author : William M. McEneaney
Publisher : Springer Science & Business Media
ISBN 13 : 1461217849
Total Pages : 660 pages
Book Rating : 4.4/5 (612 download)
Download or read book Stochastic Analysis, Control, Optimization and Applications written by William M. McEneaney and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.
