Modern Trends In Controlled Stochastic Processes

Author : Alexey Piunovskiy,Yi Zhang
Publisher : Springer Nature
Page : 356 pages
File Size : 45,6 Mb
Release : 2021-06-04
Category : Technology & Engineering
ISBN : 9783030769284

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Modern Trends in Controlled Stochastic Processes: by Alexey Piunovskiy,Yi Zhang Pdf

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 : Alexey B. Piunovskiy
Publisher : Luniver Press
Page : 342 pages
File Size : 53,5 Mb
Release : 2010-09
Category : Mathematics
ISBN : 9781905986309

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Modern Trends in Controlled Stochastic Processes by Alexey B. Piunovskiy Pdf

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 : Alexey Piunovskiy
Publisher : Luniver Press
Page : 322 pages
File Size : 40,5 Mb
Release : 2015-12-15
Category : Mathematics
ISBN : 1905986459

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Modern Trends in Controlled Stochastic Processes: Theory and Applications by Alexey Piunovskiy Pdf

World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, Controlled Diffusions, 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 Approximate and 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, Control of Water Resources, Information Transmission, Quality Control, Pollution Control and so on. 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 : I. I. Gihman,A. V. Skorohod
Publisher : Springer Science & Business Media
Page : 242 pages
File Size : 47,9 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461262022

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Controlled Stochastic Processes by I. I. Gihman,A. V. Skorohod Pdf

The theory of controlled processes is one of the most recent mathematical theories to show very important applications in modern engineering, parti cularly for constructing automatic control systems, as well as for problems of economic control. However, actual systems subject to control do not admit a strictly deterministic analysis in view of random factors of various kinds which influence their behavior. Such factors include, for example, random noise occurring in the electrical system, variations in the supply and demand of commodities, fluctuations in the labor force in economics, and random failures of components on an automated line. The theory of con trolled processes takes the random nature of the behavior of a system into account. In such cases it is natural, when choosing a control strategy, to proceed from the average expected result, taking note of all the possible variants of the behavior of a controlled system. An extensive literature is devoted to various economic and engineering systems of control (some of these works are listed in the Bibliography). is no text which adequately covers the general However, as of now there mathematical theory of controlled processes. The authors ofthis monograph have attempted to fill this gap. In this volume the general theory of discrete-parameter (time) controlled processes (Chapter 1) and those with continuous-time (Chapter 2), as well as the theory of controlled stochastic differential equations (Chapter 3), are presented.

Author : George Yin,Thaleia Zariphopoulou
Publisher : Springer Nature
Page : 466 pages
File Size : 55,9 Mb
Release : 2022-04-22
Category : Mathematics
ISBN : 9783030985196

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Stochastic Analysis, Filtering, and Stochastic Optimization by George Yin,Thaleia Zariphopoulou Pdf

This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.

Author : Alexey Piunovskiy,Yi Zhang
Publisher : Springer Nature
Page : 605 pages
File Size : 50,8 Mb
Release : 2020-11-09
Category : Mathematics
ISBN : 9783030549879

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Continuous-Time Markov Decision Processes by Alexey Piunovskiy,Yi Zhang Pdf

This book offers a systematic and rigorous treatment of continuous-time Markov decision processes, covering both theory and possible applications to queueing systems, epidemiology, finance, and other fields. Unlike most books on the subject, much attention is paid to problems with functional constraints and the realizability of strategies. Three major methods of investigations are presented, based on dynamic programming, linear programming, and reduction to discrete-time problems. Although the main focus is on models with total (discounted or undiscounted) cost criteria, models with average cost criteria and with impulsive controls are also discussed in depth. The book is self-contained. A separate chapter is devoted to Markov pure jump processes and the appendices collect the requisite background on real analysis and applied probability. All the statements in the main text are proved in detail. Researchers and graduate students in applied probability, operational research, statistics and engineering will find this monograph interesting, useful and valuable.

Author : Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa
Publisher : Springer Science & Business Media
Page : 331 pages
File Size : 47,9 Mb
Release : 2012-08-15
Category : Science
ISBN : 9780817683375

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Optimization, Control, and Applications of Stochastic Systems by Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa Pdf

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 : Nicole Bäuerle,Ulrich Rieder
Publisher : Springer Science & Business Media
Page : 393 pages
File Size : 41,9 Mb
Release : 2011-06-06
Category : Mathematics
ISBN : 9783642183249

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Markov Decision Processes with Applications to Finance by Nicole Bäuerle,Ulrich Rieder Pdf

The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).

Author : Joseph Apaloo,Bruno Viscolani
Publisher : Birkhäuser
Page : 363 pages
File Size : 52,5 Mb
Release : 2018-01-03
Category : Mathematics
ISBN : 9783319706191

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Advances in Dynamic and Mean Field Games by Joseph Apaloo,Bruno Viscolani Pdf

This contributed volume considers recent advances in dynamic games and their applications, based on presentations given at the 17th Symposium of the International Society of Dynamic Games, held July 12-15, 2016, in Urbino, Italy. Written by experts in their respective disciplines, these papers cover various aspects of dynamic game theory including mean-field games, stochastic and pursuit-evasion games, and computational methods for dynamic games. Topics covered include Pedestrian flow in crowded environments Models for climate change negotiations Nash Equilibria for dynamic games involving Volterra integral equations Differential games in healthcare markets Linear-quadratic Gaussian dynamic games Aircraft control in wind shear conditions Advances in Dynamic and Mean-Field Games presents state-of-the-art research in a wide spectrum of areas. As such, it serves as a testament to the continued vitality and growth of the field of dynamic games and their applications. It will be of interest to an interdisciplinary audience of researchers, practitioners, and graduate students.

Author : Benoîte de Saporta,François Dufour,Huilong Zhang
Publisher : John Wiley & Sons
Page : 298 pages
File Size : 50,9 Mb
Release : 2016-01-26
Category : Mathematics
ISBN : 9781848218390

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Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes by Benoîte de Saporta,François Dufour,Huilong Zhang Pdf

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 : Iosif Ilʹich Gikhman,Anatoliĭ Vladimirovich Skorokhod
Publisher : Unknown
Page : 237 pages
File Size : 52,6 Mb
Release : 1979
Category : Control theory
ISBN : 3540904107

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Controlled Stochastic Processes by Iosif Ilʹich Gikhman,Anatoliĭ Vladimirovich Skorokhod Pdf

Author : Javier De Lucas Araujo,Cristina Sardon Munoz
Publisher : World Scientific
Page : 425 pages
File Size : 52,9 Mb
Release : 2020-01-22
Category : Mathematics
ISBN : 9781786346995

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A Guide To Lie Systems With Compatible Geometric Structures by Javier De Lucas Araujo,Cristina Sardon Munoz Pdf

The book presents a comprehensive guide to the study of Lie systems from the fundamentals of differential geometry to the development of contemporary research topics. It embraces several basic topics on differential geometry and the study of geometric structures while developing known applications in the theory of Lie systems. The book also includes a brief exploration of the applications of Lie systems to superequations, discrete systems, and partial differential equations.Offering a complete overview from the topic's foundations to the present, this book is an ideal resource for Physics and Mathematics students, doctoral students and researchers.

Author : Tomás Prieto-Rumeau,Onésimo Hernández-Lerma
Publisher : World Scientific
Page : 292 pages
File Size : 46,6 Mb
Release : 2012
Category : Mathematics
ISBN : 9781848168480

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Selected Topics on Continuous-time Controlled Markov Chains and Markov Games by Tomás Prieto-Rumeau,Onésimo Hernández-Lerma Pdf

This book concerns continuous-time controlled Markov chains, also known as continuous-time Markov decision processes. They form a class of stochastic control problems in which a single decision-maker wishes to optimize a given objective function. This book is also concerned with Markov games, where two decision-makers (or players) try to optimize their own objective function. Both decision-making processes appear in a large number of applications in economics, operations research, engineering, and computer science, among other areas.An extensive, self-contained, up-to-date analysis of basic optimality criteria (such as discounted and average reward), and advanced optimality criteria (e.g., bias, overtaking, sensitive discount, and Blackwell optimality) is presented. A particular emphasis is made on the application of the results herein: algorithmic and computational issues are discussed, and applications to population models and epidemic processes are shown.This book is addressed to students and researchers in the fields of stochastic control and stochastic games. Moreover, it could be of interest also to undergraduate and beginning graduate students because the reader is not supposed to have a high mathematical background: a working knowledge of calculus, linear algebra, probability, and continuous-time Markov chains should suffice to understand the contents of the book.

Author : Floyd B. Hanson
Publisher : SIAM
Page : 472 pages
File Size : 45,7 Mb
Release : 2007-01-01
Category : Mathematics
ISBN : 0898718635

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Applied Stochastic Processes and Control for Jump-Diffusions by Floyd B. Hanson Pdf

This self-contained, practical, entry-level text integrates the basic principles of applied mathematics, applied probability, and computational science for a clear presentation of stochastic processes and control for jump diffusions in continuous time. The author covers the important problem of controlling these systems and, through the use of a jump calculus construction, discusses the strong role of discontinuous and nonsmooth properties versus random properties in stochastic systems.

Author : N.K. Sinha,L.A. Telksnys
Publisher : Elsevier
Page : 533 pages
File Size : 54,7 Mb
Release : 2014-05-23
Category : Technology & Engineering
ISBN : 9781483298078

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Stochastic Control by N.K. Sinha,L.A. Telksnys Pdf

Stochastic control, the control of random processes, has become increasingly more important to the systems analyst and engineer. The Second IFAC Symposium on Stochastic Control represents current thinking on all aspects of stochastic control, both theoretical and practical, and as such represents a further advance in the understanding of such systems.