Optimization Control And Applications Of Stochastic Systems

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Optimization, Control, and Applications of Stochastic Systems

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

Author : Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa
Publisher : Springer Science & Business Media
Page : 331 pages
File Size : 40,9 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.

Optimization, Control, and Applications of Stochastic Systems

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

Author : Daniel Hernández-Hernández,J. Adolfo Minjárez-Sosa
Publisher : Birkhäuser
Page : 309 pages
File Size : 45,5 Mb
Release : 2012-08-14
Category : Science
ISBN : 0817683364

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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.

Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems

Houmin Yan,G. George Yin,Qing Zhang
Stochastic Processes Optimization and Control Theory Applications in Financial Engineering Queueing Networks and Manufacturing Systems Book PDF

Author : Houmin Yan,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 397 pages
File Size : 47,6 Mb
Release : 2006-09-10
Category : Technology & Engineering
ISBN : 9780387338156

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Stochastic Processes, Optimization, and Control Theory: Applications in Financial Engineering, Queueing Networks, and Manufacturing Systems by Houmin Yan,G. George Yin,Qing Zhang Pdf

This edited volume contains 16 research articles. It presents recent and pressing issues in stochastic processes, control theory, differential games, optimization, and their applications in finance, manufacturing, queueing networks, and climate control. One of the salient features is that the book is highly multi-disciplinary. The book is dedicated to Professor Suresh Sethi on the occasion of his 60th birthday, in view of his distinguished career.

Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

Xi-Ren Cao
Relative Optimization of Continuous Time and Continuous State Stochastic Systems Book PDF

Author : Xi-Ren Cao
Publisher : Springer Nature
Page : 376 pages
File Size : 53,6 Mb
Release : 2020-05-13
Category : Technology & Engineering
ISBN : 9783030418465

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Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems by Xi-Ren Cao Pdf

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.

Continuous-time Stochastic Control and Optimization with Financial Applications

Huyên Pham
Continuous time Stochastic Control and Optimization with Financial Applications Book PDF

Author : Huyên Pham
Publisher : Springer Science & Business Media
Page : 243 pages
File Size : 42,6 Mb
Release : 2009-05-28
Category : Mathematics
ISBN : 9783540895008

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Continuous-time Stochastic Control and Optimization with Financial Applications by Huyên Pham Pdf

Stochastic optimization problems arise in decision-making problems under uncertainty, and find various applications in economics and finance. On the other hand, problems in finance have recently led to new developments in the theory of stochastic control. This volume provides a systematic treatment of stochastic optimization problems applied to finance by presenting the different existing methods: dynamic programming, viscosity solutions, backward stochastic differential equations, and martingale duality methods. The theory is discussed in the context of recent developments in this field, with complete and detailed proofs, and is illustrated by means of concrete examples from the world of finance: portfolio allocation, option hedging, real options, optimal investment, etc. This book is directed towards graduate students and researchers in mathematical finance, and will also benefit applied mathematicians interested in financial applications and practitioners wishing to know more about the use of stochastic optimization methods in finance.

Optimization of Stochastic Systems

Masanao Aoki
Optimization of Stochastic Systems Book PDF

Author : Masanao Aoki
Publisher : Elsevier
Page : 372 pages
File Size : 42,5 Mb
Release : 2016-06-03
Category : Technology & Engineering
ISBN : 9781483224053

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Optimization of Stochastic Systems by Masanao Aoki Pdf

Optimization of Stochastic Systems

Stochastic Analysis, Control, Optimization and Applications

William M. McEneaney,G. George Yin,Qing Zhang
Stochastic Analysis Control Optimization and Applications Book PDF

Author : William M. McEneaney,G. George Yin,Qing Zhang
Publisher : Springer Science & Business Media
Page : 660 pages
File Size : 47,7 Mb
Release : 2012-12-06
Category : Technology & Engineering
ISBN : 9781461217848

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Stochastic Analysis, Control, Optimization and Applications by William M. McEneaney,G. George Yin,Qing Zhang Pdf

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.

Stochastic Distribution Control System Design

Lei Guo,Hong Wang
Stochastic Distribution Control System Design Book PDF

Author : Lei Guo,Hong Wang
Publisher : Springer Science & Business Media
Page : 201 pages
File Size : 40,6 Mb
Release : 2010-05-13
Category : Technology & Engineering
ISBN : 9781849960304

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Stochastic Distribution Control System Design by Lei Guo,Hong Wang Pdf

A recent development in SDC-related problems is the establishment of intelligent SDC models and the intensive use of LMI-based convex optimization methods. Within this theoretical framework, control parameter determination can be designed and stability and robustness of closed-loop systems can be analyzed. This book describes the new framework of SDC system design and provides a comprehensive description of the modelling of controller design tools and their real-time implementation. It starts with a review of current research on SDC and moves on to some basic techniques for modelling and controller design of SDC systems. This is followed by a description of controller design for fixed-control-structure SDC systems, PDF control for general input- and output-represented systems, filtering designs, and fault detection and diagnosis (FDD) for SDC systems. Many new LMI techniques being developed for SDC systems are shown to have independent theoretical significance for robust control and FDD problems.

Modeling, Stochastic Control, Optimization, and Applications

George Yin,Qing Zhang
Modeling Stochastic Control Optimization and Applications Book PDF

Author : George Yin,Qing Zhang
Publisher : Springer
Page : 599 pages
File Size : 40,8 Mb
Release : 2019-07-16
Category : Mathematics
ISBN : 9783030254988

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Modeling, Stochastic Control, Optimization, and Applications by George Yin,Qing Zhang Pdf

This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.

Optimization Under Stochastic Uncertainty

Kurt Marti
Optimization Under Stochastic Uncertainty Book PDF

Author : Kurt Marti
Publisher : Springer Nature
Page : 390 pages
File Size : 51,7 Mb
Release : 2020-11-10
Category : Business & Economics
ISBN : 9783030556624

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Optimization Under Stochastic Uncertainty by Kurt Marti Pdf

This book examines application and methods to incorporating stochastic parameter variations into the optimization process to decrease expense in corrective measures. Basic types of deterministic substitute problems occurring mostly in practice involve i) minimization of the expected primary costs subject to expected recourse cost constraints (reliability constraints) and remaining deterministic constraints, e.g. box constraints, as well as ii) minimization of the expected total costs (costs of construction, design, recourse costs, etc.) subject to the remaining deterministic constraints. After an introduction into the theory of dynamic control systems with random parameters, the major control laws are described, as open-loop control, closed-loop, feedback control and open-loop feedback control, used for iterative construction of feedback controls. For approximate solution of optimization and control problems with random parameters and involving expected cost/loss-type objective, constraint functions, Taylor expansion procedures, and Homotopy methods are considered, Examples and applications to stochastic optimization of regulators are given. Moreover, for reliability-based analysis and optimal design problems, corresponding optimization-based limit state functions are constructed. Because of the complexity of concrete optimization/control problems and their lack of the mathematical regularity as required of Mathematical Programming (MP) techniques, other optimization techniques, like random search methods (RSM) became increasingly important. Basic results on the convergence and convergence rates of random search methods are presented. Moreover, for the improvement of the – sometimes very low – convergence rate of RSM, search methods based on optimal stochastic decision processes are presented. In order to improve the convergence behavior of RSM, the random search procedure is embedded into a stochastic decision process for an optimal control of the probability distributions of the search variates (mutation random variables).

Stochastic Multi-Stage Optimization

Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara
Stochastic Multi Stage Optimization Book PDF

Author : Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara
Publisher : Springer
Page : 362 pages
File Size : 41,5 Mb
Release : 2015-05-05
Category : Mathematics
ISBN : 9783319181387

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Stochastic Multi-Stage Optimization by Pierre Carpentier,Jean-Philippe Chancelier,Guy Cohen,Michel De Lara Pdf

The focus of the present volume is stochastic optimization of dynamical systems in discrete time where - by concentrating on the role of information regarding optimization problems - it discusses the related discretization issues. There is a growing need to tackle uncertainty in applications of optimization. For example the massive introduction of renewable energies in power systems challenges traditional ways to manage them. This book lays out basic and advanced tools to handle and numerically solve such problems and thereby is building a bridge between Stochastic Programming and Stochastic Control. It is intended for graduates readers and scholars in optimization or stochastic control, as well as engineers with a background in applied mathematics.

Deterministic and Stochastic Optimal Control

Wendell H. Fleming,Raymond W. Rishel
Deterministic and Stochastic Optimal Control Book PDF

Author : Wendell H. Fleming,Raymond W. Rishel
Publisher : Springer Science & Business Media
Page : 231 pages
File Size : 53,8 Mb
Release : 2012-12-06
Category : Mathematics
ISBN : 9781461263807

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Deterministic and Stochastic Optimal Control by Wendell H. Fleming,Raymond W. Rishel Pdf

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.

Optimal Control and Optimization of Stochastic Supply Chain Systems

Dong-Ping Song
Optimal Control and Optimization of Stochastic Supply Chain Systems Book PDF

Author : Dong-Ping Song
Publisher : Springer Science & Business Media
Page : 282 pages
File Size : 41,8 Mb
Release : 2012-11-29
Category : Technology & Engineering
ISBN : 9781447147244

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Optimal Control and Optimization of Stochastic Supply Chain Systems by Dong-Ping Song Pdf

Optimal Control and Optimization of Stochastic Supply Chain Systems examines its subject the context of the presence of a variety of uncertainties. Numerous examples with intuitive illustrations and tables are provided, to demonstrate the structural characteristics of the optimal control policies in various stochastic supply chains and to show how to make use of these characteristics to construct easy-to-operate sub-optimal policies. In Part I, a general introduction to stochastic supply chain systems is provided. Analytical models for various stochastic supply chain systems are formulated and analysed in Part II. In Part III the structural knowledge of the optimal control policies obtained in Part II is utilized to construct easy-to-operate sub-optimal control policies for various stochastic supply chain systems accordingly. Finally, Part IV discusses the optimisation of threshold-type control policies and their robustness. A key feature of the book is its tying together of the complex analytical models produced by the requirements of operational practice, and the simple solutions needed for implementation. The analytical models and theoretical analysis propounded in this monograph will be of benefit to academic researchers and graduate students looking at logistics and supply chain management from standpoints in operations research or industrial, manufacturing, or control engineering. The practical tools and solutions and the qualitative insights into the ideas underlying functional supply chain systems will be of similar use to readers from more industrially-based backgrounds.

Stochastic Analysis, Control, Optimization, and Applications

Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang
Stochastic Analysis Control Optimization and Applications Book PDF

Author : Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang
Publisher : Birkhauser
Page : 637 pages
File Size : 51,5 Mb
Release : 1999
Category : Control theory
ISBN : 3764340789

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Stochastic Analysis, Control, Optimization, and Applications by Wendell Helms Fleming,William M. McEneaney,George Yin,Qing Zhang Pdf

This is a survey of developments, results, and applications in stochastic analysis, control theory, optimization and applications. It should be a valuable resource for practitioners, researchers and professionals in applied mathematics, operations research and engineering.

Mathematical Methods in Robust Control of Linear Stochastic Systems

Vasile Dragan,Toader Morozan,Adrian-Mihail Stoica
Mathematical Methods in Robust Control of Linear Stochastic Systems Book PDF

Author : Vasile Dragan,Toader Morozan,Adrian-Mihail Stoica
Publisher : Springer Science & Business Media
Page : 455 pages
File Size : 44,6 Mb
Release : 2013-10-04
Category : Science
ISBN : 9781461486633

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Mathematical Methods in Robust Control of Linear Stochastic Systems by Vasile Dragan,Toader Morozan,Adrian-Mihail Stoica Pdf

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)