Stochastic Control In Discrete And Continuous Time

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Stochastic Control in Discrete and Continuous Time

Atle Seierstad
Stochastic Control in Discrete and Continuous Time Book PDF

Author : Atle Seierstad
Publisher : Springer Science & Business Media
Page : 299 pages
File Size : 48,6 Mb
Release : 2010-07-03
Category : Mathematics
ISBN : 9780387766171

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Stochastic Control in Discrete and Continuous Time by Atle Seierstad Pdf

This book contains an introduction to three topics in stochastic control: discrete time stochastic control, i. e. , stochastic dynamic programming (Chapter 1), piecewise - terministic control problems (Chapter 3), and control of Ito diffusions (Chapter 4). The chapters include treatments of optimal stopping problems. An Appendix - calls material from elementary probability theory and gives heuristic explanations of certain more advanced tools in probability theory. The book will hopefully be of interest to students in several ?elds: economics, engineering, operations research, ?nance, business, mathematics. In economics and business administration, graduate students should readily be able to read it, and the mathematical level can be suitable for advanced undergraduates in mathem- ics and science. The prerequisites for reading the book are only a calculus course and a course in elementary probability. (Certain technical comments may demand a slightly better background. ) As this book perhaps (and hopefully) will be read by readers with widely diff- ing backgrounds, some general advice may be useful: Don’t be put off if paragraphs, comments, or remarks contain material of a seemingly more technical nature that you don’t understand. Just skip such material and continue reading, it will surely not be needed in order to understand the main ideas and results. The presentation avoids the use of measure theory.

Linear Stochastic Control Systems

Goong Chen,Guanrong Chen,Shih-Hsun Hsu
Linear Stochastic Control Systems Book PDF

Author : Goong Chen,Guanrong Chen,Shih-Hsun Hsu
Publisher : CRC Press
Page : 404 pages
File Size : 55,9 Mb
Release : 1995-07-12
Category : Business & Economics
ISBN : 0849380758

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Linear Stochastic Control Systems by Goong Chen,Guanrong Chen,Shih-Hsun Hsu Pdf

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.

Introduction to Stochastic Control Theory

Karl J. Åström
Introduction to Stochastic Control Theory Book PDF

Author : Karl J. Åström
Publisher : Courier Corporation
Page : 322 pages
File Size : 48,8 Mb
Release : 2012-05-11
Category : Technology & Engineering
ISBN : 9780486138275

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Introduction to Stochastic Control Theory by Karl J. Åström Pdf

This text for upper-level undergraduates and graduate students explores stochastic control theory in terms of analysis, parametric optimization, and optimal stochastic control. Limited to linear systems with quadratic criteria, it covers discrete time as well as continuous time systems. The first three chapters provide motivation and background material on stochastic processes, followed by an analysis of dynamical systems with inputs of stochastic processes. A simple version of the problem of optimal control of stochastic systems is discussed, along with an example of an industrial application of this theory. Subsequent discussions cover filtering and prediction theory as well as the general stochastic control problem for linear systems with quadratic criteria. Each chapter begins with the discrete time version of a problem and progresses to a more challenging continuous time version of the same problem. Prerequisites include courses in analysis and probability theory in addition to a course in dynamical systems that covers frequency response and the state-space approach for continuous time and discrete time systems.

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 : 40,6 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.

Numerical Methods for Stochastic Control Problems in Continuous Time

Harold Kushner,Paul G. Dupuis
Numerical Methods for Stochastic Control Problems in Continuous Time Book PDF

Author : Harold Kushner,Paul G. Dupuis
Publisher : Springer Science & Business Media
Page : 436 pages
File Size : 42,5 Mb
Release : 2012-12-06
Category : Science
ISBN : 9781468404418

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Numerical Methods for Stochastic Control Problems in Continuous Time by Harold Kushner,Paul G. Dupuis Pdf

This book is concerned with numerical methods for stochastic control and optimal stochastic control problems. The random process models of the controlled or uncontrolled stochastic systems are either diffusions or jump diffusions. Stochastic control is a very active area of research and new prob lem formulations and sometimes surprising applications appear regularly. We have chosen forms of the models which cover the great bulk of the for mulations of the continuous time stochastic control problems which have appeared to date. The standard formats are covered, but much emphasis is given to the newer and less well known formulations. The controlled process might be either stopped or absorbed on leaving a constraint set or upon first hitting a target set, or it might be reflected or "projected" from the boundary of a constraining set. In some of the more recent applications of the reflecting boundary problem, for example the so-called heavy traffic approximation problems, the directions of reflection are actually discontin uous. In general, the control might be representable as a bounded function or it might be of the so-called impulsive or singular control types. Both the "drift" and the "variance" might be controlled. The cost functions might be any of the standard types: Discounted, stopped on first exit from a set, finite time, optimal stopping, average cost per unit time over the infinite time interval, and so forth.

Numerical Methods for Stochastic Control Problems in Continuous Time

Harold J. Kushner,Paul Dupuis
Numerical Methods for Stochastic Control Problems in Continuous Time Book PDF

Author : Harold J. Kushner,Paul Dupuis
Publisher : Springer Science & Business Media
Page : 496 pages
File Size : 46,9 Mb
Release : 2001
Category : Language Arts & Disciplines
ISBN : 0387951393

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Numerical Methods for Stochastic Control Problems in Continuous Time by Harold J. Kushner,Paul Dupuis Pdf

The required background is surveyed, and there is an extensive development of methods of approximation and computational algorithms. The book is written on two levels: algorithms and applications, and mathematical proofs. Thus, the ideas should be very accessible to a broad audience."--BOOK JACKET.

Control and System Theory of Discrete-Time Stochastic Systems

Jan H. van Schuppen
Control and System Theory of Discrete Time Stochastic Systems Book PDF

Author : Jan H. van Schuppen
Publisher : Springer Nature
Page : 940 pages
File Size : 47,7 Mb
Release : 2021-08-02
Category : Technology & Engineering
ISBN : 9783030669522

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Control and System Theory of Discrete-Time Stochastic Systems by Jan H. van Schuppen Pdf

This book helps students, researchers, and practicing engineers to understand the theoretical framework of control and system theory for discrete-time stochastic systems so that they can then apply its principles to their own stochastic control systems and to the solution of control, filtering, and realization problems for such systems. Applications of the theory in the book include the control of ships, shock absorbers, traffic and communications networks, and power systems with fluctuating power flows. The focus of the book is a stochastic control system defined for a spectrum of probability distributions including Bernoulli, finite, Poisson, beta, gamma, and Gaussian distributions. The concepts of observability and controllability of a stochastic control system are defined and characterized. Each output process considered is, with respect to conditions, represented by a stochastic system called a stochastic realization. The existence of a control law is related to stochastic controllability while the existence of a filter system is related to stochastic observability. Stochastic control with partial observations is based on the existence of a stochastic realization of the filtration of the observed process.​

Stochastic Control in Insurance

Hanspeter Schmidli
Stochastic Control in Insurance Book PDF

Author : Hanspeter Schmidli
Publisher : Springer Science & Business Media
Page : 263 pages
File Size : 55,8 Mb
Release : 2007-11-20
Category : Business & Economics
ISBN : 9781848000032

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Stochastic Control in Insurance by Hanspeter Schmidli Pdf

Yet again, here is a Springer volume that offers readers something completely new. Until now, solved examples of the application of stochastic control to actuarial problems could only be found in journals. Not any more: this is the first book to systematically present these methods in one volume. The author starts with a short introduction to stochastic control techniques, then applies the principles to several problems. These examples show how verification theorems and existence theorems may be proved, and that the non-diffusion case is simpler than the diffusion case. Schmidli’s brilliant text also includes a number of appendices, a vital resource for those in both academic and professional settings.

Foundations of Deterministic and Stochastic Control

Jon H. Davis
Foundations of Deterministic and Stochastic Control Book PDF

Author : Jon H. Davis
Publisher : Springer Science & Business Media
Page : 736 pages
File Size : 41,8 Mb
Release : 2002-04-19
Category : Mathematics
ISBN : 0817642579

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Foundations of Deterministic and Stochastic Control by Jon H. Davis Pdf

"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." —Zentralblatt Math "This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." —Applications of Mathematics "The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." —Journal of the Indian Institute of Science

Introduction to Stochastic Control

Harold Joseph Kushner
Introduction to Stochastic Control Book PDF

Author : Harold Joseph Kushner
Publisher : Unknown
Page : 414 pages
File Size : 47,7 Mb
Release : 1971
Category : Mathematics
ISBN : UOM:39015040423660

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Introduction to Stochastic Control by Harold Joseph Kushner Pdf

The text treats stochastic control problems for Markov chains, discrete time Markov processes, and diffusion models, and discusses method of putting other problems into the Markovian framework. Computational methods are discussed and compared for Markov chain problems. Other topics include the fixed and free time of control, discounted cost, minimizing the average cost per unit time, and optimal stopping. Filtering and conrol for linear systems, and stochastic stability for discrete time problems are discussed thoroughly. The book gives a detailed treatment of the simpler problems, and fills the need to introduce the student to the more sophisticated mathematical concepts required for advanced theory by describing their roles and necessity in an intuitive and natural way. Diffusion models are developed as limits of stochastic difference equations and also via the stochastic integral approach. Examples and exercises are included. (Author).

Techniques in Discrete-Time Stochastic Control Systems

Anonim
Techniques in Discrete Time Stochastic Control Systems Book PDF

Author : Anonim
Publisher : Academic Press
Page : 319 pages
File Size : 50,7 Mb
Release : 1995-10-20
Category : Mathematics
ISBN : 0080529895

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Techniques in Discrete-Time Stochastic Control Systems by Anonim Pdf

Praise for Previous Volumes "This book will be a useful reference to control engineers and researchers. The papers contained cover well the recent advances in the field of modern control theory." -IEEE GROUP CORRESPONDANCE "This book will help all those researchers who valiantly try to keep abreast of what is new in the theory and practice of optimal control." -CONTROL

Discrete-Time Markov Jump Linear Systems

O.L.V. Costa,M.D. Fragoso,R.P. Marques
Discrete Time Markov Jump Linear Systems Book PDF

Author : O.L.V. Costa,M.D. Fragoso,R.P. Marques
Publisher : Springer Science & Business Media
Page : 287 pages
File Size : 48,5 Mb
Release : 2006-03-30
Category : Mathematics
ISBN : 9781846280825

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Discrete-Time Markov Jump Linear Systems by O.L.V. Costa,M.D. Fragoso,R.P. Marques Pdf

This will be the most up-to-date book in the area (the closest competition was published in 1990) This book takes a new slant and is in discrete rather than continuous time

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 : 52,8 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, 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 : 309 pages
File Size : 47,5 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.

Numerical Methods for Stochastic Control Problems in Continuous Time

Harold Joseph Kushner,Paul Dupuis
Numerical Methods for Stochastic Control Problems in Continuous Time Book PDF

Author : Harold Joseph Kushner,Paul Dupuis
Publisher : Springer Science & Business Media
Page : 439 pages
File Size : 55,6 Mb
Release : 1992
Category : Distribution (Probability theory)
ISBN : 0387978348

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Numerical Methods for Stochastic Control Problems in Continuous Time by Harold Joseph Kushner,Paul Dupuis Pdf

Stochastic control is a very active area of research and this monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels: that of practice (algorithms and applications) and that of mathematical development. It is broadly accessible for graduate students and researchers.