Stochastic Linear Quadratic Optimal Control Theory Open Loop And Closed Loop Solutions

Author : Jingrui Sun,Jiongmin Yong
Publisher : Springer Nature
Page : 129 pages
File Size : 49,8 Mb
Release : 2020-06-29
Category : Mathematics
ISBN : 9783030209223

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Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions by Jingrui Sun,Jiongmin Yong Pdf

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Author : Jingrui Sun,Jiongmin Yong
Publisher : Springer Nature
Page : 138 pages
File Size : 51,8 Mb
Release : 2020-06-29
Category : Mathematics
ISBN : 9783030483067

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Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems by Jingrui Sun,Jiongmin Yong Pdf

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents results for two-player differential games and mean-field optimal control problems in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, the book identifies, for the first time, the interconnections between the existence of open-loop and closed-loop Nash equilibria, solvability of the optimality system, and solvability of the associated Riccati equation, and also explores the open-loop solvability of mean-filed linear-quadratic optimal control problems. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Author : Brian D. O. Anderson,John B. Moore
Publisher : Courier Corporation
Page : 465 pages
File Size : 54,9 Mb
Release : 2007-02-27
Category : Technology & Engineering
ISBN : 9780486457666

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Optimal Control by Brian D. O. Anderson,John B. Moore Pdf

Numerous examples highlight this treatment of the use of linear quadratic Gaussian methods for control system design. It explores linear optimal control theory from an engineering viewpoint, with illustrations of practical applications. Key topics include loop-recovery techniques, frequency shaping, and controller reduction. Numerous examples and complete solutions. 1990 edition.

Author : Zoran Gajic,Myo-Taeg Lim,Dobrila Skataric,Wu-Chung Su,Vojislav Kecman
Publisher : CRC Press
Page : 346 pages
File Size : 42,9 Mb
Release : 2018-10-03
Category : Technology & Engineering
ISBN : 9781420007527

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Optimal Control by Zoran Gajic,Myo-Taeg Lim,Dobrila Skataric,Wu-Chung Su,Vojislav Kecman Pdf

Unique in scope, Optimal Control: Weakly Coupled Systems and Applications provides complete coverage of modern linear, bilinear, and nonlinear optimal control algorithms for both continuous-time and discrete-time weakly coupled systems, using deterministic as well as stochastic formulations. This book presents numerous applications to real world systems from various industries, including aerospace, and discusses the design of subsystem-level optimal filters. Organized into independent chapters for easy access to the material, this text also contains several case studies, examples, exercises, computer assignments, and formulations of research problems to help instructors and students.

Author : Robert F. Stengel
Publisher : Wiley-Interscience
Page : 662 pages
File Size : 41,5 Mb
Release : 1986-09-08
Category : Mathematics
ISBN : UOM:39015047830941

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Stochastic Optimal Control by Robert F. Stengel Pdf

Presents techniques for optimizing problems in dynamic systems with terminal and path constraints. Includes optimal feedback control, feedback control for linear systems, and regulator synthesis. Offers iterative methods for solving nonlinear control problems. Demonstrates how to apply optimal control in a practical fashion. Serves as a text for graduate controls courses as offered in aerospace, mechanical and chemical engineering departments.

Author : Robert F. Stengel
Publisher : Courier Corporation
Page : 672 pages
File Size : 52,8 Mb
Release : 2012-10-16
Category : Mathematics
ISBN : 9780486134819

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Optimal Control and Estimation by Robert F. Stengel Pdf

Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems.

Author : Qi Lü,Xu Zhang
Publisher : Springer Nature
Page : 592 pages
File Size : 55,8 Mb
Release : 2021-10-19
Category : Science
ISBN : 9783030823313

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Mathematical Control Theory for Stochastic Partial Differential Equations by Qi Lü,Xu Zhang Pdf

This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system are explained in detail. Interestingly enough, one has to develop new mathematical tools to solve some problems in this field, such as the global Carleman estimate for stochastic partial differential equations and the stochastic transposition method for backward stochastic evolution equations. In a certain sense, the stochastic distributed parameter control system is the most general control system in the context of classical physics. Accordingly, studying this field may also yield valuable insights into quantum control systems. A basic grasp of functional analysis, partial differential equations, and control theory for deterministic systems is the only prerequisite for reading this book.

Author : Qi Lü,Xu Zhang
Publisher : American Mathematical Society
Page : 120 pages
File Size : 42,8 Mb
Release : 2024-03-18
Category : Mathematics
ISBN : 9781470468750

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Optimal Feedback for Stochastic Linear Quadratic Control and Backward Stochastic Riccati Equations in Infinite Dimensions by Qi Lü,Xu Zhang Pdf

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Author : Ian R. Petersen,Valery A. Ugrinovskii,Andrey V. Savkin
Publisher : Springer Science & Business Media
Page : 478 pages
File Size : 50,8 Mb
Release : 2000-09-22
Category : Computers
ISBN : 1852331712

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Robust Control Design Using H-8 Methods by Ian R. Petersen,Valery A. Ugrinovskii,Andrey V. Savkin Pdf

This book provides a unified collection of important, recent results for the design of robust controllers for uncertain systems. Most of the results presented are based on H? control theory, or its stochastic counterpart, risk sensitive control theory.Central to the philosophy of the book is the notion of an uncertain system. Uncertain systems are considered using several different uncertainty modeling schemes. These include norm bounded uncertainty, integral quadratic constraint (IQC) uncertainty and a number of stochastic uncertainty descriptions. In particular, the authors examine stochastic uncertain systems in which the uncertainty is outlined by a stochastic version of the IQC uncertainty description.For each class of uncertain systems covered in the book, corresponding robust control problems are defined and solutions discussed.

Author : David H. Jacobson
Publisher : Springer
Page : 312 pages
File Size : 44,9 Mb
Release : 1980
Category : Mathematics
ISBN : UOM:39015000981343

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Extensions of Linear-quadratic Control Theory by David H. Jacobson Pdf

Author : Anonim
Publisher : Unknown
Page : 256 pages
File Size : 48,6 Mb
Release : 1990
Category : Aeronautics
ISBN : MINN:30000001485097

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Scientific and Technical Aerospace Reports by Anonim Pdf

Author : Anonim
Publisher : Unknown
Page : 520 pages
File Size : 45,7 Mb
Release : 1972
Category : Mechanics, Applied
ISBN : UCAL:C2682436

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Applied Mechanics Reviews by Anonim Pdf

Author : David Yeung,Shravan Luckraz,Chee Kian Leong
Publisher : Springer Nature
Page : 243 pages
File Size : 50,9 Mb
Release : 2020-06-08
Category : Mathematics
ISBN : 9783030397890

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Frontiers in Games and Dynamic Games by David Yeung,Shravan Luckraz,Chee Kian Leong Pdf

This contributed volume presents the state-of-the-art of games and dynamic games, featuring several chapters based on plenary sessions at the ISDG-China Chapter Conference on Dynamic Games and Game Theoretic Analysis, which was held from August 3-5, 2017 at the Ningbo campus of the University of Nottingham, China. The chapters in this volume will provide readers with paths to further research, serving as a testimony to the vitality of the field. Experts cover a range of theory and applications related to games and dynamic games, with topics including: Dynamically stable cooperative provision of public goods under non-transferable utility Strongly time-consistent solutions in cooperative dynamic games Incentive Stackelberg games for stochastic systems Static and inverse Stackelberg games in political economy Cournot and Betrand competition on symmetric R&D networks Numerical Nash equilibria using curvilinear multistart algorithm Markov chain approximation numerical scheme for infinite-horizon mean field games Frontiers in Games and Dynamic Games will appeal to an interdisciplinary audience of researchers, practitioners, and graduate students interested in games and dynamic games.

Author : Yaning Lin,Weihai Zhang
Publisher : Springer Nature
Page : 169 pages
File Size : 49,6 Mb
Release : 2022-09-21
Category : Technology & Engineering
ISBN : 9789811950490

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Essays on Pareto Optimality in Cooperative Games by Yaning Lin,Weihai Zhang Pdf

The book focuses on Pareto optimality in cooperative games. Most of the existing works focus on the Pareto optimality of deterministic continuous-time systems or for the regular convex LQ case. To expand on the available literature, we explore the existence conditions of Pareto solutions in stochastic differential game for more general cases. In addition, the LQ Pareto game for stochastic singular systems, Pareto-based guaranteed cost control for uncertain mean-field stochastic systems, and the existence conditions of Pareto solutions in cooperative difference game are also studied in detail. Addressing Pareto optimality for more general cases and wider systems is one of the major features of the book, making it particularly suitable for readers who are interested in multi-objective optimal control. Accordingly, it offers a valuable asset for researchers, engineers, and graduate students in the fields of control theory and control engineering, economics, management science, mathematics, etc.

Author : Tamer Basar,Geert Jan Olsder
Publisher : SIAM
Page : 526 pages
File Size : 44,5 Mb
Release : 1999-01-01
Category : Mathematics
ISBN : 9780898714296

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Dynamic Noncooperative Game Theory by Tamer Basar,Geert Jan Olsder Pdf

An overview of the analysis of dynamic/differential zero-sum and nonzero-sum games and the role of different information patterns.