Deterministic and Stochastic Optimal Control: 1 (Stochastic Modelling and Applied Probability) - Hardcover

Rishel, Raymond W.; Fleming, Wendell H.

 
9780387901558: Deterministic and Stochastic Optimal Control: 1 (Stochastic Modelling and Applied Probability)
Hardcover
ISBN 10: 0387901558 ISBN 13: 9780387901558
Verlag: Springer, 1982

Inhaltsangabe

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.

Die Inhaltsangabe kann sich auf eine andere Ausgabe dieses Titels beziehen.

Reseña del editor

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.

Reseña del editor

The first part of this book presents the essential topics for an introduction to deterministic optimal control theory. The second part introduces stochastic optimal control for Markov diffusion processes. It also inlcudes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer
Erscheinungsdatum
1982
Sprache
Englisch
ISBN 10 
0387901558
ISBN 13 
9780387901558
Einband
Tapa dura
Auflage
2
Anzahl der Seiten
236
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Deutschland

Weitere beliebte Ausgaben desselben Titels

9781461263821: Deterministic and Stochastic Optimal Control: 1 (Stochastic Modelling and Applied Probability)

Vorgestellte Ausgabe

ISBN 10:  1461263824 ISBN 13:  9781461263821
Verlag: Springer, 2012
Softcover