Feedback Strategies for Partially Observable Stochastic Systems PDF Download
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Author: Yaakov Yavin
Publisher: Springer
ISBN:
Category : Mathematics
Languages : en
Pages : 248
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Book Description
Author: Yaakov Yavin
Publisher: Springer
ISBN:
Category : Mathematics
Languages : en
Pages : 248
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Book Description
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 1278
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Book Description
Author: Wendell H. Fleming
Publisher: Springer Science & Business Media
ISBN: 1461263808
Category : Mathematics
Languages : en
Pages : 231
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Book Description
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.
Author: Giuseppe Da Prato
Publisher: Springer
ISBN: 3540474080
Category : Mathematics
Languages : en
Pages : 265
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Book Description
Author: Peter Gritzmann
Publisher: Springer Science & Business Media
ISBN: 3642484174
Category : Business & Economics
Languages : en
Pages : 663
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Book Description
The volume comprises a collection of 172 extented abstracts of talks presented at the 16th Symposium on Operations Rese- arch held at the University of Trier in September 1991. It is designated to serve as a quickly published documentation of the scientific activities of the conference. Subjects and areas touched upon include theory, modelling and computational methods in optimization, combinatorial op- timization and discrete mathematics, combinatorial problems in VLSI, scientific computing, stochastic and dynamic opti- mization, queuing, scheduling, stochastics and econometrics, mathematical economics and game theory, utility, risk, insu- rance, financial engineering, computer science in business and economics, knowledge engineering and production and ma- nufacturing.
Author: A. T. Bharucha-Reid
Publisher: Elsevier
ISBN: 1483275531
Category : Mathematics
Languages : en
Pages : 220
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Book Description
Probabilistic Analysis and Related Topics, Volume 2 focuses on the integrability, continuity, and differentiability of random functions, as well as functional analysis, measure theory, operator theory, and numerical analysis. The selection first offers information on the optimal control of stochastic systems and Gleason measures. Discussions focus on convergence of Gleason measures, random Gleason measures, orthogonally scattered Gleason measures, existence of optimal controls without feedback, random necessary conditions, and Gleason measures in tensor products. The text then elaborates on an introduction to nonstandard analysis and hyperfinite probability theory, including applications to stochastic processes, conversion from nonstandard to standard measure spaces, and an introduction to nonstandard analysis. The text examines stochastic matrices, ergodic Markov chains, and measures on semigroups, as well as limit theorems for convolution products of probability measures on completely simple semigroups; ergodicity of Markov chains and probability measures on semigroups; and limits of convolutions in groups and semigroups. The selection is a dependable source of data for mathematicians and researchers interested in the general theory of random functions.
Author: Tamer Basar
Publisher: SIAM
ISBN: 9781611971132
Category : Mathematics
Languages : en
Pages : 534
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Book Description
Recent interest in biological games and mathematical finance make this classic 1982 text a necessity once again. Unlike other books in the field, this text provides an overview of the analysis of dynamic/differential zero-sum and nonzero-sum games and simultaneously stresses the role of different information patterns. The first edition was fully revised in 1995, adding new topics such as randomized strategies, finite games with integrated decisions, and refinements of Nash equilibrium. Readers can now look forward to even more recent results in this unabridged, revised SIAM Classics edition. Topics covered include static and dynamic noncooperative game theory, with an emphasis on the interplay between dynamic information patterns and structural properties of several different types of equilibria; Nash and Stackelberg solution concepts; multi-act games; Braess paradox; differential games; the relationship between the existence of solutions of Riccati equations and the existence of Nash equilibrium solutions; and infinite-horizon differential games.
Author: Society for Industrial and Applied Mathematics
Publisher:
ISBN:
Category : Control theory
Languages : en
Pages : 538
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Book Description
Author: Bernt Oksendal
Publisher: Springer Science & Business Media
ISBN: 3662036207
Category : Mathematics
Languages : en
Pages : 333
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Book Description
The main new feature of the fifth edition is the addition of a new chapter, Chapter 12, on applications to mathematical finance. I found it natural to include this material as another major application of stochastic analysis, in view of the amazing development in this field during the last 10-20 years. Moreover, the close contact between the theoretical achievements and the applications in this area is striking. For example, today very few firms (if any) trade with options without consulting the Black & Scholes formula! The first 11 chapters of the book are not much changed from the previous edition, but I have continued my efforts to improve the presentation through out and correct errors and misprints. Some new exercises have been added. Moreover, to facilitate the use of the book each chapter has been divided into subsections. If one doesn't want (or doesn't have time) to cover all the chapters, then one can compose a course by choosing subsections from the chapters. The chart below indicates what material depends on which sections. Chapter 6 Chapter IO Chapter 12 For example, to cover the first two sections of the new chapter 12 it is recom mended that one (at least) covers Chapters 1-5, Chapter 7 and Section 8.6. VIII Chapter 10, and hence Section 9.1, are necessary additional background for Section 12.3, in particular for the subsection on American options.
Author: Yasmina Bestaoui Sebbane
Publisher: CRC Press
ISBN: 1351339400
Category : Computers
Languages : en
Pages : 421
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Book Description
Intelligent Autonomy of UAVs: Advanced Missions and Future Use provides an approach to the formulation of the fundamental task typical to any mission and provides guidelines of how this task can be solved by different generic robotic problems. As such, this book aims to provide a systems engineering approach to UAV projects, discovering the real problems that need to be resolved independently of the application. After an introduction to the rapidly evolving field of aerial robotics, the book presents topics such as autonomy, mission analysis, human-UAV teams, homogeneous and heterogeneous UAV teams, and finally, UAV-UGV teams. It then covers generic robotic problems such as orienteering and coverage. The book next introduces deployment, patrolling, and foraging, while the last part of the book tackles an important application: aerial search, tracking, and surveillance. This book is meant for both scientists and practitioners. For practitioners, it presents existing solutions that are categorized according to various missions: surveillance and reconnaissance, 3D mapping, urban monitoring, precision agriculture, forestry, disaster assessment and monitoring, security, industrial plant inspection, etc. For scientists, it provides an overview of generic robotic problems such as coverage and orienteering; deployment, patrolling and foraging; search, tracking, and surveillance. The design and analysis of algorithms raise a unique combination of questions from many fields, including robotics, operational research, control theory, and computer science.
