Probability Methods for Approximations in Stochastic Control and for Elliptic Equations PDF Download
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Author: Kushner
Publisher: Academic Press
ISBN: 0080956386
Category : Computers
Languages : en
Pages : 263
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Book Description
Probability Methods for Approximations in Stochastic Control and for Elliptic Equations
Author: Kushner
Publisher: Academic Press
ISBN: 0080956386
Category : Computers
Languages : en
Pages : 263
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Book Description
Probability Methods for Approximations in Stochastic Control and for Elliptic Equations
Author: Harold Joseph Kushner
Publisher:
ISBN:
Category : Convergence
Languages : en
Pages : 40
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Book Description
The paper applies some results on weak convergence of probability measures to the problem of convergence of finite difference approximations to a broad class of degenerate elliptic and parabolic partial differential equations. The equations are of type which arise in stochastic control theory and, generally, have only weak solutions. Interest in the problem stems from interest in stochastic control theory, and in numerical methods for the solution of stochastic control problems. The results are of interest in stochastic control theory and in numerical analysis. Some conditions are stated, the problem is discussed along with its probabilistic interpretation. (Author).
Author: Harold J. Kushner
Publisher:
ISBN:
Category :
Languages : en
Pages : 76
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Book Description
Finite difference methods for degenerate linear and (certain) non-linear elliptic and parabolic equations are analyzed from a probabilistic point of view, and probabilistic methods to show convergence to the correct weak or strong sense solution. The techniques generalize results in numerical analysis, and the probabilistic approach allows some additional physical insight to be brought to bear on the problem of selecting suitable approximations and methods of solution. The equations which are discussed all have probabilistic interpretations.
Author: Marie Duflo
Publisher: Springer Science & Business Media
ISBN: 3662128802
Category : Mathematics
Languages : en
Pages : 394
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Book Description
An up-to-date, self-contained review of a wide range of recursive methods for stabilization, identification and control of complex stochastic models (guiding a rocket or a plane, organizing multi-access broadcast channels, self-learning of neural networks ...). Suitable for mathematicians (researchers and also students) and engineers.
Author: M. Hazewinkel
Publisher: Springer
ISBN: 1489937919
Category : Mathematics
Languages : en
Pages : 932
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 94
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Book Description
Author: A. Bensoussan
Publisher: Elsevier
ISBN: 0080875335
Category : Mathematics
Languages : en
Pages : 577
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Book Description
Applications of Variational Inequalities in Stochastic Control
Author: Jan H. van Schuppen
Publisher: Springer Nature
ISBN: 3030669521
Category : Technology & Engineering
Languages : en
Pages : 940
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Book Description
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.
Author: Michiel Hazewinkel
Publisher: Springer Science & Business Media
ISBN: 9781556080050
Category : Mathematics
Languages : en
Pages : 620
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Book Description
V.1. A-B v.2. C v.3. D-Feynman Measure. v.4. Fibonaccimethod H v.5. Lituus v.6. Lobachevskii Criterion (for Convergence)-Optical Sigman-Algebra. v.7. Orbi t-Rayleigh Equation. v.8. Reaction-Diffusion Equation-Stirling Interpolation Fo rmula. v.9. Stochastic Approximation-Zygmund Class of Functions. v.10. Subject Index-Author Index.
Author: Harold Kushner
Publisher: Springer Science & Business Media
ISBN: 1489926968
Category : Mathematics
Languages : en
Pages : 432
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Book Description
The most comprehensive and thorough treatment of modern stochastic approximation type algorithms to date, based on powerful methods connected with that of the ODE. It covers general constrained and unconstrained problems, w.p.1 as well as the very successful weak convergence methods under weak conditions on the dynamics and noise processes, asymptotic properties and rates of convergence, iterate averaging methods, ergodic cost problems, state dependent noise, high dimensional problems, plus decentralized and asynchronous algorithms, and the use of methods of large deviations. Examples from many fields illustrate and motivate the techniques.
