Discrete Approximation of Continuous Time Stochastic Control Systems - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Discrete Approximation of Continuous Time Stochastic Control Systems write by Norbert Christopeit. This book was released on 1980. Discrete Approximation of Continuous Time Stochastic Control Systems available in PDF, EPUB and Kindle.
Numerical Methods for Stochastic Control Problems in Continuous Time
Numerical Methods for Stochastic Control Problems in Continuous Time - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Methods for Stochastic Control Problems in Continuous Time write by Harold Kushner. This book was released on 2012-12-06. Numerical Methods for Stochastic Control Problems in Continuous Time available in PDF, EPUB and Kindle. 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.
Finite Approximations in Discrete-Time Stochastic Control
Finite Approximations in Discrete-Time Stochastic Control - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Finite Approximations in Discrete-Time Stochastic Control write by Naci Saldi. This book was released on 2018-05-11. Finite Approximations in Discrete-Time Stochastic Control available in PDF, EPUB and Kindle. In a unified form, this monograph presents fundamental results on the approximation of centralized and decentralized stochastic control problems, with uncountable state, measurement, and action spaces. It demonstrates how quantization provides a system-independent and constructive method for the reduction of a system with Borel spaces to one with finite state, measurement, and action spaces. In addition to this constructive view, the book considers both the information transmission approach for discretization of actions, and the computational approach for discretization of states and actions. Part I of the text discusses Markov decision processes and their finite-state or finite-action approximations, while Part II builds from there to finite approximations in decentralized stochastic control problems. This volume is perfect for researchers and graduate students interested in stochastic controls. With the tools presented, readers will be able to establish the convergence of approximation models to original models and the methods are general enough that researchers can build corresponding approximation results, typically with no additional assumptions.
Numerical Methods for Stochastic Control Problems in Continuous Time
Numerical Methods for Stochastic Control Problems in Continuous Time - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Numerical Methods for Stochastic Control Problems in Continuous Time write by Harold J. Kushner. This book was released on 2001. Numerical Methods for Stochastic Control Problems in Continuous Time available in PDF, EPUB and Kindle. 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.
Linear Stochastic Control Systems
Linear Stochastic Control Systems - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Linear Stochastic Control Systems write by Goong Chen. This book was released on 1995-07-12. Linear Stochastic Control Systems available in PDF, EPUB and Kindle. 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.
