Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems - 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 Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems write by Jingrui Sun. This book was released on 2020-06-29. Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems available in PDF, EPUB and Kindle. 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.
Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions - 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 Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions write by Jingrui Sun. This book was released on 2020-06-29. Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions available in PDF, EPUB and Kindle. 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.
Mean Field Games and Mean Field Type Control Theory
Mean Field Games and Mean Field Type Control Theory - 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 Mean Field Games and Mean Field Type Control Theory write by Alain Bensoussan. This book was released on 2013-10-16. Mean Field Games and Mean Field Type Control Theory available in PDF, EPUB and Kindle. Mean field games and Mean field type control introduce new problems in Control Theory. The terminology “games” may be confusing. In fact they are control problems, in the sense that one is interested in a single decision maker, whom we can call the representative agent. However, these problems are not standard, since both the evolution of the state and the objective functional is influenced but terms which are not directly related to the state or the control of the decision maker. They are however, indirectly related to him, in the sense that they model a very large community of agents similar to the representative agent. All the agents behave similarly and impact the representative agent. However, because of the large number an aggregation effect takes place. The interesting consequence is that the impact of the community can be modeled by a mean field term, but when this is done, the problem is reduced to a control problem.
Matrix Riccati Equations in Control and Systems Theory
Matrix Riccati Equations in Control and Systems Theory - 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 Matrix Riccati Equations in Control and Systems Theory write by Hisham Abou-Kandil. This book was released on 2012-12-06. Matrix Riccati Equations in Control and Systems Theory available in PDF, EPUB and Kindle. The authors present the theory of symmetric (Hermitian) matrix Riccati equations and contribute to the development of the theory of non-symmetric Riccati equations as well as to certain classes of coupled and generalized Riccati equations occurring in differential games and stochastic control. The volume offers a complete treatment of generalized and coupled Riccati equations. It deals with differential, discrete-time, algebraic or periodic symmetric and non-symmetric equations, with special emphasis on those equations appearing in control and systems theory. Extensions to Riccati theory allow to tackle robust control problems in a unified approach. The book makes available classical and recent results to engineers and mathematicians alike. It is accessible to graduate students in mathematics, applied mathematics, control engineering, physics or economics. Researchers working in any of the fields where Riccati equations are used can find the main results with the proper mathematical background.
Modeling, Stochastic Control, Optimization, and Applications
Modeling, Stochastic Control, Optimization, and Applications - 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 Modeling, Stochastic Control, Optimization, and Applications write by George Yin. This book was released on 2019-07-16. Modeling, Stochastic Control, Optimization, and Applications available in PDF, EPUB and Kindle. This volume collects papers, based on invited talks given at the IMA workshop in Modeling, Stochastic Control, Optimization, and Related Applications, held at the Institute for Mathematics and Its Applications, University of Minnesota, during May and June, 2018. There were four week-long workshops during the conference. They are (1) stochastic control, computation methods, and applications, (2) queueing theory and networked systems, (3) ecological and biological applications, and (4) finance and economics applications. For broader impacts, researchers from different fields covering both theoretically oriented and application intensive areas were invited to participate in the conference. It brought together researchers from multi-disciplinary communities in applied mathematics, applied probability, engineering, biology, ecology, and networked science, to review, and substantially update most recent progress. As an archive, this volume presents some of the highlights of the workshops, and collect papers covering a broad range of topics.
