Probability Methods For Approximations In Stochastic Control And For Elliptic Equations
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Author | : Kushner |
Publisher | : Academic Press |
Total Pages | : 263 |
Release | : 1977-04-14 |
Genre | : Computers |
ISBN | : 0080956386 |
Probability Methods for Approximations in Stochastic Control and for Elliptic Equations
Author | : Harold J. Kushner |
Publisher | : Springer Science & Business Media |
Total Pages | : 496 |
Release | : 2001 |
Genre | : Language Arts & Disciplines |
ISBN | : 9780387951393 |
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.
Author | : Harold Joseph Kushner |
Publisher | : |
Total Pages | : 40 |
Release | : 1972 |
Genre | : Convergence |
ISBN | : |
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 | : M. Hazewinkel |
Publisher | : Springer |
Total Pages | : 932 |
Release | : 2013-12-01 |
Genre | : Mathematics |
ISBN | : 1489937919 |
Author | : |
Publisher | : |
Total Pages | : 94 |
Release | : 1997 |
Genre | : |
ISBN | : |
Author | : A. Bensoussan |
Publisher | : Elsevier |
Total Pages | : 577 |
Release | : 2011-08-18 |
Genre | : Mathematics |
ISBN | : 0080875335 |
Applications of Variational Inequalities in Stochastic Control
Author | : Jan H. van Schuppen |
Publisher | : Springer Nature |
Total Pages | : 940 |
Release | : 2021-08-02 |
Genre | : Technology & Engineering |
ISBN | : 3030669521 |
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 |
Total Pages | : 620 |
Release | : 1988 |
Genre | : Mathematics |
ISBN | : 9781556080050 |
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 |
Total Pages | : 432 |
Release | : 2013-11-11 |
Genre | : Mathematics |
ISBN | : 1489926968 |
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.
Author | : Harold Kushner |
Publisher | : Springer Science & Business Media |
Total Pages | : 522 |
Release | : 2013-11-21 |
Genre | : Mathematics |
ISBN | : 1461300053 |
One of the first books in the timely and important area of heavy traffic analysis of controlled and uncontrolled stochastics networks, by one of the leading authors in the field. The general theory is developed, with possibly state dependent parameters, and specialized to many different cases of practical interest.