The Optimal Control Of Continuous Time Continuous State Nonlinear Stochastic Systems
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Author | : Harold Kushner |
Publisher | : Springer Science & Business Media |
Total Pages | : 480 |
Release | : 2013-11-27 |
Genre | : Mathematics |
ISBN | : 146130007X |
Stochastic control is a very active area of research. This monograph, written by two leading authorities in the field, has been updated to reflect the latest developments. It covers effective numerical methods for stochastic control problems in continuous time on two levels, that of practice and that of mathematical development. It is broadly accessible for graduate students and researchers.
Author | : Wendell H. Fleming |
Publisher | : Springer Science & Business Media |
Total Pages | : 436 |
Release | : 2006-02-04 |
Genre | : Mathematics |
ISBN | : 0387310711 |
This book is an introduction to optimal stochastic control for continuous time Markov processes and the theory of viscosity solutions. It covers dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. New chapters in this second edition introduce the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets and two-controller, zero-sum differential games.
Author | : Wendell H. Fleming |
Publisher | : Springer Science & Business Media |
Total Pages | : 231 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 1461263808 |
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 | : Petros Ioannou |
Publisher | : SIAM |
Total Pages | : 401 |
Release | : 2006-01-01 |
Genre | : Mathematics |
ISBN | : 0898716152 |
Designed to meet the needs of a wide audience without sacrificing mathematical depth and rigor, Adaptive Control Tutorial presents the design, analysis, and application of a wide variety of algorithms that can be used to manage dynamical systems with unknown parameters. Its tutorial-style presentation of the fundamental techniques and algorithms in adaptive control make it suitable as a textbook. Adaptive Control Tutorial is designed to serve the needs of three distinct groups of readers: engineers and students interested in learning how to design, simulate, and implement parameter estimators and adaptive control schemes without having to fully understand the analytical and technical proofs; graduate students who, in addition to attaining the aforementioned objectives, also want to understand the analysis of simple schemes and get an idea of the steps involved in more complex proofs; and advanced students and researchers who want to study and understand the details of long and technical proofs with an eye toward pursuing research in adaptive control or related topics. The authors achieve these multiple objectives by enriching the book with examples demonstrating the design procedures and basic analysis steps and by detailing their proofs in both an appendix and electronically available supplementary material; online examples are also available. A solution manual for instructors can be obtained by contacting SIAM or the authors. Preface; Acknowledgements; List of Acronyms; Chapter 1: Introduction; Chapter 2: Parametric Models; Chapter 3: Parameter Identification: Continuous Time; Chapter 4: Parameter Identification: Discrete Time; Chapter 5: Continuous-Time Model Reference Adaptive Control; Chapter 6: Continuous-Time Adaptive Pole Placement Control; Chapter 7: Adaptive Control for Discrete-Time Systems; Chapter 8: Adaptive Control of Nonlinear Systems; Appendix; Bibliography; Index
Author | : Torsten Söderström |
Publisher | : Springer Science & Business Media |
Total Pages | : 410 |
Release | : 2002-07-26 |
Genre | : Mathematics |
ISBN | : 9781852336493 |
This comprehensive introduction to the estimation and control of dynamic stochastic systems provides complete derivations of key results. The second edition includes improved and updated material, and a new presentation of polynomial control and new derivation of linear-quadratic-Gaussian control.
Author | : Hugh Durrant-Whyte |
Publisher | : MIT Press |
Total Pages | : 382 |
Release | : 2012-06-29 |
Genre | : Technology & Engineering |
ISBN | : 0262305046 |
Papers from a flagship conference reflect the latest developments in the field, including work in such rapidly advancing areas as human-robot interaction and formal methods. Robotics: Science and Systems VII spans a wide spectrum of robotics, bringing together researchers working on the algorithmic or mathematical foundations of robotics, robotics applications, and analysis of robotics systems. This volume presents the proceedings of the seventh annual Robotics: Science and Systems conference, held in 2011 at the University of Southern California. The papers presented cover a wide range of topics in robotics, spanning mechanisms, kinematics, dynamics and control, human-robot interaction and human-centered systems, distributed systems, mobile systems and mobility, manipulation, field robotics, medical robotics, biological robotics, robot perception, and estimation and learning in robotic systems. The conference and its proceedings reflect not only the tremendous growth of robotics as a discipline but also the desire in the robotics community for a flagship event at which the best of the research in the field can be presented.
Author | : Chris Myers |
Publisher | : BoD – Books on Demand |
Total Pages | : 663 |
Release | : 2010-08-17 |
Genre | : Computers |
ISBN | : 9533071214 |
Uncertainty presents significant challenges in the reasoning about and controlling of complex dynamical systems. To address this challenge, numerous researchers are developing improved methods for stochastic analysis. This book presents a diverse collection of some of the latest research in this important area. In particular, this book gives an overview of some of the theoretical methods and tools for stochastic analysis, and it presents the applications of these methods to problems in systems theory, science, and economics.
Author | : N.K. Sinha |
Publisher | : Elsevier |
Total Pages | : 533 |
Release | : 2014-05-23 |
Genre | : Technology & Engineering |
ISBN | : 1483298078 |
Stochastic control, the control of random processes, has become increasingly more important to the systems analyst and engineer. The Second IFAC Symposium on Stochastic Control represents current thinking on all aspects of stochastic control, both theoretical and practical, and as such represents a further advance in the understanding of such systems.
Author | : |
Publisher | : |
Total Pages | : 836 |
Release | : 1994 |
Genre | : Aeronautics |
ISBN | : |
Author | : University of Michigan. College of Engineering |
Publisher | : UM Libraries |
Total Pages | : 528 |
Release | : 1981 |
Genre | : Engineering schools |
ISBN | : |