Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions
Title | Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions PDF eBook |
Author | Jingrui Sun |
Publisher | Springer Nature |
Pages | 129 |
Release | 2020-06-29 |
Genre | Mathematics |
ISBN | 3030209229 |
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.
Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems
Title | Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems PDF eBook |
Author | Jingrui Sun |
Publisher | Springer Nature |
Pages | 138 |
Release | 2020-06-29 |
Genre | Mathematics |
ISBN | 3030483061 |
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.
Optimal Control
Title | Optimal Control PDF eBook |
Author | Brian D. O. Anderson |
Publisher | |
Pages | 408 |
Release | 1990 |
Genre | Mathematics |
ISBN |
Linear Stochastic Control Systems
Title | Linear Stochastic Control Systems PDF eBook |
Author | Goong Chen |
Publisher | CRC Press |
Pages | 404 |
Release | 1995-07-12 |
Genre | Business & Economics |
ISBN | 9780849380754 |
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.
Optimal Control
Title | Optimal Control PDF eBook |
Author | Zoran Gajic |
Publisher | CRC Press |
Pages | 346 |
Release | 2018-10-03 |
Genre | Technology & Engineering |
ISBN | 1420007521 |
Unique in scope, Optimal Control: Weakly Coupled Systems and Applications provides complete coverage of modern linear, bilinear, and nonlinear optimal control algorithms for both continuous-time and discrete-time weakly coupled systems, using deterministic as well as stochastic formulations. This book presents numerous applications to real world systems from various industries, including aerospace, and discusses the design of subsystem-level optimal filters. Organized into independent chapters for easy access to the material, this text also contains several case studies, examples, exercises, computer assignments, and formulations of research problems to help instructors and students.
Optimal Control and Estimation
Title | Optimal Control and Estimation PDF eBook |
Author | Robert F. Stengel |
Publisher | Courier Corporation |
Pages | 674 |
Release | 2012-10-16 |
Genre | Mathematics |
ISBN | 0486134814 |
Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems. "Invaluable as a reference for those already familiar with the subject." — Automatica.
Open Loop Optimal Feedback Control for Continuous Linear Stochastic Systems
Title | Open Loop Optimal Feedback Control for Continuous Linear Stochastic Systems PDF eBook |
Author | Walter G. Murch |
Publisher | |
Pages | 65 |
Release | 1970 |
Genre | |
ISBN |
The control of a continuous time linear system with parameters and disturbance represented by stochastic processes is studied. The optimal open loop control is shown to be a linear function of the expected value of the initial condition vector and the function specifying the control, the control generation matrix, is shown to be the solution to a Fredholm integral equation. A computational procedure is derived for the solution to the control generation matrix based on results by Kagiwada and Kalaba for the solution to a Fredholm integral equation. A closed loop control law, the open loop optimal feedback (OLOF) control, is derived from the optimal open loop control and the control generation matrix shown to be the solution to a Volterra integral equation. The OLOF CONTROL GENERATION MATRIX FOR THE TIME-INVARIANT, INFINITE TIME SYSTEM IS SHOWN TO BE A CONSTANT MATRIX. Some examples are worked to demonstrate the OLOF control and to compare it with the optimal open loop control. (Author).