Stochastic optimal control for piecewise deterministic Markov processes
Title | Stochastic optimal control for piecewise deterministic Markov processes PDF eBook |
Author | J. B. R. Val |
Publisher | |
Pages | |
Release | 1986 |
Genre | |
ISBN |
Continuous Average Control of Piecewise Deterministic Markov Processes
Title | Continuous Average Control of Piecewise Deterministic Markov Processes PDF eBook |
Author | Oswaldo Luiz do Valle Costa |
Publisher | Springer Science & Business Media |
Pages | 124 |
Release | 2013-04-12 |
Genre | Mathematics |
ISBN | 146146983X |
The intent of this book is to present recent results in the control theory for the long run average continuous control problem of piecewise deterministic Markov processes (PDMPs). The book focuses mainly on the long run average cost criteria and extends to the PDMPs some well-known techniques related to discrete-time and continuous-time Markov decision processes, including the so-called ``average inequality approach'', ``vanishing discount technique'' and ``policy iteration algorithm''. We believe that what is unique about our approach is that, by using the special features of the PDMPs, we trace a parallel with the general theory for discrete-time Markov Decision Processes rather than the continuous-time case. The two main reasons for doing that is to use the powerful tools developed in the discrete-time framework and to avoid working with the infinitesimal generator associated to a PDMP, which in most cases has its domain of definition difficult to be characterized. Although the book is mainly intended to be a theoretically oriented text, it also contains some motivational examples. The book is targeted primarily for advanced students and practitioners of control theory. The book will be a valuable source for experts in the field of Markov decision processes. Moreover, the book should be suitable for certain advanced courses or seminars. As background, one needs an acquaintance with the theory of Markov decision processes and some knowledge of stochastic processes and modern analysis.
Deterministic and Stochastic Optimal Control
Title | Deterministic and Stochastic Optimal Control PDF eBook |
Author | Wendell H. Fleming |
Publisher | Springer Science & Business Media |
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.
Optimal Control of Piecewise Deterministic Markov Processes
Title | Optimal Control of Piecewise Deterministic Markov Processes PDF eBook |
Author | Juan Juan Ye |
Publisher | National Library of Canada = Bibliothèque nationale du Canada |
Pages | 127 |
Release | 1990 |
Genre | |
ISBN | 9780315645134 |
Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes
Title | Numerical Methods for Simulation and Optimization of Piecewise Deterministic Markov Processes PDF eBook |
Author | Benoîte de Saporta |
Publisher | John Wiley & Sons |
Pages | 298 |
Release | 2016-01-26 |
Genre | Mathematics |
ISBN | 1848218397 |
Mark H.A. Davis introduced the Piecewise-Deterministic Markov Process (PDMP) class of stochastic hybrid models in an article in 1984. Today it is used to model a variety of complex systems in the fields of engineering, economics, management sciences, biology, Internet traffic, networks and many more. Yet, despite this, there is very little in the way of literature devoted to the development of numerical methods for PDMDs to solve problems of practical importance, or the computational control of PDMPs. This book therefore presents a collection of mathematical tools that have been recently developed to tackle such problems. It begins by doing so through examples in several application domains such as reliability. The second part is devoted to the study and simulation of expectations of functionals of PDMPs. Finally, the third part introduces the development of numerical techniques for optimal control problems such as stopping and impulse control problems.
Optimal Control of Piecewise Deterministic Markov Process
Title | Optimal Control of Piecewise Deterministic Markov Process PDF eBook |
Author | D. Vermes |
Publisher | |
Pages | 44 |
Release | 1985 |
Genre | |
ISBN |
Modern Trends in Controlled Stochastic Processes
Title | Modern Trends in Controlled Stochastic Processes PDF eBook |
Author | Alexey B. Piunovskiy |
Publisher | Luniver Press |
Pages | 342 |
Release | 2010-09 |
Genre | Mathematics |
ISBN | 1905986300 |
World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.