9780387901558-0387901558-Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1))

Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1))

ISBN-13: 9780387901558
ISBN-10: 0387901558
Edition: 1
Author: Fleming, Wendell H., Rishel, Raymond W.
Publication date: 1975
Publisher: Springer
Format: Hardcover 233 pages
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Book details

ISBN-13: 9780387901558
ISBN-10: 0387901558
Edition: 1
Author: Fleming, Wendell H., Rishel, Raymond W.
Publication date: 1975
Publisher: Springer
Format: Hardcover 233 pages

Summary

Acknowledged authors Fleming, Wendell H., Rishel, Raymond W. wrote Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1)) comprising 233 pages back in 1975. Textbook and eTextbook are published under ISBN 0387901558 and 9780387901558. Since then Deterministic and Stochastic Optimal Control (Stochastic Modelling and Applied Probability (1)) textbook was available to sell back to BooksRun online for the top buyback price or rent at the marketplace.

Description

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.

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