portada Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (en Inglés)

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (en Inglés)

Formato

Libro Físico

Autor

Jiongmin Yong

Jingrui Sun

Editorial

Springer

Idioma

Inglés

N° páginas

120

Encuadernación

Tapa Blanda

Dimensiones

23.4x15.6x0.7 cm

Peso

0.20 kg.

ISBN13

9783030209216

Categorías

Cibernética y teoría de sistemas
Cálculo
Probabilidad y estadística

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (en Inglés)

Jiongmin Yong (Autor) · Jingrui Sun (Autor) · Springer · Tapa Blanda

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Reseña del libro "Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions (en Inglés)"

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.