Optimal Control and Nonlinear Filtering for Nondegenerate Diffusion Processes PDF Download

Author: Wendell Helms Fleming
Publisher:
ISBN:
Category : Differential equations, Parabolic
Languages : en
Pages : 40

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Book Description
A linear parabolic partial differential equation describing the pathwise filter for a nondegenerate diffusion is changed, by an expotential substitution, into the dynamic programming equation of an optimal stochastic control problem. This substitution is applied to obtain results about the rate of decay as the numerical value of chi approaches infinity of solutions p(chi, tau) to the pathwise filter equation, and for solutions of the corresponding Zakai equation.

Author: Vivek S. Borkar
Publisher: Longman
ISBN:
Category : Control theory
Languages : en
Pages : 212

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Book Description

Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 1282

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Book Description
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.

Author: Alan Bain
Publisher: Springer Science & Business Media
ISBN: 0387768963
Category : Mathematics
Languages : en
Pages : 395

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Book Description
This book provides a rigorous mathematical treatment of the non-linear stochastic filtering problem using modern methods. Particular emphasis is placed on the theoretical analysis of numerical methods for the solution of the filtering problem via particle methods. The book should provide sufficient background to enable study of the recent literature. While no prior knowledge of stochastic filtering is required, readers are assumed to be familiar with measure theory, probability theory and the basics of stochastic processes. Most of the technical results that are required are stated and proved in the appendices. Exercises and solutions are included.

Author: Alessandro Calvia
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Book Description
This paper deals with a nonlinear filtering problem in which a multi-dimensional signal process is additively affected by a process v whose components have paths of bounded variation. The presence of the process v prevents from directly applying classical results and novel estimates need to be derived. By making use of the so-called reference probability measure approach, we derive the Zakai equation satisfied by the unnormalized filtering process, and then we deduce the corresponding Kushner-Stratonovich equation. Under the condition that the jump times of the process v do not accumulate over the considered time horizon, we show that the unnormalized filtering process is the unique solution to the Zakai equation, in the class of measure-valued processes having a square-integrable density. Our analysis paves the way to the study of stochastic control problems where a decision maker can exert singular controls in order to adjust the dynamics of an unobservable Itô-process.

Author: Jitendra R. Raol
Publisher: CRC Press
ISBN: 1498745180
Category : Technology & Engineering
Languages : en
Pages : 581

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Book Description
Nonlinear Filtering covers linear and nonlinear filtering in a comprehensive manner, with appropriate theoretic and practical development. Aspects of modeling, estimation, recursive filtering, linear filtering, and nonlinear filtering are presented with appropriate and sufficient mathematics. A modeling-control-system approach is used when applicable, and detailed practical applications are presented to elucidate the analysis and filtering concepts. MATLAB routines are included, and examples from a wide range of engineering applications - including aerospace, automated manufacturing, robotics, and advanced control systems - are referenced throughout the text.

Author: José Luis Menaldi
Publisher: IOS Press
ISBN: 9781586030964
Category : Mathematics
Languages : en
Pages : 632

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Book Description
This volume contains more than sixty invited papers of international wellknown scientists in the fields where Alain Bensoussan's contributions have been particularly important: filtering and control of stochastic systems, variationnal problems, applications to economy and finance, numerical analysis... In particular, the extended texts of the lectures of Professors Jens Frehse, Hitashi Ishii, Jacques-Louis Lions, Sanjoy Mitter, Umberto Mosco, Bernt Oksendal, George Papanicolaou, A. Shiryaev, given in the Conference held in Paris on December 4th, 2000 in honor of Professor Alain Bensoussan are included.

Author: Boris Belousov
Publisher: Springer Nature
ISBN: 3030411885
Category : Technology & Engineering
Languages : en
Pages : 197

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Book Description
This book reviews research developments in diverse areas of reinforcement learning such as model-free actor-critic methods, model-based learning and control, information geometry of policy searches, reward design, and exploration in biology and the behavioral sciences. Special emphasis is placed on advanced ideas, algorithms, methods, and applications. The contributed papers gathered here grew out of a lecture course on reinforcement learning held by Prof. Jan Peters in the winter semester 2018/2019 at Technische Universität Darmstadt. The book is intended for reinforcement learning students and researchers with a firm grasp of linear algebra, statistics, and optimization. Nevertheless, all key concepts are introduced in each chapter, making the content self-contained and accessible to a broader audience.

Author: William M. McEneaney
Publisher: Springer Science & Business Media
ISBN: 1461217849
Category : Technology & Engineering
Languages : en
Pages : 660

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Book Description
In view of Professor Wendell Fleming's many fundamental contributions, his profound influence on the mathematical and systems theory communi ties, his service to the profession, and his dedication to mathematics, we have invited a number of leading experts in the fields of control, optimiza tion, and stochastic systems to contribute to this volume in his honor on the occasion of his 70th birthday. These papers focus on various aspects of stochastic analysis, control theory and optimization, and applications. They include authoritative expositions and surveys as well as research papers on recent and important issues. The papers are grouped according to the following four major themes: (1) large deviations, risk sensitive and Hoc control, (2) partial differential equations and viscosity solutions, (3) stochastic control, filtering and parameter esti mation, and (4) mathematical finance and other applications. We express our deep gratitude to all of the authors for their invaluable contributions, and to the referees for their careful and timely reviews. We thank Harold Kushner for having graciously agreed to undertake the task of writing the foreword. Particular thanks go to H. Thomas Banks for his help, advice and suggestions during the entire preparation process, as well as for the generous support of the Center for Research in Scientific Computation. The assistance from the Birkhauser professional staff is also greatly appreciated.

Author: Martin Lee Puterman
Publisher:
ISBN:
Category : Control theory
Languages : en
Pages : 100

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Book Description
The author considers three problems in the optimal control of diffusion processes. The first is that of optimally controlling a diffusion process on a compact interval. The second problem is that of optimally controlling a diffusion process on a bounded subset of Euclidean n-space, with refledtion on the boundary. The last problem arises in controlling a continuous time production process. (Author).