Stochastic Stability and Control PDF Download

Author: Kushner
Publisher: Academic Press
ISBN: 0080955401
Category : Mathematics
Languages : en
Pages : 177

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Stochastic Stability and Control

Author: Sean Meyn
Publisher: Cambridge University Press
ISBN: 0521731828
Category : Mathematics
Languages : en
Pages : 623

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Book Description
New up-to-date edition of this influential classic on Markov chains in general state spaces. Proofs are rigorous and concise, the range of applications is broad and knowledgeable, and key ideas are accessible to practitioners with limited mathematical background. New commentary by Sean Meyn, including updated references, reflects developments since 1996.

Author: Rafail Khasminskii
Publisher: Springer Science & Business Media
ISBN: 3642232809
Category : Mathematics
Languages : en
Pages : 353

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Book Description
Since the publication of the first edition of the present volume in 1980, the stochastic stability of differential equations has become a very popular subject of research in mathematics and engineering. To date exact formulas for the Lyapunov exponent, the criteria for the moment and almost sure stability, and for the existence of stationary and periodic solutions of stochastic differential equations have been widely used in the literature. In this updated volume readers will find important new results on the moment Lyapunov exponent, stability index and some other fields, obtained after publication of the first edition, and a significantly expanded bibliography. This volume provides a solid foundation for students in graduate courses in mathematics and its applications. It is also useful for those researchers who would like to learn more about this subject, to start their research in this area or to study the properties of concrete mechanical systems subjected to random perturbations.

Author: Tobias Damm
Publisher: Springer Science & Business Media
ISBN: 9783540205166
Category : Mathematics
Languages : en
Pages : 228

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Book Description
This book is the first comprehensive treatment of rational matrix equations in stochastic systems, including various aspects of the field, previously unpublished results and explicit examples. Topics include modelling with stochastic differential equations, stochastic stability, reformulation of stochastic control problems, analysis of the rational matrix equation and numerical solutions. Primarily a survey in character, this monograph is intended for researchers, graduate students and engineers in control theory and applied linear algebra.

Author: El-Kébir Boukas
Publisher: Springer Science & Business Media
ISBN: 3540743456
Category : Technology & Engineering
Languages : en
Pages : 268

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Book Description
This book deals with the class of singular systems with random abrupt changes also known as singular Markovian jump systems. Various problems and their robustness are tackled. The book examines both the theoretical and practical aspects of the control problems from the angle of the structural properties of linear systems. It can be used as a textbook as well as a reference for researchers in control or mathematics with interest in control theory.

Author: Harold Joseph Kushner
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 414

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Book Description
The text treats stochastic control problems for Markov chains, discrete time Markov processes, and diffusion models, and discusses method of putting other problems into the Markovian framework. Computational methods are discussed and compared for Markov chain problems. Other topics include the fixed and free time of control, discounted cost, minimizing the average cost per unit time, and optimal stopping. Filtering and conrol for linear systems, and stochastic stability for discrete time problems are discussed thoroughly. The book gives a detailed treatment of the simpler problems, and fills the need to introduce the student to the more sophisticated mathematical concepts required for advanced theory by describing their roles and necessity in an intuitive and natural way. Diffusion models are developed as limits of stochastic difference equations and also via the stochastic integral approach. Examples and exercises are included. (Author).

Author: Kai Liu
Publisher: CRC Press
ISBN: 1420034820
Category : Mathematics
Languages : en
Pages : 311

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Book Description
Stochastic differential equations in infinite dimensional spaces are motivated by the theory and analysis of stochastic processes and by applications such as stochastic control, population biology, and turbulence, where the analysis and control of such systems involves investigating their stability. While the theory of such equations is well establ

Author: P. R. Kumar
Publisher: SIAM
ISBN: 1611974259
Category : Mathematics
Languages : en
Pages : 371

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Book Description
Since its origins in the 1940s, the subject of decision making under uncertainty has grown into a diversified area with application in several branches of engineering and in those areas of the social sciences concerned with policy analysis and prescription. These approaches required a computing capacity too expensive for the time, until the ability to collect and process huge quantities of data engendered an explosion of work in the area. This book provides succinct and rigorous treatment of the foundations of stochastic control; a unified approach to filtering, estimation, prediction, and stochastic and adaptive control; and the conceptual framework necessary to understand current trends in stochastic control, data mining, machine learning, and robotics.

Author: Jon H. Davis
Publisher: Springer Science & Business Media
ISBN: 1461200717
Category : Mathematics
Languages : en
Pages : 434

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Book Description
"This volume is a textbook on linear control systems with an emphasis on stochastic optimal control with solution methods using spectral factorization in line with the original approach of N. Wiener. Continuous-time and discrete-time versions are presented in parallel.... Two appendices introduce functional analytic concepts and probability theory, and there are 77 references and an index. The chapters (except for the last two) end with problems.... [T]he book presents in a clear way important concepts of control theory and can be used for teaching." —Zentralblatt Math "This is a textbook intended for use in courses on linear control and filtering and estimation on (advanced) levels. Its major purpose is an introduction to both deterministic and stochastic control and estimation. Topics are treated in both continuous time and discrete time versions.... Each chapter involves problems and exercises, and the book is supplemented by appendices, where fundamentals on Hilbert and Banach spaces, operator theory, and measure theoretic probability may be found. The book will be very useful for students, but also for a variety of specialists interested in deterministic and stochastic control and filtering." —Applications of Mathematics "The strength of the book under review lies in the choice of specialized topics it contains, which may not be found in this form elsewhere. Also, the first half would make a good standard course in linear control." —Journal of the Indian Institute of Science

Author: Leonid Shaikhet
Publisher: Springer Science & Business Media
ISBN: 3319001019
Category : Technology & Engineering
Languages : en
Pages : 352

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Book Description
Stability conditions for functional differential equations can be obtained using Lyapunov functionals. Lyapunov Functionals and Stability of Stochastic Functional Differential Equations describes the general method of construction of Lyapunov functionals to investigate the stability of differential equations with delays. This work continues and complements the author’s previous book Lyapunov Functionals and Stability of Stochastic Difference Equations, where this method is described for difference equations with discrete and continuous time. The text begins with both a description and a delineation of the peculiarities of deterministic and stochastic functional differential equations. There follows basic definitions for stability theory of stochastic hereditary systems, and the formal procedure of Lyapunov functionals construction is presented. Stability investigation is conducted for stochastic linear and nonlinear differential equations with constant and distributed delays. The proposed method is used for stability investigation of different mathematical models such as: • inverted controlled pendulum; • Nicholson's blowflies equation; • predator-prey relationships; • epidemic development; and • mathematical models that describe human behaviours related to addictions and obesity. Lyapunov Functionals and Stability of Stochastic Functional Differential Equations is primarily addressed to experts in stability theory but will also be of interest to professionals and students in pure and computational mathematics, physics, engineering, medicine, and biology.