Author: Keigo YamadaPublisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 122
Book Description
Optimal Control of Diffusion Processes with Discontinuous Coefficients
Author: Keigo YamadaPublisher:
ISBN:
Category : Markov processes
Languages : en
Pages : 122
Book Description
On the Optimal Control of Diffusion Processes
Author: Martin Lee PutermanPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 100
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).
Optimal Control of Diffusion Processes
Author: Vivek S. BorkarPublisher: Longman
ISBN:
Category : Control theory
Languages : en
Pages : 212
Book Description
Single and Multi-person Controlled Diffusions
Author: Stanley Roy PliskaPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 122
Book Description
The paper is concerned with the optimal control of a one-dimensional stationary diffusion process on a compact interval. The drift and diffusion coefficients depend upon a stationary control assumed to be a piece-wise continuous function of the state. The costs generated by the process are functions of both the control and the sample path of the process. Mandl's concept of a controlled diffusion process is generalized by allowing the controls to be vector-valued with the set of admissible control actions defined by a piecewise continuous set-valued function on the state space. Both single and multi-person problems are considered. The main results include necessary and sufficient conditions for a control to be 'optimal' and conditions assuring the existence of a piecewise continuous optimal control. Applications are given to problems of controlling reservoirs, pollution, queues, investments, welfare, and warfare.
Optimal Control of Diffusion Processes
Author: Wendell H. FlemingPublisher:
ISBN:
Category :
Languages : en
Pages : 14
Book Description
The paper summarizes some recent work on optimal control theory for continuous parameter stochastic processes. The author discusses only the control of Markov diffusion processes governed by stochastic differential equations of Ito type. Moreover, the author considers only the two cases when either: (A) no observations are available to the controller (open loop control); or (B) the states of the processes are completely observed by the controller. (Author).
Optimal Control of Diffusion Processes and Hamilton-Jacobi-Bellman Equations
Author: Pierre-Louis LionsControlled Diffusion Processes
Author: Nikolaĭ Vladimirovich KrylovPublisher:
ISBN:
Category : Control theory
Languages : en
Pages : 328
Book Description
Optimal Control of a Class of Diffusion Processes
Author: Jerome Barry ShapiroSome Structured Problems in the Optimal Control of Diffusions
Author: Allison James TaylorPublisher:
ISBN:
Category : Diffusion processes
Languages : en
Pages : 210
Book Description
Author: Pierre-Louis Lions