Téléchargez le livre : Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

Relative Optimization of Continuous-Time and Continuous-State Stochastic Systems

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Éditeur :

Springer


Collection :

Communications and Control Engineering

Paru le : 2020-05-13

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Description

This monograph applies the relative optimization approach to time nonhomogeneous continuous-time and continuous-state dynamic systems. The approach is intuitively clear and does not require deep knowledge of the mathematics of partial differential equations. The topics covered have the following distinguishing features: long-run average with no under-selectivity, non-smooth value functions with no viscosity solutions, diffusion processes with degenerate points, multi-class optimization with state classification, and optimization with no dynamic programming.
The book begins with an introduction to relative optimization, including a comparison with the traditional approach of dynamic programming. The text then studies the Markov process, focusing on infinite-horizon optimization problems, and moves on to discuss optimal control of diffusion processes with semi-smooth value functions and degenerate points, and optimization of multi-dimensional diffusion processes. The book concludes with a brief overview of performance derivative-based optimization.
Among the more important novel considerations presented are:the extension of the Hamilton–Jacobi–Bellman optimality condition from smooth to semi-smooth value functions by derivation of explicit optimality conditions at semi-smooth points and application of this result to degenerate and reflected processes;proof of semi-smoothness of the value function at degenerate points;attention to the under-selectivity issue for the long-run average and bias optimality; discussion of state classification for time nonhomogeneous continuous processes and multi-class optimization; anddevelopment of the multi-dimensional Tanaka formula for semi-smooth functions and application of this formula to stochastic control of multi-dimensional systems with degenerate points.
The book will be of interest to researchers and students in the field of stochastic control andperformance optimization alike.
Pages
365 pages
Collection
Communications and Control Engineering
Parution
2020-05-13
Marque
Springer
EAN papier
9783030418458
EAN PDF
9783030418465
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
36
Taille du fichier
5519 Ko
Prix
147,69 €
EAN EPUB
9783030418465
Informations sur l'ebook
Nombre pages copiables
3
Nombre pages imprimables
36
Taille du fichier
29614 Ko
Prix
147,69 €

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