Modern Trends In Controlled Stochastic Processes Theory And Applications
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Modern Trends in Controlled Stochastic Processes
Author | : Alexey Piunovskiy,Yi Zhang |
Publsiher | : Springer Nature |
Total Pages | : 356 |
Release | : 2021-06-04 |
Genre | : Technology & Engineering |
ISBN | : 9783030769284 |
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This book presents state-of-the-art solution methods and applications of stochastic optimal control. It is a collection of extended papers discussed at the traditional Liverpool workshop on controlled stochastic processes with participants from both the east and the west. New problems are formulated, and progresses of ongoing research are reported. Topics covered in this book include theoretical results and numerical methods for Markov and semi-Markov decision processes, optimal stopping of Markov processes, stochastic games, problems with partial information, optimal filtering, robust control, Q-learning, and self-organizing algorithms. Real-life case studies and applications, e.g., queueing systems, forest management, control of water resources, marketing science, and healthcare, are presented. Scientific researchers and postgraduate students interested in stochastic optimal control,- as well as practitioners will find this book appealing and a valuable reference.
Modern Trends in Controlled Stochastic Processes
Author | : Alexey B. Piunovskiy |
Publsiher | : Luniver Press |
Total Pages | : 342 |
Release | : 2010-09 |
Genre | : Mathematics |
ISBN | : 9781905986309 |
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World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, controlled diffusions, piece-wise deterministic processes etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several numerical methods, index-based approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization and Information Transmission. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.
Modern Trends in Controlled Stochastic Processes Theory and Applications
Author | : Alexey Piunovskiy |
Publsiher | : Luniver Press |
Total Pages | : 322 |
Release | : 2015-12-15 |
Genre | : Mathematics |
ISBN | : 1905986459 |
Download Modern Trends in Controlled Stochastic Processes Theory and Applications Book in PDF, Epub and Kindle
World leading experts give their accounts of the modern mathematical models in the field: Markov Decision Processes, Controlled Diffusions, etc, with a wide range of performance functionals. One of the aims is to give a general view on the state-of-the-art. The authors use Dynamic Programming, Convex Analytic Approach, several Approximate and Numerical Methods, Index-Based Approach and so on. Most chapters either contain well developed examples, or are entirely devoted to the application of the mathematical control theory to real life problems from such fields as Insurance, Portfolio Optimization, Control of Water Resources, Information Transmission, Quality Control, Pollution Control and so on. The book will enable researchers, academics and research students to get a sense of novel results, concepts, models, methods, and applications of controlled stochastic processes.
Controlled Stochastic Processes
Author | : I. I. Gihman,A. V. Skorohod |
Publsiher | : Springer Science & Business Media |
Total Pages | : 242 |
Release | : 2012-12-06 |
Genre | : Mathematics |
ISBN | : 9781461262022 |
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The theory of controlled processes is one of the most recent mathematical theories to show very important applications in modern engineering, parti cularly for constructing automatic control systems, as well as for problems of economic control. However, actual systems subject to control do not admit a strictly deterministic analysis in view of random factors of various kinds which influence their behavior. Such factors include, for example, random noise occurring in the electrical system, variations in the supply and demand of commodities, fluctuations in the labor force in economics, and random failures of components on an automated line. The theory of con trolled processes takes the random nature of the behavior of a system into account. In such cases it is natural, when choosing a control strategy, to proceed from the average expected result, taking note of all the possible variants of the behavior of a controlled system. An extensive literature is devoted to various economic and engineering systems of control (some of these works are listed in the Bibliography). is no text which adequately covers the general However, as of now there mathematical theory of controlled processes. The authors ofthis monograph have attempted to fill this gap. In this volume the general theory of discrete-parameter (time) controlled processes (Chapter 1) and those with continuous-time (Chapter 2), as well as the theory of controlled stochastic differential equations (Chapter 3), are presented.
Stochastic Analysis Filtering and Stochastic Optimization
Author | : George Yin,Thaleia Zariphopoulou |
Publsiher | : Springer Nature |
Total Pages | : 466 |
Release | : 2022-04-22 |
Genre | : Mathematics |
ISBN | : 9783030985196 |
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This volume is a collection of research works to honor the late Professor Mark H.A. Davis, whose pioneering work in the areas of Stochastic Processes, Filtering, and Stochastic Optimization spans more than five decades. Invited authors include his dissertation advisor, past collaborators, colleagues, mentees, and graduate students of Professor Davis, as well as scholars who have worked in the above areas. Their contributions may expand upon topics in piecewise deterministic processes, pathwise stochastic calculus, martingale methods in stochastic optimization, filtering, mean-field games, time-inconsistency, as well as impulse, singular, risk-sensitive and robust stochastic control.
Markov Decision Processes with Applications to Finance
Author | : Nicole Bäuerle,Ulrich Rieder |
Publsiher | : Springer Science & Business Media |
Total Pages | : 388 |
Release | : 2011-06-06 |
Genre | : Mathematics |
ISBN | : 9783642183249 |
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The theory of Markov decision processes focuses on controlled Markov chains in discrete time. The authors establish the theory for general state and action spaces and at the same time show its application by means of numerous examples, mostly taken from the fields of finance and operations research. By using a structural approach many technicalities (concerning measure theory) are avoided. They cover problems with finite and infinite horizons, as well as partially observable Markov decision processes, piecewise deterministic Markov decision processes and stopping problems. The book presents Markov decision processes in action and includes various state-of-the-art applications with a particular view towards finance. It is useful for upper-level undergraduates, Master's students and researchers in both applied probability and finance, and provides exercises (without solutions).
A Guide To Lie Systems With Compatible Geometric Structures
Author | : Javier De Lucas Araujo,Cristina Sardon Munoz |
Publsiher | : World Scientific |
Total Pages | : 425 |
Release | : 2020-01-22 |
Genre | : Mathematics |
ISBN | : 9781786346995 |
Download A Guide To Lie Systems With Compatible Geometric Structures Book in PDF, Epub and Kindle
The book presents a comprehensive guide to the study of Lie systems from the fundamentals of differential geometry to the development of contemporary research topics. It embraces several basic topics on differential geometry and the study of geometric structures while developing known applications in the theory of Lie systems. The book also includes a brief exploration of the applications of Lie systems to superequations, discrete systems, and partial differential equations.Offering a complete overview from the topic's foundations to the present, this book is an ideal resource for Physics and Mathematics students, doctoral students and researchers.
Contemporary Trends in Nonlinear Geometric Control Theory and Its Applications
Author | : Anonim |
Publsiher | : Unknown |
Total Pages | : 135 |
Release | : 2024 |
Genre | : Electronic Book |
ISBN | : 9789814489461 |
Download Contemporary Trends in Nonlinear Geometric Control Theory and Its Applications Book in PDF, Epub and Kindle