Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions

Stochastic Linear-Quadratic Optimal Control Theory: Open-Loop and Closed-Loop Solutions PDF

Author: Jingrui Sun

Publisher: Springer Nature

Published: 2020-06-29

Total Pages: 129

ISBN-13: 3030209229

DOWNLOAD EBOOK →

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents the results in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, it precisely identifies, for the first time, the interconnections between three well-known, relevant issues – the existence of optimal controls, solvability of the optimality system, and solvability of the associated Riccati equation. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems

Stochastic Linear-Quadratic Optimal Control Theory: Differential Games and Mean-Field Problems PDF

Author: Jingrui Sun

Publisher: Springer Nature

Published: 2020-06-29

Total Pages: 138

ISBN-13: 3030483061

DOWNLOAD EBOOK →

This book gathers the most essential results, including recent ones, on linear-quadratic optimal control problems, which represent an important aspect of stochastic control. It presents results for two-player differential games and mean-field optimal control problems in the context of finite and infinite horizon problems, and discusses a number of new and interesting issues. Further, the book identifies, for the first time, the interconnections between the existence of open-loop and closed-loop Nash equilibria, solvability of the optimality system, and solvability of the associated Riccati equation, and also explores the open-loop solvability of mean-filed linear-quadratic optimal control problems. Although the content is largely self-contained, readers should have a basic grasp of linear algebra, functional analysis and stochastic ordinary differential equations. The book is mainly intended for senior undergraduate and graduate students majoring in applied mathematics who are interested in stochastic control theory. However, it will also appeal to researchers in other related areas, such as engineering, management, finance/economics and the social sciences.

Optimal Control

Optimal Control PDF

Author: Brian D. O. Anderson

Publisher: Courier Corporation

Published: 2007-02-27

Total Pages: 465

ISBN-13: 0486457664

DOWNLOAD EBOOK →

Numerous examples highlight this treatment of the use of linear quadratic Gaussian methods for control system design. It explores linear optimal control theory from an engineering viewpoint, with illustrations of practical applications. Key topics include loop-recovery techniques, frequency shaping, and controller reduction. Numerous examples and complete solutions. 1990 edition.

Optimal Control

Optimal Control PDF

Author: Zoran Gajic

Publisher: CRC Press

Published: 2018-10-03

Total Pages: 346

ISBN-13: 1420007521

DOWNLOAD EBOOK →

Unique in scope, Optimal Control: Weakly Coupled Systems and Applications provides complete coverage of modern linear, bilinear, and nonlinear optimal control algorithms for both continuous-time and discrete-time weakly coupled systems, using deterministic as well as stochastic formulations. This book presents numerous applications to real world systems from various industries, including aerospace, and discusses the design of subsystem-level optimal filters. Organized into independent chapters for easy access to the material, this text also contains several case studies, examples, exercises, computer assignments, and formulations of research problems to help instructors and students.

Stochastic Optimal Control

Stochastic Optimal Control PDF

Author: Robert F. Stengel

Publisher: Wiley-Interscience

Published: 1986-09-08

Total Pages: 662

ISBN-13:

DOWNLOAD EBOOK →

Presents techniques for optimizing problems in dynamic systems with terminal and path constraints. Includes optimal feedback control, feedback control for linear systems, and regulator synthesis. Offers iterative methods for solving nonlinear control problems. Demonstrates how to apply optimal control in a practical fashion. Serves as a text for graduate controls courses as offered in aerospace, mechanical and chemical engineering departments.

Optimal Control and Estimation

Optimal Control and Estimation PDF

Author: Robert F. Stengel

Publisher: Courier Corporation

Published: 2012-10-16

Total Pages: 672

ISBN-13: 0486134814

DOWNLOAD EBOOK →

Graduate-level text provides introduction to optimal control theory for stochastic systems, emphasizing application of basic concepts to real problems.

Mathematical Control Theory for Stochastic Partial Differential Equations

Mathematical Control Theory for Stochastic Partial Differential Equations PDF

Author: Qi Lü

Publisher: Springer Nature

Published: 2021-10-19

Total Pages: 592

ISBN-13: 3030823318

DOWNLOAD EBOOK →

This is the first book to systematically present control theory for stochastic distributed parameter systems, a comparatively new branch of mathematical control theory. The new phenomena and difficulties arising in the study of controllability and optimal control problems for this type of system are explained in detail. Interestingly enough, one has to develop new mathematical tools to solve some problems in this field, such as the global Carleman estimate for stochastic partial differential equations and the stochastic transposition method for backward stochastic evolution equations. In a certain sense, the stochastic distributed parameter control system is the most general control system in the context of classical physics. Accordingly, studying this field may also yield valuable insights into quantum control systems. A basic grasp of functional analysis, partial differential equations, and control theory for deterministic systems is the only prerequisite for reading this book.

Robust Control Design Using H-8 Methods

Robust Control Design Using H-8 Methods PDF

Author: Ian R. Petersen

Publisher: Springer Science & Business Media

Published: 2000-09-22

Total Pages: 478

ISBN-13: 9781852331719

DOWNLOAD EBOOK →

This book provides a unified collection of important, recent results for the design of robust controllers for uncertain systems. Most of the results presented are based on H? control theory, or its stochastic counterpart, risk sensitive control theory.Central to the philosophy of the book is the notion of an uncertain system. Uncertain systems are considered using several different uncertainty modeling schemes. These include norm bounded uncertainty, integral quadratic constraint (IQC) uncertainty and a number of stochastic uncertainty descriptions. In particular, the authors examine stochastic uncertain systems in which the uncertainty is outlined by a stochastic version of the IQC uncertainty description.For each class of uncertain systems covered in the book, corresponding robust control problems are defined and solutions discussed.

Lanterna Rally - Theme by Grace Themes