Stochastic Modelling and Applied Probability

Deterministic and Stochastic Optimal Control

Authors: Fleming, Wendell H., Rishel, Raymond W.

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Hardcover 135,19 €
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Softcover 114,35 €
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  • ISBN 978-1-4612-6382-1
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About this book

This book may be regarded as consisting of two parts. In Chapters I-IV we pre­ sent what we regard as essential topics in an introduction to deterministic optimal control theory. This material has been used by the authors for one semester graduate-level courses at Brown University and the University of Kentucky. The simplest problem in calculus of variations is taken as the point of departure, in Chapter I. Chapters II, III, and IV deal with necessary conditions for an opti­ mum, existence and regularity theorems for optimal controls, and the method of dynamic programming. The beginning reader may find it useful first to learn the main results, corollaries, and examples. These tend to be found in the earlier parts of each chapter. We have deliberately postponed some difficult technical proofs to later parts of these chapters. In the second part of the book we give an introduction to stochastic optimal control for Markov diffusion processes. Our treatment follows the dynamic pro­ gramming method, and depends on the intimate relationship between second­ order partial differential equations of parabolic type and stochastic differential equations. This relationship is reviewed in Chapter V, which may be read inde­ pendently of Chapters I-IV. Chapter VI is based to a considerable extent on the authors' work in stochastic control since 1961. It also includes two other topics important for applications, namely, the solution to the stochastic linear regulator and the separation principle.

Table of contents (6 chapters)

  • The Simplest Problem in Calculus of Variations

    Fleming, Wendell (et al.)

    Pages 1-19

    Preview Buy Chapter 30,19 €
  • The Optimal Control Problem

    Fleming, Wendell (et al.)

    Pages 20-59

    Preview Buy Chapter 30,19 €
  • Existence and Continuity Properties of Optimal Controls

    Fleming, Wendell (et al.)

    Pages 60-79

    Preview Buy Chapter 30,19 €
  • Dynamic Programming

    Fleming, Wendell (et al.)

    Pages 80-105

    Preview Buy Chapter 30,19 €
  • Stochastic Differential Equations and Markov Diffusion Processes

    Fleming, Wendell (et al.)

    Pages 106-150

    Preview Buy Chapter 30,19 €

Buy this book

eBook 89,99 €
price for Spain (gross)
  • ISBN 978-1-4612-6380-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover 135,19 €
price for Spain (gross)
  • ISBN 978-0-387-90155-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
Softcover 114,35 €
price for Spain (gross)
  • ISBN 978-1-4612-6382-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
  • The final prices may differ from the prices shown due to specifics of VAT rules
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Bibliographic Information

Bibliographic Information
Book Title
Deterministic and Stochastic Optimal Control
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
1
Copyright
1975
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York Inc.
eBook ISBN
978-1-4612-6380-7
DOI
10.1007/978-1-4612-6380-7
Hardcover ISBN
978-0-387-90155-8
Softcover ISBN
978-1-4612-6382-1
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XI, 222
Topics