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Optimal Control of Random Sequences in Problems with Constraints

  • Book
  • © 1997

Overview

Authors:
  1. A. B. Piunovskiy

    1. Institute of Physics and Technology, Moscow, Russia

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Part of the book series: Mathematics and Its Applications (MAIA, volume 410)

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Table of contents (6 chapters)

  1. Front Matter

    Pages i-xi
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  2. Introduction

    • A. B. Piunovskiy
    Pages 1-6

  3. Methods of Stochastic Optimal Control

    • A. B. Piunovskiy
    Pages 7-76

  4. Optimal Control Problems with Constraints

    • A. B. Piunovskiy
    Pages 77-122

  5. Solvability of the Main Constrained Problem and Some Extensions

    • A. B. Piunovskiy
    Pages 123-177

  6. Linear-Quadratic Systems

    • A. B. Piunovskiy
    Pages 179-218

  7. Some Applications

    • A. B. Piunovskiy
    Pages 219-289

  8. Back Matter

    Pages 290-348
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Keywords

About this book

Controlled stochastic processes with discrete time form a very interest­ ing and meaningful field of research which attracts widespread attention. At the same time these processes are used for solving of many applied problems in the queueing theory, in mathematical economics. in the theory of controlled technical systems, etc. . In this connection, methods of the theory of controlled processes constitute the every day instrument of many specialists working in the areas mentioned. The present book is devoted to the rather new area, that is, to the optimal control theory with functional constraints. This theory is close to the theory of multicriteria optimization. The compromise between the mathematical rigor and the big number of meaningful examples makes the book attractive for professional mathematicians and for specialists who ap­ ply mathematical methods in different specific problems. Besides. the book contains setting of many new interesting problems for further invf'stigatioll. The book can form the basis of special courses in the theory of controlled stochastic processes for students and post-graduates specializing in the ap­ plied mathematics and in the control theory of complex systf'ms. The grounding of graduating students of mathematical department is sufficient for the perfect understanding of all the material. The book con­ tains the extensive Appendix where the necessary knowledge ill Borel spaces and in convex analysis is collected. All the meaningful examples can be also understood by readers who are not deeply grounded in mathematics.

Authors and Affiliations

  • Institute of Physics and Technology, Moscow, Russia

    A. B. Piunovskiy

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