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Optimal Control of Random Sequences in Problems with Constraints : MATHEMATICS AND ITS APPLICATIONS (KLUWER ) - A. B. Piunovskiy

Optimal Control of Random Sequences in Problems with Constraints


Hardcover Published: January 1997
ISBN: 9780792345718
Number Of Pages: 348

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This volume is devoted to the investigation of general Borel models of stochastic optimal control, taking into consideration additional performance criteria which must satisfy the constraints-inequalities. This study is based on both convex programming theory as well as the Bellman principle, and provides a useful approach for multicriteria control problems. Some new original properties of strategical measure space are established, and among the other subjects that are treated are the existence and the form of optimal control strategy; Markov and homogeneous models; and linear-quadratic systems. The last chapter concentrates on application of these methods to, for example, economics, ecology, insurance and games. Audience: This book will be of interest to post-graduate students and researchers whose work involves stochastic control and its applications.

Introductionp. 1
Methods of Stochastic Optimal Controlp. 7
Optimal Control Problems with Constraintsp. 77
Solvability of the main constrained problem and some extensionsp. 123
Linear-quadratic systemsp. 179
Some applicationsp. 219
Conclusionp. 290
Borel spaces and their propertiesp. 291
Elements of convex analysisp. 297
Proofs of auxiliary statementsp. 301
Linear-quadratic systems: proofs of some statementsp. 313
Referencesp. 327
Indexp. 337
List of symbolsp. 341
List of the main statementsp. 343
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9780792345718
ISBN-10: 0792345711
Audience: Professional
Format: Hardcover
Language: English
Number Of Pages: 348
Published: January 1997
Publisher: Springer
Country of Publication: NL
Dimensions (cm): 25.4 x 17.15  x 2.54
Weight (kg): 0.7