Optimal Control of Random Sequences in Problems with Constraints: 410 (Mathematics and Its Applications, 410) - Hardcover

Piunovskiy, A.B.

Hardcover

ISBN 10: 0792345711 ISBN 13: 9780792345718

Publisher: Springer, 1997

Synopsis

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.

About this title

Synopsis

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. It 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. This text should be of interest to postgraduate students and researchers whose work involves stochastic control and its applications.

Edition details

• Publisher: Springer
• Publication date: 1997
• Language: English
• ISBN 10: 0792345711
• ISBN 13: 9780792345718
• Binding: Hardcover
• Number of pages: 359